IWM Options History — May 2014

In May 2014, IWM traded between $107.83 and $113.59. ATM implied volatility averaged 17.9%, placing in the 42.5% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 0.7% (HV 20d: 17.2%). Max pain ranged from $110.00 to $116.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 1.74.

Notable Days

2014-05-15: Highest Volume — 1,499,858 contracts
2014-05-09: Largest IV drop — 10.6% change
2014-05-08: Highest IV Rank — 66.2%
2014-05-08: Largest Expected Move — 5.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$110.99	$107.83	$113.59	$111.90	$112.83
Max Pain	$113.62	$110.00	$116.00	$116.00	$110.00
ATM IV	17.9%	16.2%	20.3%	18.2%	16.2%
Expected Move	5.5%	5.2%	5.7%	5.5%	5.4%
HV 20d	17.2%	12.8%	19.1%	18.5%	19.1%
HV 60d	17.1%	16.2%	18.3%	16.3%	17.5%
IV Rank	42.5%	25.5%	66.2%	45.7%	25.5%
IV Percentile	63.9%	35.3%	92.5%	73.0%	35.3%
Term Structure	0.0%	-0.7%	0.7%	0.1%	0.7%
VWIV	20.0%	17.0%	24.8%	24.2%	20.4%
Skew 25d	4.6%	4.0%	5.3%	4.6%	4.0%
Skew 10d	9.0%	7.3%	10.4%	10.0%	8.0%
Call IV 25d	15.8%	14.4%	17.8%	16.3%	14.5%
Put IV 25d	20.4%	18.5%	23.1%	20.9%	18.5%
Bid-Ask Spread %	11.84	5.92	29.15	21.59	11.39
Gamma HHI	0.08	0.05	0.11	0.08	0.05
Net GEX	-942.0M	-1.59B	-125.8M	-1.31B	-462.8M
Net DEX	10.18B	-182.5M	18.88B	11.34B	2.38B
Net VEX	-64.1M	-67.4M	-61.0M	-66.8M	-65.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.74	1.10	2.43	1.73	1.98
Total Volume	790,648.095	442,124	1,499,858	921,786	722,825
Total OI	6,171,802	5,198,501	7,158,198	6,160,464	6,170,208

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
2014-05-01	$111.90	$116.00	18.2%	5.5%	18.5%	45.7%	24.2%	4.6%	0.1%	-1.31B	11.34B	-66.8M	1.73	21.59	337,391	584,395	1,920,431	4,240,033
2014-05-02	$111.99	$115.00	18.3%	5.5%	18.4%	46.3%	24.8%	4.8%	0.1%	-1.40B	11.04B	-67.4M	1.56	8.95	327,765	511,817	2,005,858	4,321,576
2014-05-05	$111.55	$115.00	18.7%	5.5%	16.7%	50.9%	20.1%	5.2%	0.1%	-1.21B	12.12B	-65.9M	2.38	10.87	130,989	311,135	1,900,212	4,167,354
2014-05-06	$110.11	$115.00	19.6%	5.7%	16.4%	59.4%	20.5%	5.1%	0.0%	-1.48B	15.79B	-64.2M	2.43	10.16	202,655	493,008	1,922,511	4,234,293
2014-05-07	$110.19	$115.00	19.5%	5.6%	16.1%	59.0%	20.3%	5.1%	-0.1%	-1.51B	15.90B	-65.3M	1.76	18.91	435,210	766,778	1,993,712	4,345,181
2014-05-08	$109.04	$115.00	20.3%	5.7%	15.5%	66.2%	22.8%	5.3%	-0.0%	-1.59B	18.41B	-64.7M	2.07	10.81	334,123	691,979	2,112,534	4,394,988
2014-05-09	$110.01	$115.00	18.1%	5.6%	12.8%	44.7%	19.7%	4.8%	-0.0%	-1.20B	15.80B	-64.7M	1.89	22.66	343,858	649,344	2,205,666	4,439,847
2014-05-12	$112.52	$115.00	17.1%	5.3%	14.5%	34.8%	17.0%	4.1%	-0.5%	-909.9M	7.94B	-64.1M	1.48	12.48	364,517	537,670	2,140,070	4,263,180
2014-05-13	$111.32	$115.00	17.1%	5.5%	15.0%	34.7%	19.9%	4.3%	0.2%	-1.17B	11.55B	-63.7M	1.62	8.25	238,873	386,787	2,194,420	4,349,457
2014-05-14	$109.70	$115.00	18.2%	5.5%	15.8%	45.5%	19.3%	4.2%	-0.3%	-1.46B	16.55B	-62.5M	1.59	9.41	356,464	565,066	2,296,530	4,437,950
2014-05-15	$107.83	$115.00	18.9%	5.7%	16.6%	52.3%	18.2%	5.0%	-0.1%	-1.58B	18.88B	-61.0M	1.92	10.30	513,011	986,847	2,381,046	4,492,208
2014-05-16	$109.49	$115.00	18.2%	5.6%	17.3%	45.4%	21.7%	4.4%	0.2%	-877.6M	16.78B	-62.4M	1.76	29.15	299,678	528,896	2,492,046	4,666,152
2014-05-19	$110.84	$115.00	17.0%	5.4%	17.9%	33.9%	19.9%	4.8%	0.3%	-628.1M	7.06B	-62.5M	1.72	11.56	221,874	381,296	1,697,739	3,500,762
2014-05-20	$108.93	$115.00	18.4%	5.6%	18.2%	47.7%	18.2%	4.9%	0.2%	-949.4M	11.18B	-62.8M	1.35	6.13	307,035	415,813	1,783,840	3,629,187
2014-05-21	$109.62	$115.00	17.7%	5.5%	18.4%	40.8%	19.2%	4.8%	0.5%	-759.3M	9.33B	-63.0M	1.97	5.92	227,975	450,045	1,866,830	3,690,419
2014-05-22	$110.94	$110.00	17.0%	5.4%	19.0%	33.9%	19.3%	4.2%	0.2%	-518.3M	6.40B	-61.9M	1.10	6.96	273,591	300,507	1,913,296	3,782,882
2014-05-23	$111.89	$110.00	16.3%	5.3%	18.3%	27.0%	17.3%	4.3%	0.5%	-170.5M	3.63B	-64.5M	1.16	14.01	331,060	383,191	2,016,493	3,862,318
2014-05-27	$113.59	$110.00	16.8%	5.2%	18.9%	31.3%	18.1%	4.2%	-0.7%	-125.8M	-182.5M	-63.7M	1.35	6.64	299,663	404,478	2,012,995	3,750,610
2014-05-28	$113.08	$110.00	17.2%	5.3%	19.0%	35.3%	19.2%	4.3%	-0.3%	-228.4M	1.39B	-64.9M	2.14	6.04	171,664	366,680	2,094,610	3,859,894
2014-05-29	$113.46	$110.00	16.8%	5.3%	18.9%	31.5%	19.2%	4.0%	-0.1%	-238.3M	422.3M	-64.3M	1.57	6.48	174,269	273,388	2,116,340	3,942,164
2014-05-30	$112.83	$110.00	16.2%	5.4%	19.1%	25.5%	20.4%	4.0%	0.7%	-462.8M	2.38B	-65.1M	1.98	11.39	242,770	480,055	2,174,103	3,996,105