IWM Options History — September 2013

In September 2013, IWM traded between $101.18 and $107.21. ATM implied volatility averaged 17.5%, placing in the 34.2% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 3.5% (HV 20d: 14.1%). Max pain ranged from $100.00 to $108.00. Net GEX was positive for 6 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 2.23.

Notable Days

  • 2013-09-18: Highest Volume — 1,082,450 contracts
  • 2013-09-27: Largest IV spike — 7.6% change
  • 2013-09-03: Highest IV Rank — 54.1%
  • 2013-09-03: Largest Expected Move — 5.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$105.15$101.18$107.21$101.18$106.74
Max Pain$103.29$100.00$108.00$100.50$106.50
ATM IV17.5%15.4%20.6%20.6%18.4%
Expected Move5.0%4.4%5.9%5.9%5.3%
HV 20d14.1%8.8%16.6%15.3%8.8%
HV 60d13.1%11.6%14.8%14.8%11.6%
IV Rank34.2%20.6%54.1%54.1%40.0%
IV Percentile59.0%26.6%94.8%94.8%78.6%
Term Structure0.2%-0.4%0.9%-0.4%-0.3%
VWIV19.3%16.7%22.2%20.7%22.2%
Skew 25d5.2%4.2%6.4%6.0%5.9%
Skew 10d10.1%8.0%11.8%11.0%11.8%
Call IV 25d15.4%14.0%18.0%18.0%15.8%
Put IV 25d20.6%18.2%24.0%24.0%21.7%
Bid-Ask Spread %7.253.8018.736.078.39
Gamma HHI0.120.050.500.070.06
Net GEX-37.9M-792.4M1.81B-792.4M-350.3M
Net DEX-2.16B-9.87B5.82B5.82B-570.9M
Net VEX-51.6M-59.4M-45.6M-59.4M-50.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.230.843.831.972.27
Total Volume518,374.9328,8021,082,450485,920557,579
Total OI6,082,465.74,912,8587,005,6576,062,5215,367,878

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-09-03$101.18$100.5020.6%5.9%15.3%54.1%20.7%6.0%-0.4%-792.4M5.82B-59.4M1.976.07163,864322,0561,965,9234,096,598
2013-09-04$102.00$100.5019.7%5.7%15.5%48.4%21.9%6.2%-0.2%-659.2M3.78B-58.3M2.605.21102,375265,6602,007,5484,139,151
2013-09-05$102.20$100.0019.7%5.6%15.4%48.1%20.9%6.0%-0.3%-615.9M3.19B-58.1M1.986.10110,156218,6462,028,9374,182,638
2013-09-06$102.35$100.5019.2%5.5%15.4%45.0%20.5%6.4%-0.2%-610.6M3.06B-57.7M3.018.87150,060451,5862,055,0474,257,969
2013-09-09$103.90$101.0018.4%5.3%16.4%39.8%20.4%6.2%-0.3%-294.1M-883.4M-54.9M1.907.21151,521287,2812,013,1764,153,054
2013-09-10$104.92$101.0017.4%5.0%16.6%33.3%20.9%5.5%-0.2%21.1M-4.02B-52.2M2.605.31128,580334,1562,041,8854,203,185
2013-09-11$104.92$101.5017.1%4.9%16.6%31.0%19.5%5.1%0.1%26.2M-4.20B-51.9M2.146.25125,729269,5492,061,0324,278,046
2013-09-12$104.44$0.0017.9%5.1%16.6%36.7%20.4%5.2%-0.2%-123.6M-2.50B-52.2M1.5811.53200,448316,7822,101,3944,292,230
2013-09-13$104.77$108.0017.0%4.9%15.0%30.6%17.9%4.8%0.1%-29.2M-3.08B-52.2M2.069.48189,862390,7442,166,5844,390,270
2013-09-16$105.02$102.0017.8%5.1%14.8%35.7%19.1%5.6%0.3%-68.9M-3.09B-51.1M1.804.14167,812301,7292,147,6644,422,749
2013-09-17$106.18$103.0016.9%4.8%14.5%30.2%18.6%5.2%0.6%374.5M-6.52B-49.3M1.393.80172,945240,6502,173,0624,491,827
2013-09-18$107.11$103.0016.4%4.7%14.0%26.8%17.9%4.8%0.7%727.0M-9.36B-47.1M1.186.27496,187586,2632,183,1404,572,685
2013-09-19$107.21$103.0015.6%4.5%13.9%21.8%16.9%4.2%0.8%1.42B-9.87B-46.7M0.845.36312,846262,6212,247,0814,637,938
2013-09-20$106.74$104.0015.4%4.4%13.8%20.6%16.7%4.3%0.9%1.81B-8.26B-47.8M1.245.33297,837369,3052,317,9134,687,744
2013-09-23$106.50$106.0016.2%4.6%13.9%25.3%19.4%4.3%0.9%-239.9M-2.45B-45.6M2.856.82123,552352,4381,455,4073,457,451
2013-09-24$106.69$105.0016.4%4.7%13.9%26.9%18.5%4.7%0.3%-266.7M-1.30B-48.2M3.406.68126,785431,4881,378,0333,617,062
2013-09-25$106.42$105.0016.7%4.8%10.3%28.6%18.7%4.6%0.9%-365.7M-623.9M-49.4M2.237.11118,918265,2451,429,5913,786,335
2013-09-26$107.14$105.0016.3%4.7%10.4%26.4%17.1%4.5%0.2%-250.9M-1.94B-48.6M3.706.3493,298344,8281,474,5953,868,529
2013-09-27$106.66$107.0017.6%5.0%10.2%34.3%18.3%5.2%0.0%-476.0M-369.6M-51.7M3.8318.73117,185448,9321,501,9103,996,053
2013-09-30$106.74$106.5018.4%5.3%8.8%40.0%22.2%5.9%-0.3%-350.3M-570.9M-50.0M2.278.39170,261387,3181,453,1643,914,714