IWM Options History — December 2013

In December 2013, IWM traded between $109.68 and $115.51. ATM implied volatility averaged 15.5%, placing in the 29.2% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 1.9% (HV 20d: 13.6%). Max pain ranged from $112.00 to $112.00. Net GEX was positive for 9 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 2.00.

Notable Days

2013-12-20: Highest Volume — 914,074 contracts
2013-12-18: Largest IV drop — 12.0% change
2013-12-12: Highest IV Rank — 47.6%
2013-12-12: Largest Expected Move — 6.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$112.65	$109.68	$115.51	$112.41	$115.51
Max Pain	$112.00	$112.00	$112.00	$112.00	$112.00
ATM IV	15.5%	13.6%	17.6%	15.7%	15.2%
Expected Move	6.1%	6.0%	6.3%	6.1%	6.1%
HV 20d	13.6%	11.2%	15.9%	14.3%	13.4%
HV 60d	14.0%	13.3%	14.8%	13.6%	14.3%
IV Rank	29.2%	12.1%	47.6%	30.8%	26.3%
IV Percentile	37.5%	5.6%	72.2%	42.5%	33.3%
Term Structure	0.5%	-0.3%	1.2%	0.2%	0.3%
VWIV	22.4%	19.1%	26.4%	23.9%	24.8%
Skew 25d	3.9%	3.0%	4.5%	4.0%	4.0%
Skew 10d	7.7%	5.4%	9.2%	7.2%	8.3%
Call IV 25d	14.0%	12.4%	16.0%	13.9%	14.1%
Put IV 25d	18.0%	15.4%	20.2%	17.9%	18.1%
Bid-Ask Spread %	5.64	2.71	13.20	3.33	6.55
Gamma HHI	0.08	0.05	0.17	0.06	0.06
Net GEX	6.6M	-662.8M	927.0M	-283.0M	99.9M
Net DEX	-3.84B	-11.12B	1.93B	-4.01B	-5.24B
Net VEX	-47.7M	-52.6M	-40.7M	-50.2M	-45.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.00	0.74	3.05	2.18	2.31
Total Volume	445,315.048	163,463	914,074	414,121	532,521
Total OI	5,266,226.429	4,369,351	5,956,349	5,039,770	5,062,023

Daily Data (21 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
2013-12-02	$112.41	$112.00	15.7%	6.1%	14.3%	30.8%	23.9%	4.0%	0.2%	-283.0M	-4.01B	-50.2M	2.18	3.33	130,101	284,020	1,617,055	3,422,715
2013-12-03	$111.66	$112.00	15.7%	6.2%	14.1%	30.7%	22.9%	4.4%	0.2%	-377.1M	-2.44B	-51.4M	3.05	3.16	113,045	345,292	1,657,602	3,483,945
2013-12-04	$111.56	$112.00	15.9%	6.2%	14.0%	32.6%	21.1%	4.5%	0.4%	-512.6M	-1.97B	-52.2M	2.03	3.23	110,371	224,004	1,670,844	3,582,197
2013-12-05	$111.52	$112.00	16.6%	6.2%	13.9%	38.6%	22.8%	4.5%	0.4%	-523.9M	-1.98B	-51.9M	2.06	4.27	120,133	247,739	1,691,688	3,611,017
2013-12-06	$112.45	$112.00	15.3%	6.2%	12.4%	27.4%	23.3%	4.2%	0.7%	-202.6M	-4.43B	-50.4M	1.86	4.03	133,155	247,950	1,751,356	3,705,938
2013-12-09	$112.52	$112.00	14.8%	6.1%	11.2%	22.4%	23.1%	3.9%	1.1%	-80.0M	-4.92B	-48.1M	1.84	4.76	57,479	105,984	1,730,306	3,492,962
2013-12-10	$111.49	$112.00	15.6%	6.2%	11.8%	30.0%	26.1%	4.1%	1.2%	-296.9M	-2.57B	-49.8M	2.94	4.98	65,097	191,691	1,740,319	3,521,989
2013-12-11	$109.69	$112.00	17.0%	6.2%	13.3%	42.1%	22.1%	4.3%	0.1%	-662.8M	1.93B	-52.0M	2.18	13.20	238,961	520,940	1,760,113	3,608,913
2013-12-12	$109.68	$112.00	17.6%	6.3%	12.9%	47.6%	19.5%	4.3%	-0.3%	-649.0M	1.77B	-52.6M	2.49	8.65	107,585	267,745	1,816,600	3,722,848
2013-12-13	$110.08	$112.00	17.5%	6.2%	13.0%	46.3%	22.0%	4.0%	0.1%	-493.4M	793.4M	-52.5M	0.97	4.62	299,208	289,028	1,837,793	3,771,489
2013-12-16	$111.38	$112.00	17.3%	6.2%	13.6%	45.4%	22.9%	4.5%	0.5%	-106.9M	-3.05B	-50.1M	1.88	2.77	102,865	193,550	1,934,647	3,707,677
2013-12-17	$111.24	$112.00	17.3%	6.3%	13.3%	44.8%	24.8%	4.5%	0.5%	-199.9M	-2.58B	-50.0M	2.43	2.71	88,675	215,423	1,963,520	3,762,050
2013-12-18	$113.01	$112.00	15.2%	6.2%	14.1%	26.4%	23.7%	3.6%	1.0%	322.5M	-7.47B	-45.2M	1.86	7.81	228,156	425,138	1,983,476	3,792,020
2013-12-19	$112.00	$112.00	15.2%	6.2%	14.6%	26.1%	26.4%	3.5%	0.3%	126.6M	-4.87B	-46.3M	1.83	5.08	155,969	285,190	2,025,630	3,774,796
2013-12-20	$114.15	$112.00	13.7%	6.1%	15.9%	12.7%	21.8%	3.0%	0.2%	927.0M	-11.12B	-41.5M	0.74	11.85	526,331	387,743	2,077,909	3,878,440
2013-12-23	$114.71	$112.00	13.6%	6.0%	14.0%	12.1%	19.2%	3.3%	1.2%	716.7M	-5.33B	-40.7M	1.57	4.29	238,381	373,634	1,341,850	3,027,501
2013-12-24	$115.22	$112.00	13.8%	6.0%	14.1%	14.2%	20.6%	3.3%	1.0%	580.9M	-6.36B	-42.1M	1.98	5.88	79,368	157,330	1,399,739	3,265,449
2013-12-26	$115.33	$112.00	13.9%	6.0%	13.9%	14.5%	19.9%	3.1%	0.4%	577.0M	-6.23B	-41.9M	1.05	5.38	174,051	182,002	1,413,245	3,321,633
2013-12-27	$115.19	$112.00	14.0%	6.1%	13.8%	15.7%	19.1%	3.3%	0.4%	636.9M	-5.81B	-42.6M	1.73	6.62	122,619	212,593	1,458,800	3,396,159
2013-12-30	$114.94	$112.00	15.1%	6.0%	13.9%	25.3%	20.5%	4.2%	0.4%	538.2M	-4.70B	-43.8M	3.05	5.24	140,978	429,571	1,415,846	3,390,656
2013-12-31	$115.51	$112.00	15.2%	6.1%	13.4%	26.3%	24.8%	4.0%	0.3%	99.9M	-5.24B	-45.5M	2.31	6.55	160,916	371,605	1,425,421	3,636,602