IWM Options History — June 2014 In June 2014, IWM traded between $111.83 and $118.84. ATM implied volatility averaged 16.0%, placing in the 23.5% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded below realized volatility by 0.4% (HV 20d: 16.4%). Max pain ranged from $110.00 to $112.00. Net GEX was positive for 3 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 2.30.
Notable Days 2014-06-05 : Highest Volume — 1,034,259 contracts2014-06-18 : Largest IV drop — 9.6% change2014-06-04 : Highest IV Rank — 47.7%2014-06-04 : Largest Expected Move — 5.5%Monthly Statistics Metric Avg Min Max Open Close Price $116.17 $111.83 $118.84 $112.09 $118.84 Max Pain $110.19 $110.00 $112.00 $110.00 $112.00 ATM IV 16.0% 14.1% 18.4% 17.8% 14.2% Expected Move 5.3% 5.1% 5.5% 5.5% 5.1% HV 20d 16.4% 12.9% 20.7% 19.2% 12.9% HV 60d 17.8% 17.1% 18.5% 17.5% 17.1% IV Rank 23.5% 5.2% 47.7% 41.9% 5.9% IV Percentile 33.9% 5.2% 74.2% 65.5% 6.0% Term Structure 0.0% -0.6% 1.0% -0.6% 0.2% VWIV 20.3% 17.2% 23.7% 19.6% 18.1% Skew 25d 4.4% 3.5% 5.9% 4.7% 4.0% Skew 10d 8.4% 7.1% 9.8% 8.5% 9.3% Call IV 25d 14.2% 12.3% 16.6% 16.1% 12.9% Put IV 25d 18.6% 16.5% 21.3% 20.8% 16.9% Bid-Ask Spread % 6.22 3.90 10.37 6.64 4.61 Gamma HHI 0.06 0.05 0.14 0.05 0.06 Net GEX -377.4M -952.3M 337.5M -552.9M -311.0M Net DEX -1.01B -6.01B 6.08B 5.43B -2.24B Net VEX -65.3M -70.7M -58.9M -65.7M -58.9M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 2.30 1.35 3.59 1.89 2.73 Total Volume 643,109.667 352,851 1,034,259 483,747 449,554 Total OI 6,431,639.429 5,187,374 7,394,214 5,927,613 5,450,301
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 2014-06-02 $112.09 $110.00 17.8% 5.5% 19.2% 41.9% 19.6% 4.7% -0.6% -552.9M 5.43B -65.7M 1.89 6.64 167,166 316,581 2,057,822 3,869,791 2014-06-03 $111.83 $110.00 18.4% 5.5% 19.2% 47.3% 20.0% 4.8% -0.6% -643.2M 6.08B -66.0M 2.29 7.27 166,656 381,870 2,109,268 3,941,719 2014-06-04 $112.42 $110.00 18.4% 5.5% 18.6% 47.7% 20.9% 4.6% -0.6% -585.0M 4.73B -66.9M 2.73 5.43 157,715 431,191 2,146,206 4,073,075 2014-06-05 $112.67 $110.00 16.8% 5.5% 18.6% 31.4% 21.3% 5.9% 0.1% -28.7M -1.94B -64.9M 1.55 9.34 405,260 628,999 2,191,398 4,279,264 2014-06-06 $116.12 $110.00 16.1% 5.2% 20.7% 25.1% 21.6% 3.5% -0.5% 337.5M -5.58B -62.6M 1.35 9.71 405,009 547,690 2,230,005 4,467,627 2014-06-09 $116.91 $110.00 16.6% 5.2% 20.7% 30.1% 20.5% 4.1% -0.2% -52.3M -4.66B -62.7M 1.96 6.56 328,086 644,418 2,083,562 4,287,287 2014-06-10 $116.66 $110.00 16.5% 5.2% 19.4% 29.2% 19.5% 4.0% -0.4% -197.6M -3.25B -66.3M 1.88 6.75 286,935 539,260 2,170,048 4,557,629 2014-06-11 $116.02 $110.00 16.8% 5.3% 19.0% 31.4% 20.7% 4.3% -0.1% -341.9M -1.62B -69.6M 2.91 5.94 129,556 376,602 2,280,229 4,698,860 2014-06-12 $115.45 $110.00 16.7% 5.4% 18.2% 30.9% 19.8% 4.3% 0.3% -650.8M 736.1M -70.6M 2.28 10.11 240,402 548,433 2,323,421 4,810,833 2014-06-13 $115.69 $110.00 16.6% 5.3% 16.6% 29.7% 20.4% 4.2% -0.6% -867.9M -107.6M -70.7M 2.53 10.37 166,247 419,807 2,370,127 4,927,566 2014-06-16 $116.13 $110.00 16.7% 5.4% 16.0% 30.4% 22.0% 4.7% 0.3% -344.8M -846.2M -68.5M 2.28 4.58 107,617 245,234 2,294,666 4,751,728 2014-06-17 $116.88 $110.00 16.1% 5.3% 15.7% 25.0% 21.9% 4.8% 0.6% -198.9M -3.03B -66.5M 2.06 4.87 238,553 491,532 2,311,608 4,823,617 2014-06-18 $117.88 $110.00 14.6% 5.2% 13.9% 9.8% 20.0% 4.2% 0.7% -20.1M -5.86B -63.5M 1.64 6.83 268,579 441,751 2,339,182 4,953,944 2014-06-19 $117.64 $110.00 14.1% 5.2% 14.1% 5.2% 20.3% 4.2% 1.0% 14.0M -5.35B -63.0M 2.57 4.86 205,829 529,711 2,334,344 4,959,285 2014-06-20 $118.25 $110.00 14.2% 5.2% 13.7% 6.3% 19.9% 4.2% 0.4% 124.9M -6.01B -60.6M 3.59 4.24 148,703 533,919 2,307,840 5,086,374 2014-06-23 $117.89 $110.00 14.5% 5.2% 13.7% 8.5% 21.6% 4.3% 0.3% -532.4M -692.5M -62.6M 1.96 4.35 130,412 256,030 1,455,567 3,731,807 2014-06-24 $116.79 $110.00 15.3% 5.3% 13.5% 17.3% 23.7% 4.4% 0.2% -808.2M 2.13B -66.3M 2.56 5.49 198,898 509,405 1,501,050 3,837,551 2014-06-25 $117.68 $110.00 15.2% 5.2% 13.5% 15.4% 17.2% 4.4% 0.2% -859.2M 769.5M -66.0M 3.43 3.90 126,927 435,930 1,563,306 4,022,618 2014-06-26 $117.57 $110.00 15.0% 5.2% 13.5% 14.3% 17.7% 4.1% 0.2% -952.3M 1.04B -65.7M 2.43 3.99 133,746 325,493 1,587,458 4,104,835 2014-06-27 $118.18 $112.00 14.6% 5.2% 13.3% 10.1% 20.4% 4.0% -0.0% -454.7M -912.6M -63.9M 1.60 4.87 168,880 270,717 1,618,611 4,152,999 2014-06-30 $118.84 $112.00 14.2% 5.1% 12.9% 5.9% 18.1% 4.0% 0.2% -311.0M -2.24B -58.9M 2.73 4.61 120,445 329,109 1,518,402 3,931,899
« May 2014 | All History | Jul 2014 » Home IWM History June 2014