IWM Options History — January 2014

In January 2014, IWM traded between $111.43 and $117.19. ATM implied volatility averaged 15.8%, placing in the 31.5% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 2.5% (HV 20d: 13.3%). Max pain ranged from $112.00 to $112.00. Net GEX was positive for 3 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 2.19.

Notable Days

2014-01-31: Highest Volume — 1,011,603 contracts
2014-01-24: Largest IV spike — 29.4% change
2014-01-31: Highest IV Rank — 70.4%
2014-01-30: Largest Expected Move — 6.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$114.54	$111.43	$117.19	$114.29	$112.19
Max Pain	$112.00	$112.00	$112.00	$112.00	$112.00
ATM IV	15.8%	13.7%	20.2%	15.8%	20.2%
Expected Move	6.0%	5.9%	6.2%	6.1%	6.1%
HV 20d	13.3%	9.4%	16.0%	13.7%	15.6%
HV 60d	13.4%	12.7%	14.5%	14.2%	14.3%
IV Rank	31.5%	13.2%	70.4%	31.5%	70.4%
IV Percentile	40.9%	6.0%	95.6%	48.8%	95.6%
Term Structure	0.3%	-0.1%	1.4%	0.5%	0.0%
VWIV	21.9%	18.2%	25.1%	22.8%	21.3%
Skew 25d	4.5%	3.3%	6.3%	3.8%	6.2%
Skew 10d	9.1%	6.9%	13.6%	7.7%	13.6%
Call IV 25d	13.9%	11.9%	17.3%	14.1%	17.3%
Put IV 25d	18.4%	15.8%	23.5%	17.9%	23.5%
Bid-Ask Spread %	8.38	3.10	41.05	3.51	13.75
Gamma HHI	0.07	0.05	0.27	0.07	0.09
Net GEX	-345.5M	-1.15B	409.8M	-121.0M	-961.6M
Net DEX	-24.3M	-6.04B	9.18B	-1.58B	7.57B
Net VEX	-53.4M	-64.4M	-47.5M	-47.5M	-64.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.19	0.90	4.35	1.32	4.35
Total Volume	532,085	283,529	1,011,603	506,975	1,011,603
Total OI	4,778,751.143	4,113,818	5,558,917	4,386,598	5,336,914

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
2014-01-02	$114.29	$112.00	15.8%	6.1%	13.7%	31.5%	22.8%	3.8%	0.5%	-121.0M	-1.58B	-47.5M	1.32	3.51	218,241	288,734	1,328,077	3,058,521
2014-01-03	$114.73	$112.00	15.3%	6.0%	13.8%	26.8%	24.3%	3.8%	0.2%	-55.7M	-2.73B	-47.9M	1.49	11.27	127,037	188,730	1,410,217	3,138,568
2014-01-06	$113.88	$112.00	15.8%	6.1%	14.1%	31.9%	21.5%	4.0%	-0.0%	-115.1M	-994.8M	-48.3M	1.66	6.35	141,200	234,966	1,370,983	3,071,234
2014-01-07	$114.70	$112.00	14.9%	6.0%	14.0%	24.0%	18.2%	4.0%	0.2%	-1.1M	-2.87B	-47.9M	2.40	6.99	99,494	239,180	1,440,105	3,174,723
2014-01-08	$114.87	$112.00	14.9%	6.0%	14.0%	23.3%	23.6%	4.0%	0.2%	-68.6M	-2.88B	-48.4M	1.97	7.47	95,528	188,001	1,463,862	3,253,036
2014-01-09	$114.86	$112.00	14.7%	6.0%	13.5%	21.6%	20.6%	3.9%	0.3%	-22.0M	-3.23B	-48.4M	2.16	5.12	105,053	227,348	1,494,768	3,329,733
2014-01-10	$115.49	$112.00	14.2%	6.0%	11.8%	17.7%	19.8%	3.8%	0.5%	58.1M	-4.61B	-47.9M	2.09	6.53	109,811	229,004	1,522,903	3,415,197
2014-01-13	$114.13	$112.00	15.4%	6.0%	12.9%	28.4%	24.3%	3.7%	0.2%	-83.5M	-1.46B	-49.3M	1.68	3.10	152,958	257,436	1,493,476	3,357,220
2014-01-14	$115.35	$112.00	14.6%	6.0%	13.2%	21.4%	23.2%	3.5%	0.3%	-38.5M	-4.14B	-47.5M	0.91	6.73	265,614	242,834	1,508,712	3,423,443
2014-01-15	$116.21	$112.00	14.0%	6.0%	12.9%	15.7%	22.9%	3.3%	0.4%	118.4M	-6.04B	-48.1M	1.83	6.39	221,270	404,637	1,581,669	3,483,697
2014-01-16	$116.15	$112.00	14.7%	6.0%	12.9%	21.5%	22.7%	4.0%	-0.1%	-42.7M	-5.17B	-51.8M	4.19	6.38	124,144	520,145	1,606,561	3,721,530
2014-01-17	$116.03	$112.00	14.5%	6.0%	11.9%	20.4%	18.6%	4.0%	-0.1%	409.8M	-4.44B	-54.8M	2.07	12.28	175,499	363,121	1,621,048	3,937,869
2014-01-21	$116.58	$112.00	13.9%	6.0%	11.3%	14.8%	19.7%	4.4%	1.3%	-409.0M	-1.12B	-53.6M	2.91	3.63	84,672	246,255	1,101,208	3,012,610
2014-01-22	$117.19	$112.00	13.7%	5.9%	9.4%	13.3%	19.8%	4.3%	1.4%	-288.8M	-2.14B	-52.2M	2.74	3.35	84,322	231,198	1,138,289	3,108,268
2014-01-23	$116.53	$112.00	13.7%	6.0%	9.6%	13.2%	23.2%	4.3%	1.1%	-510.9M	-665.8M	-55.2M	2.46	4.18	147,604	362,456	1,162,444	3,166,665
2014-01-24	$113.31	$112.00	17.8%	6.1%	13.9%	48.9%	22.5%	6.3%	-0.1%	-910.4M	5.99B	-60.5M	2.08	6.58	325,062	674,552	1,211,496	3,307,771
2014-01-27	$111.98	$112.00	18.6%	6.1%	14.4%	56.3%	21.6%	6.0%	-0.1%	-1.03B	7.95B	-61.5M	2.24	5.70	293,164	657,106	1,217,714	3,362,184
2014-01-28	$113.11	$112.00	17.4%	6.1%	15.0%	46.0%	22.2%	5.3%	0.1%	-997.5M	5.75B	-61.7M	0.90	5.73	289,283	261,517	1,284,738	3,499,036
2014-01-29	$111.43	$112.00	18.8%	6.1%	15.8%	58.2%	25.1%	6.0%	0.1%	-1.15B	9.18B	-62.7M	2.63	9.94	196,638	516,636	1,467,915	3,559,445
2014-01-30	$112.33	$112.00	18.5%	6.2%	16.0%	55.4%	21.9%	6.0%	0.4%	-1.04B	7.12B	-62.5M	1.96	41.05	193,154	378,578	1,526,694	3,683,231
2014-01-31	$112.19	$112.00	20.2%	6.1%	15.6%	70.4%	21.3%	6.2%	0.0%	-961.6M	7.57B	-64.4M	4.35	13.75	188,920	822,683	1,585,294	3,751,620