IWM Options History — October 2013

In October 2013, IWM traded between $103.61 and $111.31. ATM implied volatility averaged 17.0%, placing in the 30.5% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 2.7% (HV 20d: 14.3%). Max pain ranged from $103.00 to $112.00. Net GEX was positive for 4 of 23 trading days. Term structure was in contango for 12 of 23 days. Put/call ratio averaged 2.54.

Notable Days

2013-10-08: Highest Volume — 964,773 contracts
2013-10-07: Largest IV spike — 17.4% change
2013-10-08: Highest IV Rank — 72.8%
2013-10-08: Largest Expected Move — 6.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$108.49	$103.61	$111.31	$107.95	$109.36
Max Pain	$106.36	$103.00	$112.00	$106.00	$112.00
ATM IV	17.0%	13.7%	23.5%	16.9%	15.0%
Expected Move	5.9%	4.9%	6.7%	4.9%	6.0%
HV 20d	14.3%	9.2%	16.2%	9.2%	15.8%
HV 60d	13.4%	11.8%	14.2%	11.8%	14.0%
IV Rank	30.5%	9.4%	72.8%	30.3%	18.1%
IV Percentile	45.8%	5.6%	99.2%	49.2%	23.4%
Term Structure	0.2%	-1.7%	1.2%	0.3%	0.9%
VWIV	21.6%	18.4%	24.8%	18.7%	22.8%
Skew 25d	5.0%	3.5%	7.2%	5.4%	3.7%
Skew 10d	9.9%	6.8%	14.0%	10.7%	8.0%
Call IV 25d	14.9%	12.3%	20.3%	14.9%	13.4%
Put IV 25d	19.8%	16.1%	27.6%	20.3%	17.1%
Bid-Ask Spread %	9.27	2.40	31.80	8.49	7.70
Gamma HHI	0.06	0.05	0.10	0.06	0.06
Net GEX	-274.4M	-962.2M	411.9M	-223.0M	-597.8M
Net DEX	-2.09B	-8.94B	6.61B	-2.59B	-172.1M
Net VEX	-49.2M	-55.6M	-42.7M	-49.5M	-49.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.54	1.53	4.31	2.18	1.79
Total Volume	509,319.913	251,503	964,773	472,574	402,471
Total OI	5,361,658.348	4,601,171	6,104,885	5,036,137	5,226,124

Daily Data (23 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
2013-10-01	$107.95	$106.00	16.9%	4.9%	9.2%	30.3%	18.7%	5.4%	0.3%	-223.0M	-2.59B	-49.5M	2.18	8.49	148,747	323,827	1,443,131	3,593,006
2013-10-02	$107.14	$106.50	18.7%	5.3%	9.8%	41.4%	19.1%	6.0%	-0.2%	-469.2M	-845.8M	-52.6M	4.31	8.96	83,237	358,701	1,508,170	3,712,971
2013-10-03	$106.17	$107.00	19.4%	5.6%	10.6%	46.4%	22.3%	5.8%	-0.3%	-758.9M	1.60B	-54.6M	2.31	8.27	174,958	404,982	1,537,893	3,858,492
2013-10-04	$107.04	$107.00	18.6%	5.3%	10.9%	40.7%	20.2%	5.6%	-0.1%	-394.7M	-605.9M	-53.4M	1.99	10.28	125,959	251,195	1,569,160	3,911,729
2013-10-07	$105.69	$107.00	21.8%	6.2%	11.0%	61.5%	24.8%	6.8%	-1.3%	-617.2M	2.33B	-54.5M	3.85	9.55	74,822	288,179	1,526,509	3,800,751
2013-10-08	$104.07	$107.00	23.5%	6.7%	11.9%	72.8%	22.5%	7.2%	-1.3%	-864.7M	5.72B	-55.6M	2.41	9.28	283,045	681,728	1,544,237	3,901,926
2013-10-09	$103.61	$107.00	23.4%	6.7%	12.0%	72.2%	24.4%	7.0%	-1.7%	-962.2M	6.61B	-55.6M	2.88	6.61	189,150	545,181	1,605,852	3,974,555
2013-10-10	$106.13	$0.00	19.6%	5.6%	14.7%	47.2%	21.4%	6.5%	-0.4%	-541.4M	877.3M	-53.5M	2.32	7.95	253,168	587,896	1,641,107	4,023,592
2013-10-11	$107.79	$104.00	17.2%	4.9%	15.6%	31.8%	18.4%	6.0%	-0.2%	-129.8M	-3.16B	-51.4M	1.68	11.72	207,611	349,665	1,725,322	4,147,180
2013-10-14	$108.22	$0.00	17.9%	6.1%	15.6%	36.7%	21.4%	6.0%	0.3%	-81.7M	-3.63B	-50.9M	1.53	15.16	208,332	318,839	1,719,140	4,070,097
2013-10-15	$107.34	$104.00	19.3%	6.2%	15.6%	45.3%	22.3%	6.3%	-0.4%	-224.2M	-1.64B	-52.6M	2.11	4.35	161,821	342,072	1,739,850	4,159,303
2013-10-16	$108.44	$104.00	16.6%	6.1%	15.7%	28.4%	21.7%	5.0%	0.5%	83.0M	-4.56B	-48.2M	2.62	16.34	148,935	390,626	1,748,194	4,216,526
2013-10-17	$109.54	$104.00	14.2%	5.9%	16.0%	12.6%	21.0%	4.1%	0.9%	351.8M	-6.54B	-45.5M	1.70	4.54	171,818	292,682	1,725,383	4,272,685
2013-10-18	$110.60	$103.00	13.7%	5.9%	16.2%	9.4%	22.5%	3.9%	1.2%	411.9M	-8.94B	-42.7M	1.93	31.80	217,531	419,558	1,756,886	4,347,999
2013-10-21	$110.34	$106.00	14.0%	6.0%	16.2%	11.4%	19.1%	3.8%	1.1%	9.4M	-4.38B	-43.3M	3.70	4.78	102,097	378,224	1,370,633	3,230,538
2013-10-22	$110.70	$105.00	14.4%	5.9%	16.2%	13.8%	22.8%	3.6%	0.7%	-36.0M	-4.51B	-44.3M	2.55	4.23	129,809	331,223	1,404,354	3,331,615
2013-10-23	$110.39	$105.00	14.6%	5.9%	16.2%	15.4%	22.6%	3.9%	1.0%	-176.1M	-3.73B	-45.7M	4.00	2.94	96,531	385,981	1,441,862	3,422,001
2013-10-24	$111.16	$105.00	14.1%	5.9%	16.2%	11.7%	22.5%	3.5%	-0.0%	-127.2M	-4.99B	-44.6M	2.52	4.58	94,950	238,908	1,465,331	3,540,425
2013-10-25	$111.00	$105.00	14.1%	5.9%	16.1%	12.0%	23.1%	3.6%	-0.1%	-171.2M	-4.57B	-45.4M	3.30	12.97	100,200	330,781	1,484,759	3,636,086
2013-10-28	$111.12	$105.00	14.2%	5.9%	16.1%	12.7%	20.9%	3.5%	0.9%	-203.1M	-3.93B	-45.3M	2.17	15.77	79,346	172,157	1,410,698	3,489,065
2013-10-29	$111.31	$112.00	14.3%	5.9%	15.7%	13.6%	20.7%	3.6%	1.2%	-149.6M	-4.52B	-45.2M	2.12	2.40	103,820	219,643	1,451,862	3,546,489
2013-10-30	$110.12	$112.00	14.9%	6.0%	16.0%	17.4%	22.4%	3.6%	0.7%	-439.3M	-1.93B	-48.5M	2.35	4.57	162,359	381,593	1,498,413	3,586,241
2013-10-31	$109.36	$112.00	15.0%	6.0%	15.8%	18.1%	22.8%	3.7%	0.9%	-597.8M	-172.1M	-49.2M	1.79	7.70	144,350	258,121	1,528,845	3,697,279