IWM Options History — March 2014

In March 2014, IWM traded between $114.28 and $119.98. ATM implied volatility averaged 17.7%, placing in the 45.7% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 3.4% (HV 20d: 14.3%). Max pain ranged from $112.00 to $112.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 2.55.

Notable Days

2014-03-04: Highest Volume — 1,112,985 contracts
2014-03-26: Largest IV spike — 9.9% change
2014-03-14: Highest IV Rank — 61.4%
2014-03-14: Largest Expected Move — 6.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$117.83	$114.28	$119.98	$116.88	$116.16
Max Pain	$112.00	$112.00	$112.00	$112.00	$112.00
ATM IV	17.7%	16.4%	19.3%	18.1%	18.4%
Expected Move	5.9%	5.7%	6.1%	6.0%	6.0%
HV 20d	14.3%	12.6%	16.9%	16.8%	16.9%
HV 60d	15.9%	15.3%	16.3%	15.3%	16.3%
IV Rank	45.7%	33.1%	61.4%	51.8%	48.1%
IV Percentile	69.7%	48.8%	86.1%	79.8%	79.0%
Term Structure	0.2%	-0.6%	1.1%	0.4%	-0.1%
VWIV	21.8%	19.7%	24.6%	22.8%	19.7%
Skew 25d	5.3%	4.8%	6.7%	5.9%	5.1%
Skew 10d	9.8%	7.3%	12.4%	12.0%	8.4%
Call IV 25d	15.7%	14.3%	17.1%	15.6%	16.3%
Put IV 25d	21.0%	19.4%	23.6%	21.6%	21.3%
Bid-Ask Spread %	19.70	7.51	41.72	16.45	17.62
Gamma HHI	0.06	0.04	0.12	0.05	0.12
Net GEX	-784.7M	-1.55B	-194.5M	-627.7M	-1.20B
Net DEX	1.07B	-6.20B	11.60B	267.3M	6.25B
Net VEX	-59.5M	-66.6M	-51.9M	-58.9M	-59.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.55	1.36	4.26	2.86	2.13
Total Volume	669,679.048	381,707	1,112,985	635,197	731,515
Total OI	5,892,337.19	4,521,465	6,831,447	5,471,970	4,902,393

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
2014-03-03	$116.88	$112.00	18.1%	6.0%	16.8%	51.8%	22.8%	5.9%	0.4%	-627.7M	267.3M	-58.9M	2.86	16.45	164,533	470,664	1,474,927	3,997,043
2014-03-04	$119.98	$112.00	16.9%	5.7%	12.9%	40.8%	22.7%	5.1%	-0.1%	-194.5M	-6.20B	-51.9M	2.35	27.69	332,472	780,513	1,507,399	4,083,250
2014-03-05	$119.80	$112.00	16.7%	5.7%	13.1%	38.9%	20.8%	5.5%	0.2%	-316.8M	-5.24B	-56.0M	2.96	23.63	96,344	285,363	1,624,672	4,352,233
2014-03-06	$119.68	$112.00	17.1%	5.8%	12.8%	42.4%	21.5%	4.8%	0.0%	-350.5M	-4.97B	-55.8M	4.26	14.59	87,689	373,634	1,633,247	4,435,949
2014-03-07	$119.74	$112.00	16.9%	5.8%	12.8%	41.0%	20.7%	4.9%	0.2%	-571.5M	-4.71B	-56.9M	3.02	41.72	121,727	367,916	1,645,261	4,542,150
2014-03-10	$119.40	$112.00	17.3%	5.8%	12.6%	44.3%	21.6%	5.3%	-0.2%	-514.8M	-3.27B	-57.4M	4.22	7.51	90,572	381,987	1,574,491	4,388,574
2014-03-11	$117.85	$112.00	18.1%	5.8%	13.9%	51.6%	21.8%	5.5%	-0.6%	-735.1M	613.6M	-61.4M	2.08	7.96	238,841	496,895	1,600,634	4,524,979
2014-03-12	$118.49	$112.00	17.7%	5.8%	13.8%	48.0%	23.9%	5.3%	-0.2%	-661.8M	-755.2M	-62.3M	2.96	19.72	147,162	435,016	1,713,624	4,684,222
2014-03-13	$117.35	$112.00	18.5%	6.1%	14.4%	54.9%	21.6%	5.7%	-0.3%	-988.3M	2.90B	-63.5M	3.46	21.28	193,960	670,620	1,758,286	4,762,763
2014-03-14	$117.39	$112.00	19.3%	6.1%	14.0%	61.4%	22.2%	6.7%	-0.4%	-909.5M	2.95B	-66.6M	2.76	39.91	188,804	521,072	1,772,574	4,875,972
2014-03-17	$117.98	$112.00	18.3%	5.8%	14.0%	52.5%	21.6%	5.8%	0.5%	-738.7M	729.7M	-62.9M	1.36	16.93	232,947	317,498	1,735,600	4,781,439
2014-03-18	$119.64	$112.00	16.5%	5.9%	14.4%	33.3%	21.6%	5.4%	1.1%	-462.8M	-3.87B	-59.5M	1.55	14.88	163,904	253,335	1,796,503	4,876,365
2014-03-19	$118.89	$112.00	17.0%	5.9%	14.0%	37.9%	24.6%	5.3%	0.5%	-559.1M	-2.12B	-59.9M	2.15	19.02	160,275	344,037	1,821,155	4,957,953
2014-03-20	$119.33	$112.00	16.6%	5.8%	13.6%	34.0%	23.8%	5.1%	0.3%	-476.7M	-3.31B	-57.7M	2.66	10.39	125,448	333,079	1,839,145	4,938,342
2014-03-21	$118.61	$112.00	16.4%	5.8%	13.9%	33.1%	19.7%	5.2%	1.1%	-741.4M	-1.32B	-58.3M	2.12	24.63	291,199	616,755	1,842,682	4,988,765
2014-03-24	$117.16	$112.00	17.4%	6.1%	14.4%	38.8%	21.3%	5.0%	0.4%	-1.09B	5.05B	-57.3M	2.21	18.92	233,004	514,527	1,183,998	3,337,467
2014-03-25	$116.93	$112.00	17.5%	6.1%	14.5%	40.3%	21.3%	5.2%	0.3%	-1.10B	5.77B	-59.7M	2.17	8.23	206,181	448,122	1,230,896	3,462,529
2014-03-26	$114.54	$112.00	19.3%	6.0%	16.1%	56.1%	22.4%	5.0%	0.4%	-1.31B	10.69B	-61.0M	2.34	26.58	291,146	680,753	1,300,015	3,555,466
2014-03-27	$114.29	$112.00	19.2%	6.1%	15.8%	55.5%	21.8%	5.1%	0.2%	-1.38B	11.60B	-61.6M	2.15	21.62	262,377	565,119	1,353,432	3,691,148
2014-03-28	$114.28	$112.00	19.2%	6.1%	15.8%	55.4%	20.7%	5.0%	0.1%	-1.55B	11.46B	-62.0M	1.86	14.38	296,212	550,043	1,433,165	3,758,373
2014-03-31	$116.16	$112.00	18.4%	6.0%	16.9%	48.1%	19.7%	5.1%	-0.1%	-1.20B	6.25B	-59.2M	2.13	17.62	233,990	497,525	1,326,909	3,575,484