IWM Options History — September 2014

In September 2014, IWM traded between $109.40 and $117.23. ATM implied volatility averaged 16.7%, placing in the 30.3% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 5.7% (HV 20d: 10.9%). Max pain ranged from $112.00 to $115.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 2.06.

Notable Days

2014-09-23: Highest Volume — 1,472,372 contracts
2014-09-22: Largest IV spike — 14.2% change
2014-09-30: Highest IV Rank — 66.9%
2014-09-30: Largest Expected Move — 5.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$114.09	$109.40	$117.23	$117.23	$109.40
Max Pain	$113.33	$112.00	$115.00	$114.00	$112.00
ATM IV	16.7%	14.8%	20.3%	14.9%	20.3%
Expected Move	5.4%	5.1%	5.9%	5.1%	5.9%
HV 20d	10.9%	9.1%	13.6%	9.2%	13.5%
HV 60d	12.3%	11.7%	13.0%	11.7%	12.8%
IV Rank	30.3%	11.4%	66.9%	13.1%	66.9%
IV Percentile	49.1%	17.5%	95.2%	19.8%	95.2%
Term Structure	0.2%	-0.2%	0.6%	0.2%	-0.2%
VWIV	19.9%	15.2%	23.2%	15.2%	22.1%
Skew 25d	5.3%	4.8%	6.0%	5.0%	6.0%
Skew 10d	9.8%	8.3%	11.0%	9.4%	11.0%
Call IV 25d	14.5%	12.8%	17.7%	13.1%	17.7%
Put IV 25d	19.8%	17.8%	23.6%	18.1%	23.6%
Bid-Ask Spread %	6.17	4.60	10.85	5.86	6.57
Gamma HHI	0.08	0.05	0.18	0.05	0.08
Net GEX	-1.30B	-2.07B	-387.0M	-387.0M	-1.44B
Net DEX	9.06B	609.6M	19.53B	609.6M	19.53B
Net VEX	-62.5M	-65.5M	-58.6M	-61.9M	-61.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.06	1.27	3.11	2.26	2.49
Total Volume	757,630.619	375,110	1,472,372	463,914	1,167,540
Total OI	6,543,935.81	5,384,659	7,372,954	6,025,809	6,618,917

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
2014-09-02	$117.23	$114.00	14.9%	5.1%	9.2%	13.1%	15.2%	5.0%	0.2%	-387.0M	609.6M	-61.9M	2.26	5.86	142,401	321,513	1,781,920	4,243,889
2014-09-03	$116.46	$115.00	15.5%	5.2%	9.7%	18.8%	19.8%	5.0%	0.2%	-728.6M	3.06B	-64.6M	1.97	5.11	139,579	275,233	1,833,580	4,382,683
2014-09-04	$116.05	$115.00	15.8%	5.3%	9.9%	21.5%	19.0%	5.4%	0.2%	-964.6M	4.39B	-65.4M	1.89	4.67	144,564	273,269	1,861,228	4,462,618
2014-09-05	$116.38	$114.00	14.8%	5.2%	9.6%	11.4%	19.8%	5.0%	0.6%	-792.6M	3.25B	-62.5M	2.14	5.22	189,172	403,990	1,890,088	4,518,803
2014-09-08	$116.63	$114.00	15.0%	5.1%	9.3%	13.8%	21.8%	4.8%	-0.2%	-643.1M	2.46B	-60.2M	1.73	4.60	137,164	237,946	1,829,065	4,457,686
2014-09-09	$115.22	$114.00	16.2%	5.3%	9.8%	25.6%	22.8%	5.3%	0.1%	-1.22B	6.62B	-62.5M	2.57	4.92	144,892	371,921	1,871,673	4,486,295
2014-09-10	$115.85	$114.00	15.4%	5.2%	9.3%	18.2%	19.7%	5.2%	0.0%	-1.09B	5.07B	-61.5M	3.11	8.28	198,831	619,112	1,908,011	4,580,055
2014-09-11	$116.66	$113.00	15.2%	5.1%	9.1%	15.4%	16.4%	5.0%	-0.2%	-720.5M	2.77B	-61.6M	2.47	7.45	165,749	408,713	1,945,234	4,814,397
2014-09-12	$115.45	$113.00	16.1%	5.3%	10.0%	25.0%	17.0%	5.4%	0.3%	-1.98B	7.07B	-64.7M	1.81	4.81	237,868	430,329	1,994,322	4,933,107
2014-09-15	$114.05	$113.00	17.3%	5.4%	11.0%	37.3%	19.7%	5.8%	0.4%	-1.76B	11.15B	-63.5M	1.81	4.61	247,890	447,721	1,957,014	4,914,747
2014-09-16	$114.48	$113.00	16.8%	5.4%	10.3%	32.2%	20.2%	5.5%	-0.0%	-1.55B	9.63B	-62.6M	1.27	4.72	266,858	337,727	2,074,791	4,985,361
2014-09-17	$114.87	$113.00	15.6%	5.2%	10.2%	19.6%	20.4%	4.9%	0.4%	-1.37B	7.73B	-61.0M	1.32	6.01	302,065	399,362	2,168,898	5,039,589
2014-09-18	$115.43	$113.00	15.3%	5.2%	10.3%	17.2%	18.8%	4.8%	0.2%	-1.01B	5.54B	-59.8M	1.95	5.84	197,723	385,769	2,236,092	5,063,869
2014-09-19	$113.99	$113.00	15.5%	5.3%	11.2%	19.0%	21.8%	4.9%	0.6%	-2.07B	11.26B	-58.6M	2.12	5.96	399,571	847,905	2,269,082	5,103,872
2014-09-22	$112.20	$113.00	17.7%	5.5%	12.4%	41.0%	20.1%	5.3%	0.3%	-1.64B	13.06B	-59.0M	2.72	5.08	302,008	822,337	1,500,395	3,884,264
2014-09-23	$111.21	$113.00	18.7%	5.6%	12.5%	50.8%	20.2%	5.6%	0.3%	-1.74B	16.21B	-62.1M	1.34	8.04	630,091	842,281	1,620,116	4,205,841
2014-09-24	$112.04	$113.00	17.5%	5.5%	12.2%	39.1%	19.5%	5.4%	0.4%	-1.39B	12.69B	-65.1M	1.70	6.53	340,181	579,176	1,903,738	4,363,217
2014-09-25	$110.32	$113.00	18.9%	5.7%	13.1%	53.0%	20.3%	5.9%	0.2%	-1.72B	17.83B	-65.0M	2.12	8.45	370,550	785,422	2,008,497	4,510,450
2014-09-26	$111.11	$113.00	18.2%	5.6%	13.6%	45.3%	20.9%	5.2%	0.4%	-1.50B	15.11B	-65.5M	1.85	10.85	234,027	432,685	2,116,968	4,592,996
2014-09-29	$110.84	$112.00	18.9%	5.7%	13.3%	52.2%	23.2%	5.8%	-0.0%	-1.53B	15.27B	-63.2M	2.68	5.91	198,083	531,025	2,022,732	4,466,552
2014-09-30	$109.40	$112.00	20.3%	5.9%	13.5%	66.9%	22.1%	6.0%	-0.2%	-1.44B	19.53B	-61.6M	2.49	6.57	334,477	833,063	2,060,930	4,557,987