IWM Options History — February 2014

In February 2014, IWM traded between $108.36 and $118.08. ATM implied volatility averaged 18.0%, placing in the 50.0% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded below realized volatility by 1.4% (HV 20d: 19.4%). Max pain ranged from $112.00 to $112.00. Net GEX was positive for 4 of 19 trading days. Term structure was in contango for 11 of 19 days. Put/call ratio averaged 2.42.

Notable Days

  • 2014-02-03: Highest Volume — 1,317,657 contracts
  • 2014-02-07: Largest IV drop — 13.0% change
  • 2014-02-03: Highest IV Rank — 100.0%
  • 2014-02-03: Largest Expected Move — 6.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$113.47$108.36$118.08$108.50$117.63
Max Pain$112.00$112.00$112.00$112.00$112.00
ATM IV18.0%15.8%23.7%23.7%16.7%
Expected Move6.0%5.7%6.4%6.4%5.7%
HV 20d19.4%16.5%21.0%19.3%16.5%
HV 60d15.6%15.3%16.0%15.9%15.3%
IV Rank50.0%31.3%100.0%100.0%39.2%
IV Percentile65.7%43.3%100.0%100.0%57.1%
Term Structure0.1%-0.6%0.9%-0.5%0.8%
VWIV22.1%19.3%24.2%23.0%19.3%
Skew 25d5.5%4.4%8.2%8.2%5.3%
Skew 10d10.3%8.3%11.6%11.2%11.6%
Call IV 25d15.8%14.0%20.2%20.2%14.4%
Put IV 25d21.2%18.4%28.4%28.4%19.7%
Bid-Ask Spread %6.184.0711.458.4411.45
Gamma HHI0.080.040.260.070.05
Net GEX-420.2M-1.19B979.2M-1.10B-325.5M
Net DEX2.91B-4.42B13.57B13.33B-2.49B
Net VEX-59.9M-65.7M-53.8M-62.6M-58.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.421.053.832.302.98
Total Volume695,010.684391,0471,317,6571,317,657808,155
Total OI5,762,822.8424,868,5266,521,1115,054,6835,639,888

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-02-03$108.50$112.0023.7%6.4%19.3%100.0%23.0%8.2%-0.5%-1.10B13.33B-62.6M2.308.44399,113918,5441,523,5653,531,118
2014-02-04$108.96$112.0022.2%6.3%19.4%86.8%22.4%7.4%-0.5%-1.14B12.45B-64.1M1.775.75211,510375,3351,690,5773,680,768
2014-02-05$108.36$112.0022.7%6.3%19.1%91.5%23.0%7.1%-0.1%-1.18B13.57B-64.3M3.447.93196,245674,3461,753,4443,794,207
2014-02-06$109.29$112.0021.4%6.2%19.5%80.0%23.0%6.5%0.3%-1.19B12.03B-65.7M2.907.47168,025486,9181,817,2894,009,753
2014-02-07$110.78$112.0018.6%6.1%20.3%55.6%21.8%5.6%0.1%-952.4M8.17B-64.6M2.348.86267,340624,7201,868,2574,036,684
2014-02-10$110.95$112.0018.3%6.0%20.1%53.4%24.2%5.4%-0.0%-994.5M7.97B-63.3M2.894.51100,442290,6051,803,3144,045,788
2014-02-11$111.95$112.0017.2%6.0%20.1%43.4%20.7%5.1%0.1%-828.6M5.56B-62.6M2.225.88191,906426,7211,819,5914,092,875
2014-02-12$112.50$112.0016.7%6.0%19.8%39.3%22.3%4.9%0.5%-658.8M4.08B-62.4M2.504.10129,389323,4971,865,0374,140,996
2014-02-13$113.84$112.0016.0%5.9%20.1%33.2%19.3%4.6%0.2%-242.8M654.8M-60.8M1.364.63263,236357,2361,882,2234,238,880
2014-02-14$114.02$112.0015.8%5.9%20.1%31.3%19.7%4.4%0.2%979.2M118.0M-61.1M1.915.34214,651410,1311,970,9804,333,560
2014-02-18$115.22$112.0016.2%5.9%20.5%34.8%20.3%4.5%0.3%221.8M-3.01B-56.3M2.825.97188,766532,6111,932,2774,270,038
2014-02-19$114.08$112.0017.8%5.9%20.7%48.6%23.2%5.1%0.3%-245.3M1.14B-59.4M3.245.21164,767534,3281,963,2424,417,329
2014-02-20$115.35$112.0016.8%5.9%21.0%39.8%22.4%4.9%0.3%240.2M-2.68B-56.3M1.055.05382,723402,3011,945,7154,374,655
2014-02-21$115.70$112.0016.2%5.9%21.0%34.7%22.0%4.8%0.9%299.7M-3.72B-57.1M1.415.35247,026349,4632,002,8294,518,282
2014-02-24$116.63$112.0016.0%5.9%18.4%32.8%23.8%5.0%-0.6%-268.5M-2.32B-53.8M2.048.01234,794477,8971,343,8663,524,660
2014-02-25$116.80$112.0016.2%5.9%17.8%34.8%22.9%5.0%-0.1%-265.5M-2.26B-54.8M3.834.07112,605431,6911,424,9593,637,771
2014-02-26$117.23$112.0016.7%5.9%17.5%38.6%22.1%5.1%-0.4%-234.2M-2.88B-55.3M1.425.12263,173374,0961,455,7713,757,758
2014-02-27$118.08$112.0016.0%5.7%16.5%32.5%23.6%5.0%-0.3%-94.8M-4.42B-54.6M3.614.38145,468525,4291,518,9223,866,766
2014-02-28$117.63$112.0016.7%5.7%16.5%39.2%19.3%5.3%0.8%-325.5M-2.49B-58.8M2.9811.45203,041605,1141,561,9564,077,932