IWM Options History — July 2014

In July 2014, IWM traded between $111.35 and $120.01. ATM implied volatility averaged 16.9%, placing in the 33.0% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 4.3% (HV 20d: 12.6%). Max pain ranged from $113.00 to $115.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 1.89.

Notable Days

2014-07-17: Highest Volume — 1,345,409 contracts
2014-07-31: Largest IV spike — 16.7% change
2014-07-31: Highest IV Rank — 63.5%
2014-07-31: Largest Expected Move — 5.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$115.17	$111.35	$120.01	$120.01	$111.35
Max Pain	$114.64	$113.00	$115.00	$113.00	$115.00
ATM IV	16.9%	14.1%	20.0%	14.1%	20.0%
Expected Move	5.5%	5.0%	5.9%	5.0%	5.9%
HV 20d	12.6%	10.9%	14.2%	13.0%	14.2%
HV 60d	15.6%	15.2%	16.5%	16.5%	15.9%
IV Rank	33.0%	4.9%	63.5%	4.9%	63.5%
IV Percentile	54.5%	5.2%	92.5%	5.2%	92.5%
Term Structure	0.2%	-0.4%	0.8%	0.2%	-0.1%
VWIV	20.1%	16.8%	23.1%	18.1%	20.1%
Skew 25d	4.8%	3.7%	5.7%	3.9%	5.7%
Skew 10d	9.5%	7.7%	12.1%	8.3%	12.1%
Call IV 25d	14.8%	12.8%	17.6%	12.8%	17.6%
Put IV 25d	19.6%	16.5%	23.3%	16.7%	23.3%
Bid-Ask Spread %	5.08	3.61	9.31	6.06	5.40
Gamma HHI	0.08	0.06	0.18	0.06	0.07
Net GEX	-1.22B	-1.88B	-232.7M	-232.7M	-1.51B
Net DEX	8.65B	-3.47B	16.86B	-3.47B	16.01B
Net VEX	-69.4M	-71.9M	-59.9M	-59.9M	-71.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.89	1.04	3.26	1.36	2.55
Total Volume	701,066	337,165	1,345,409	982,522	1,105,505
Total OI	5,914,573.455	5,324,810	6,747,233	5,324,810	6,078,236

Daily Data (22 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
2014-07-01	$120.01	$113.00	14.1%	5.0%	13.0%	4.9%	18.1%	3.9%	0.2%	-232.7M	-3.47B	-59.9M	1.36	6.06	415,609	566,913	1,496,095	3,828,715
2014-07-02	$119.10	$113.00	14.7%	5.1%	13.5%	10.6%	22.8%	3.9%	0.3%	-579.9M	955.2M	-64.5M	2.44	4.93	213,821	520,991	1,336,812	4,058,672
2014-07-03	$119.66	$113.00	14.4%	5.1%	13.6%	7.6%	16.8%	3.7%	0.3%	-381.6M	-24.5M	-64.4M	1.60	5.18	167,435	267,706	1,417,265	4,301,072
2014-07-07	$117.79	$114.00	15.9%	5.3%	10.9%	23.3%	19.0%	4.3%	-0.1%	-834.6M	4.21B	-66.2M	3.26	4.53	139,190	454,264	1,390,474	4,155,528
2014-07-08	$116.63	$114.00	16.5%	5.4%	11.3%	29.1%	19.7%	4.2%	-0.4%	-1.27B	7.28B	-68.4M	2.57	5.07	295,917	760,407	1,440,794	4,270,472
2014-07-09	$116.41	$115.00	16.4%	5.5%	11.3%	28.1%	19.5%	4.4%	0.4%	-1.22B	7.27B	-68.9M	2.23	4.72	188,302	419,080	1,529,812	4,395,306
2014-07-10	$115.27	$115.00	17.5%	5.6%	11.6%	39.0%	18.5%	5.1%	0.2%	-1.65B	11.06B	-70.9M	2.55	5.51	325,057	829,001	1,589,248	4,563,035
2014-07-11	$115.07	$115.00	17.2%	5.6%	11.5%	36.1%	20.3%	5.1%	0.1%	-1.67B	11.14B	-71.1M	1.62	4.27	189,573	306,985	1,685,189	4,648,274
2014-07-14	$115.63	$115.00	16.8%	5.5%	11.6%	31.6%	18.9%	5.1%	0.8%	-1.43B	8.68B	-69.9M	2.00	3.61	155,982	311,845	1,627,296	4,575,622
2014-07-15	$114.67	$115.00	17.2%	5.5%	11.9%	35.5%	21.4%	5.0%	0.7%	-1.67B	11.26B	-70.7M	2.08	5.07	219,253	455,543	1,675,232	4,663,429
2014-07-16	$114.21	$115.00	17.3%	5.6%	11.7%	36.5%	23.1%	5.0%	0.6%	-1.81B	12.34B	-71.0M	1.75	4.41	216,844	379,230	1,737,284	4,722,442
2014-07-17	$112.43	$115.00	19.3%	5.8%	12.2%	56.2%	23.0%	5.3%	0.0%	-1.88B	16.86B	-70.8M	1.97	9.31	452,558	892,851	1,784,488	4,682,057
2014-07-18	$114.11	$115.00	16.9%	5.5%	13.6%	32.7%	19.6%	5.0%	0.6%	-1.83B	11.66B	-71.9M	2.14	5.85	303,206	648,104	1,973,163	4,774,070
2014-07-21	$113.70	$115.00	17.9%	5.5%	13.4%	42.4%	21.0%	5.3%	-0.0%	-1.02B	9.61B	-71.2M	1.88	4.88	173,457	325,668	1,541,083	3,842,483
2014-07-22	$114.50	$115.00	16.9%	5.5%	13.7%	32.3%	21.7%	5.0%	0.0%	-881.5M	7.65B	-71.1M	1.71	6.21	204,660	349,345	1,608,335	3,942,138
2014-07-23	$114.82	$115.00	16.8%	5.4%	13.5%	31.4%	19.4%	4.9%	0.1%	-841.0M	6.99B	-71.4M	1.55	4.25	132,439	204,726	1,649,363	4,035,169
2014-07-24	$114.50	$115.00	16.9%	5.5%	13.1%	32.7%	19.3%	4.9%	0.1%	-1.03B	8.09B	-71.5M	1.04	4.41	258,093	269,407	1,679,077	4,120,407
2014-07-25	$113.58	$115.00	17.1%	5.5%	13.3%	35.1%	20.2%	4.7%	0.2%	-1.36B	10.93B	-71.5M	1.30	4.95	284,614	370,661	1,756,005	4,190,195
2014-07-28	$113.06	$115.00	17.8%	5.6%	13.1%	41.6%	19.3%	5.0%	-0.0%	-1.28B	11.42B	-69.4M	1.41	4.48	273,777	385,913	1,615,222	3,971,375
2014-07-29	$113.28	$115.00	17.7%	5.6%	12.9%	40.7%	20.4%	5.0%	-0.0%	-1.22B	10.85B	-70.0M	1.28	3.85	242,214	310,288	1,742,641	4,063,907
2014-07-30	$113.87	$115.00	17.1%	5.5%	12.4%	35.1%	19.2%	4.6%	-0.0%	-1.17B	9.60B	-70.8M	1.20	4.70	198,240	238,778	1,801,575	4,161,559
2014-07-31	$111.35	$115.00	20.0%	5.9%	14.2%	63.5%	20.1%	5.7%	-0.1%	-1.51B	16.01B	-71.2M	2.55	5.40	311,304	794,201	1,874,867	4,203,369