IWM Options History — November 2013

In November 2013, IWM traded between $107.30 and $113.51. ATM implied volatility averaged 15.1%, placing in the 24.4% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 1.5% (HV 20d: 13.7%). Max pain ranged from $112.00 to $112.00. Net GEX was positive for 4 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 2.22.

Notable Days

  • 2013-11-07: Highest Volume — 752,520 contracts
  • 2013-11-18: Largest IV spike — 8.9% change
  • 2013-11-07: Highest IV Rank — 36.8%
  • 2013-11-21: Largest Expected Move — 6.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$110.30$107.30$113.51$108.63$113.51
Max Pain$112.00$112.00$112.00$112.00$112.00
ATM IV15.1%14.2%16.4%15.4%14.5%
Expected Move6.1%6.0%6.2%6.0%6.1%
HV 20d13.7%12.2%15.9%15.9%14.0%
HV 60d14.0%13.2%14.7%14.1%13.4%
IV Rank24.4%16.5%36.8%20.5%20.3%
IV Percentile26.9%10.7%45.6%29.8%15.5%
Term Structure0.3%-0.7%0.7%0.6%-0.1%
VWIV21.6%17.6%24.1%17.6%22.5%
Skew 25d3.7%3.4%4.3%3.7%3.9%
Skew 10d7.5%6.7%8.6%7.9%6.9%
Call IV 25d13.5%12.3%14.9%13.6%13.2%
Put IV 25d17.3%16.3%18.6%17.3%17.1%
Bid-Ask Spread %7.372.4917.6215.755.45
Gamma HHI0.070.050.250.070.05
Net GEX-355.6M-933.7M357.6M-739.8M7.9M
Net DEX-1.99B-6.98B4.42B1.39B-6.79B
Net VEX-48.6M-51.0M-46.4M-50.0M-48.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.221.033.112.682.33
Total Volume412,129.2215,326752,520643,689344,424
Total OI5,205,252.14,353,7075,800,6855,309,0655,238,410

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-11-01$108.63$112.0015.4%6.0%15.9%20.5%17.6%3.7%0.6%-739.8M1.39B-50.0M2.6815.75175,142468,5471,566,2663,742,799
2013-11-04$109.92$112.0014.8%6.0%15.5%16.5%18.0%3.6%0.7%-396.4M-1.93B-47.6M1.843.7696,142177,1391,521,5613,677,973
2013-11-05$109.52$112.0015.0%6.0%14.2%17.9%21.1%3.7%0.6%-454.9M-979.9M-48.3M1.384.4790,542124,7841,559,9003,729,547
2013-11-06$109.11$112.0015.5%6.0%14.2%20.8%22.8%3.5%0.7%-563.4M-170.7M-48.7M3.112.49101,944317,4781,576,6503,759,263
2013-11-07$107.30$112.0016.4%6.1%13.4%36.8%24.1%3.6%0.6%-933.7M4.42B-51.0M2.8715.92194,305558,2151,615,8573,877,202
2013-11-08$109.12$112.0015.5%6.0%13.6%28.9%23.6%3.5%0.7%-834.4M55.3M-50.0M2.6117.62187,442488,4451,642,1573,963,600
2013-11-11$109.33$112.0015.6%6.0%13.5%29.7%22.3%3.4%0.4%-484.4M-622.7M-48.3M2.419.8772,117173,4701,609,7343,928,093
2013-11-12$109.48$112.0015.6%6.0%13.1%30.1%20.5%3.8%0.6%-454.5M-919.8M-47.6M2.163.3491,151197,0081,623,7143,948,614
2013-11-13$110.44$112.0015.3%6.1%13.0%27.6%21.2%3.6%0.4%-240.5M-3.19B-47.5M1.615.01149,196240,7591,661,3404,027,087
2013-11-14$110.41$112.0015.0%6.1%12.6%24.8%22.1%3.7%0.6%-292.8M-3.11B-47.6M2.323.69110,757257,3451,687,0014,045,401
2013-11-15$110.90$112.0014.3%6.1%12.2%18.7%21.4%3.7%0.5%357.6M-4.39B-46.4M1.034.83206,808212,1801,699,1354,101,550
2013-11-18$110.08$112.0015.6%6.1%12.4%29.9%21.5%4.3%0.3%-409.7M-861.3M-47.8M2.804.30120,030336,2451,290,6253,063,082
2013-11-19$109.45$112.0016.1%6.2%12.5%34.1%24.1%4.1%0.2%-616.9M824.4M-49.8M2.643.88105,956279,9931,334,7423,189,637
2013-11-20$109.38$112.0015.7%6.2%12.5%30.7%20.9%4.0%0.2%-690.5M1.27B-50.5M1.2313.31188,026230,8601,365,9363,293,165
2013-11-21$109.32$112.0015.0%6.2%12.2%24.5%20.5%4.2%-0.7%-301.1M-2.93B-48.1M1.585.08185,983293,4031,465,9113,346,313
2013-11-22$111.79$112.0014.3%6.1%14.7%18.4%23.1%3.7%0.4%-42.4M-4.48B-49.5M1.332.63201,879268,4921,567,7163,406,143
2013-11-25$112.00$112.0014.6%6.1%14.7%21.4%21.2%3.8%-0.0%-125.2M-4.47B-49.3M2.375.8580,983191,6411,573,1203,323,688
2013-11-26$112.77$112.0014.2%6.0%14.9%17.5%21.6%3.6%-0.0%22.2M-5.89B-48.1M2.969.0489,643265,7641,602,1093,371,419
2013-11-27$113.45$112.0014.4%6.0%14.4%19.1%21.0%3.4%0.0%81.2M-6.98B-47.8M3.0811.1490,290278,0561,633,5053,475,077
2013-11-29$113.51$112.0014.5%6.1%14.0%20.3%22.5%3.9%-0.1%7.9M-6.79B-48.3M2.335.45103,326241,0981,650,5883,587,822