IWM Options History — August 2013

In August 2013, IWM traded between $100.60 and $105.44. ATM implied volatility averaged 16.8%, placing in the 28.6% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded above realized volatility by 5.8% (HV 20d: 11.0%). Max pain ranged from $101.00 to $106.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 2.56.

Notable Days

2013-08-15: Highest Volume — 1,093,942 contracts
2013-08-15: Largest IV spike — 15.3% change
2013-08-30: Highest IV Rank — 52.4%
2013-08-30: Largest Expected Move — 5.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$103.02	$100.60	$105.44	$105.07	$100.67
Max Pain	$103.60	$101.00	$106.00	$104.50	$102.00
ATM IV	16.8%	14.2%	20.4%	15.6%	20.4%
Expected Move	4.8%	4.1%	5.8%	4.5%	5.8%
HV 20d	11.0%	8.3%	15.2%	9.2%	15.2%
HV 60d	14.2%	13.7%	14.9%	13.8%	14.8%
IV Rank	28.6%	8.3%	52.4%	14.1%	52.4%
IV Percentile	46.8%	8.3%	93.3%	26.6%	93.3%
Term Structure	0.4%	-0.4%	1.2%	0.1%	0.6%
VWIV	17.5%	14.7%	22.6%	16.3%	22.6%
Skew 25d	4.7%	3.6%	6.1%	4.0%	6.1%
Skew 10d	8.7%	6.5%	11.6%	8.2%	11.6%
Call IV 25d	14.9%	12.9%	17.9%	13.9%	17.9%
Put IV 25d	19.6%	16.5%	24.0%	17.9%	24.0%
Bid-Ask Spread %	6.86	2.98	13.43	7.47	9.91
Gamma HHI	0.08	0.06	0.10	0.08	0.06
Net GEX	-573.0M	-1.13B	-43.7M	-118.6M	-826.2M
Net DEX	1.28B	-5.56B	7.49B	-4.83B	7.49B
Net VEX	-59.0M	-62.3M	-54.8M	-57.1M	-62.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.56	1.31	6.34	1.90	2.37
Total Volume	483,400.909	266,174	1,093,942	460,519	629,523
Total OI	5,948,971.409	5,184,368	6,514,752	5,897,923	6,187,317

Daily Data (22 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2013-08-01	$105.07	$104.50	15.6%	4.5%	9.2%	14.1%	16.3%	4.0%	0.1%	-118.6M	-4.83B	-57.1M	1.90	7.47	158,681	301,838	1,893,250	4,004,673
2013-08-02	$105.10	$104.50	14.8%	4.2%	8.3%	10.8%	14.7%	3.7%	0.3%	-109.8M	-5.20B	-57.6M	1.72	13.43	148,719	255,830	1,940,896	4,077,975
2013-08-05	$105.44	$104.00	14.2%	4.1%	8.3%	8.3%	16.1%	3.6%	0.9%	-43.7M	-5.56B	-54.8M	2.86	6.31	68,889	197,285	1,855,954	3,967,251
2013-08-06	$104.44	$104.00	15.1%	4.3%	9.0%	18.3%	15.9%	3.8%	1.0%	-342.5M	-2.82B	-57.1M	6.34	6.21	71,316	452,342	1,877,384	4,059,744
2013-08-07	$103.83	$104.00	15.3%	4.4%	9.4%	20.0%	16.7%	4.0%	0.6%	-606.2M	-611.5M	-59.0M	2.22	6.56	118,475	262,444	1,890,313	4,183,962
2013-08-08	$104.14	$104.00	15.3%	4.4%	9.0%	19.7%	15.5%	3.9%	0.8%	-498.1M	-1.69B	-58.4M	1.67	6.83	118,486	198,259	1,918,041	4,220,473
2013-08-09	$103.99	$103.50	15.5%	4.4%	8.9%	20.9%	15.8%	4.1%	0.8%	-750.8M	-1.08B	-59.7M	4.09	7.98	79,091	323,449	1,950,846	4,291,528
2013-08-12	$104.59	$103.00	15.5%	4.4%	8.5%	20.8%	15.8%	4.2%	0.4%	-366.3M	-2.89B	-57.9M	3.20	8.97	73,492	234,814	1,925,304	4,255,531
2013-08-13	$104.44	$103.00	15.1%	4.3%	8.3%	18.6%	16.3%	4.3%	1.2%	-408.3M	-2.44B	-58.0M	3.90	8.07	96,804	377,800	1,949,162	4,346,031
2013-08-14	$104.03	$103.00	15.4%	4.4%	8.4%	20.5%	16.1%	4.4%	0.8%	-556.6M	-821.4M	-59.8M	1.31	7.24	125,615	164,307	1,963,370	4,453,746
2013-08-15	$102.05	$0.00	17.8%	5.1%	10.7%	35.7%	17.3%	4.8%	0.2%	-1.09B	5.28B	-58.9M	3.01	5.57	273,034	820,908	1,967,209	4,434,860
2013-08-16	$101.57	$106.00	17.1%	4.9%	10.6%	31.3%	17.9%	4.9%	-0.3%	-1.13B	6.42B	-58.8M	2.25	7.96	194,711	438,960	1,996,978	4,517,774
2013-08-19	$100.60	$104.00	18.0%	5.1%	10.9%	36.9%	18.2%	5.0%	0.4%	-728.4M	6.73B	-57.4M	2.24	2.98	132,247	296,072	1,627,276	3,557,092
2013-08-20	$102.09	$104.00	17.3%	5.0%	12.4%	32.9%	17.5%	4.9%	0.5%	-630.4M	3.94B	-58.8M	1.51	4.22	333,928	504,152	1,684,153	3,663,148
2013-08-21	$101.84	$104.00	17.2%	4.9%	12.3%	31.9%	17.8%	4.5%	0.6%	-821.8M	5.01B	-58.5M	2.33	3.97	155,583	362,341	1,789,099	3,797,720
2013-08-22	$102.88	$104.00	17.0%	4.9%	12.6%	30.7%	17.8%	5.1%	0.8%	-462.1M	1.76B	-61.0M	1.79	4.71	129,067	230,638	1,827,452	3,817,826
2013-08-23	$103.22	$104.00	16.4%	4.7%	12.6%	27.2%	17.0%	4.8%	0.9%	-407.0M	892.4M	-59.8M	1.60	3.95	109,202	174,716	1,864,994	3,895,356
2013-08-26	$103.09	$102.00	17.6%	5.1%	12.4%	34.9%	17.2%	5.4%	-0.2%	-429.0M	1.19B	-59.2M	2.40	7.39	110,041	264,590	1,812,020	3,767,965
2013-08-27	$100.69	$104.00	19.8%	5.7%	14.9%	49.0%	20.6%	6.0%	-0.3%	-802.1M	6.81B	-60.7M	2.28	7.78	203,354	464,332	1,857,005	3,886,175
2013-08-28	$100.71	$103.00	19.7%	5.6%	14.8%	48.0%	20.6%	6.0%	-0.4%	-816.6M	6.55B	-60.7M	2.36	6.75	139,805	329,981	1,915,318	3,960,188
2013-08-29	$101.87	$101.00	19.4%	5.6%	14.8%	46.5%	20.8%	6.1%	-0.2%	-669.9M	4.10B	-62.1M	2.86	6.77	132,005	377,694	1,974,961	4,050,051
2013-08-30	$100.67	$102.00	20.4%	5.8%	15.2%	52.4%	22.6%	6.1%	0.6%	-826.2M	7.49B	-62.3M	2.37	9.91	186,688	442,835	2,025,798	4,161,519