IWM Options History — August 2014

In August 2014, IWM traded between $110.69 and $116.82. ATM implied volatility averaged 16.4%, placing in the 28.1% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 3.4% (HV 20d: 13.0%). Max pain ranged from $114.00 to $115.00. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 1.99.

Notable Days

2014-08-01: Highest Volume — 1,403,744 contracts
2014-08-11: Largest IV drop — 8.1% change
2014-08-01: Highest IV Rank — 67.0%
2014-08-05: Largest Expected Move — 5.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$113.91	$110.69	$116.82	$110.69	$116.68
Max Pain	$114.76	$114.00	$115.00	$115.00	$114.00
ATM IV	16.4%	14.4%	20.3%	20.3%	14.6%
Expected Move	5.5%	5.1%	5.9%	5.9%	5.1%
HV 20d	13.0%	9.3%	14.7%	13.9%	9.3%
HV 60d	14.1%	13.1%	16.0%	16.0%	13.2%
IV Rank	28.1%	8.0%	67.0%	67.0%	9.6%
IV Percentile	41.7%	10.7%	94.8%	94.8%	13.5%
Term Structure	0.2%	-0.5%	0.8%	-0.2%	-0.3%
VWIV	21.0%	15.8%	26.6%	21.3%	15.8%
Skew 25d	5.1%	4.2%	6.2%	6.2%	4.7%
Skew 10d	9.5%	7.9%	12.2%	12.2%	8.9%
Call IV 25d	14.3%	12.4%	17.7%	17.7%	12.8%
Put IV 25d	19.4%	16.8%	23.9%	23.9%	17.4%
Bid-Ask Spread %	6.18	4.90	9.06	6.24	9.06
Gamma HHI	0.08	0.05	0.26	0.07	0.05
Net GEX	-771.4M	-1.55B	329.1M	-1.55B	-469.8M
Net DEX	7.54B	676.5M	17.49B	17.49B	1.45B
Net VEX	-67.5M	-72.3M	-63.2M	-71.7M	-64.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.99	1.41	3.80	1.91	1.41
Total Volume	577,545.81	346,018	1,403,744	1,403,744	404,063
Total OI	6,215,104.524	5,198,119	6,936,351	6,305,002	6,159,012

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
2014-08-01	$110.69	$115.00	20.3%	5.9%	13.9%	67.0%	21.3%	6.2%	-0.2%	-1.55B	17.49B	-71.7M	1.91	6.24	482,407	921,337	1,970,993	4,334,009
2014-08-04	$111.46	$115.00	19.2%	5.9%	13.6%	55.6%	20.3%	6.2%	0.2%	-1.28B	14.27B	-72.1M	2.24	6.87	211,930	475,747	2,036,344	4,348,330
2014-08-05	$111.33	$115.00	19.4%	5.9%	13.4%	57.2%	23.8%	6.1%	0.2%	-1.26B	14.47B	-72.3M	2.25	5.24	159,717	359,414	2,086,882	4,390,184
2014-08-06	$111.66	$115.00	19.3%	5.9%	13.5%	56.5%	23.7%	6.1%	0.2%	-1.18B	13.43B	-72.0M	2.03	6.24	211,514	429,223	2,137,173	4,452,293
2014-08-07	$111.14	$115.00	19.6%	5.9%	13.2%	59.5%	20.4%	6.0%	0.0%	-1.24B	14.89B	-71.6M	1.53	6.91	229,809	350,979	2,182,809	4,521,823
2014-08-08	$112.09	$115.00	18.7%	5.9%	13.7%	50.6%	22.4%	5.5%	0.3%	329.1M	11.55B	-71.5M	1.47	6.40	290,084	424,971	2,252,504	4,564,264
2014-08-11	$113.43	$115.00	17.2%	5.7%	14.4%	35.5%	22.0%	5.3%	0.3%	-923.6M	8.39B	-68.4M	1.44	4.90	220,115	316,436	2,137,854	4,472,818
2014-08-12	$112.46	$115.00	17.5%	5.8%	14.4%	38.7%	20.2%	5.3%	0.4%	-1.07B	11.25B	-69.2M	2.12	5.56	157,783	334,675	2,179,405	4,578,192
2014-08-13	$113.45	$115.00	16.4%	5.6%	14.7%	28.2%	20.9%	4.8%	0.4%	-841.2M	8.22B	-68.4M	1.69	5.43	181,773	307,212	2,228,138	4,640,410
2014-08-14	$113.76	$115.00	15.4%	5.4%	13.6%	18.2%	21.2%	4.7%	0.1%	-870.2M	7.43B	-65.9M	1.41	5.95	154,006	217,408	2,216,725	4,620,253
2014-08-15	$113.56	$115.00	15.5%	5.4%	12.5%	19.1%	20.4%	5.0%	-0.4%	-568.5M	7.64B	-65.2M	1.99	6.99	354,323	705,736	2,262,341	4,674,010
2014-08-18	$114.89	$114.00	14.4%	5.2%	13.1%	8.0%	20.5%	5.1%	0.8%	-555.1M	3.73B	-63.3M	2.26	5.63	182,032	410,756	1,516,570	3,681,549
2014-08-19	$115.33	$114.00	14.4%	5.3%	13.0%	8.3%	19.9%	5.0%	0.6%	-543.2M	3.17B	-64.9M	2.89	6.26	126,618	366,551	1,595,297	3,800,290
2014-08-20	$114.86	$114.00	14.9%	5.3%	13.0%	13.0%	19.0%	4.8%	0.7%	-712.3M	4.62B	-66.6M	3.26	5.71	108,685	353,990	1,629,533	3,923,491
2014-08-21	$115.13	$115.00	14.5%	5.3%	13.0%	9.1%	20.7%	4.2%	0.8%	-739.8M	4.30B	-66.1M	1.74	6.45	201,496	350,338	1,642,484	4,018,063
2014-08-22	$115.21	$115.00	14.8%	5.3%	12.6%	11.6%	21.4%	4.4%	0.7%	-762.5M	3.77B	-66.4M	1.56	6.32	179,707	279,899	1,704,434	4,108,726
2014-08-25	$115.65	$115.00	15.0%	5.2%	12.5%	13.5%	21.0%	4.9%	-0.5%	-652.5M	3.34B	-64.6M	1.43	5.91	183,615	263,457	1,666,565	4,001,668
2014-08-26	$116.82	$115.00	14.4%	5.1%	12.9%	8.2%	18.6%	4.4%	-0.1%	-317.6M	676.5M	-63.2M	1.52	6.53	187,407	284,082	1,727,427	4,069,829
2014-08-27	$116.52	$115.00	14.6%	5.1%	12.9%	10.3%	26.6%	4.4%	-0.4%	-360.0M	1.26B	-64.1M	3.80	5.75	83,911	319,238	1,790,775	4,147,437
2014-08-28	$116.05	$114.00	14.9%	5.2%	9.7%	12.5%	20.8%	4.7%	-0.0%	-625.0M	3.07B	-65.2M	1.92	5.44	118,515	227,503	1,801,585	4,244,706
2014-08-29	$116.68	$114.00	14.6%	5.1%	9.3%	9.6%	15.8%	4.7%	-0.3%	-469.8M	1.45B	-64.6M	1.41	9.06	167,802	236,261	1,818,821	4,340,191