IWM Options History — October 2014 In October 2014, IWM traded between $104.19 and $116.58. ATM implied volatility averaged 20.7%, placing in the 64.3% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 0.8% (HV 20d: 19.9%). Max pain ranged from $111.00 to $112.00. Net GEX was positive for 1 of 23 trading days. Term structure was in contango for 6 of 23 days. Put/call ratio averaged 1.63.
Notable Days 2014-10-15 : Highest Volume — 1,846,671 contracts2014-10-09 : Largest IV spike — 15.5% change2014-10-13 : Highest IV Rank — 100.0%2014-10-13 : Largest Expected Move — 6.5%Monthly Statistics Metric Avg Min Max Open Close Price $109.43 $104.19 $116.58 $107.80 $116.58 Max Pain $111.09 $111.00 $112.00 $112.00 $111.00 ATM IV 20.7% 17.1% 25.2% 20.7% 17.1% Expected Move 5.9% 5.3% 6.5% 6.0% 5.3% HV 20d 19.9% 14.0% 23.4% 14.0% 22.9% HV 60d 15.3% 13.0% 17.0% 13.0% 17.0% IV Rank 64.3% 29.9% 100.0% 70.8% 29.9% IV Percentile 87.1% 53.2% 100.0% 95.6% 53.2% Term Structure -0.2% -1.3% 0.7% -0.1% 0.5% VWIV 22.4% 20.0% 25.6% 23.3% 21.6% Skew 25d 5.8% 4.2% 7.6% 6.0% 4.2% Skew 10d 10.7% 7.9% 14.8% 10.3% 8.1% Call IV 25d 18.0% 15.2% 21.8% 17.9% 15.3% Put IV 25d 23.8% 19.5% 28.8% 23.8% 19.5% Bid-Ask Spread % 5.96 3.82 10.35 8.97 5.48 Gamma HHI 0.06 0.04 0.08 0.07 0.04 Net GEX -822.0M -1.56B 53.0M -1.56B 53.0M Net DEX 9.79B -9.44B 24.88B 19.00B -9.44B Net VEX -63.0M -67.5M -58.9M -60.4M -60.6M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.63 1.08 2.66 1.97 1.92 Total Volume 1,025,226.043 439,804 1,846,671 1,433,202 1,028,047 Total OI 6,612,187 5,610,055 7,731,307 5,859,233 6,996,693
Daily Data (23 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 2014-10-01 $107.80 $112.00 20.7% 6.0% 14.0% 70.8% 23.3% 6.0% -0.1% -1.56B 19.00B -60.4M 1.97 8.97 481,902 951,300 1,798,040 4,061,193 2014-10-02 $108.84 $112.00 20.2% 5.9% 14.8% 65.5% 23.2% 5.7% -0.2% -1.55B 16.69B -64.0M 1.71 4.90 546,502 934,989 1,979,499 4,245,100 2014-10-03 $109.56 $111.00 19.1% 5.7% 15.1% 54.4% 20.4% 5.1% 0.0% -1.16B 13.56B -64.6M 1.63 5.67 328,086 534,259 2,179,470 4,288,680 2014-10-06 $109.22 $111.00 19.6% 5.7% 15.0% 59.2% 20.0% 4.7% -0.1% -1.54B 15.16B -59.9M 1.08 4.34 334,776 362,222 2,051,319 4,154,976 2014-10-07 $106.94 $111.00 21.5% 6.0% 16.0% 78.8% 21.7% 5.5% -0.2% -1.44B 19.56B -60.3M 1.35 8.77 401,627 542,335 2,165,929 4,240,496 2014-10-08 $108.92 $111.00 19.8% 5.7% 17.5% 61.6% 22.2% 5.2% -0.1% -1.23B 14.23B -63.8M 1.20 3.82 659,015 787,863 2,349,288 4,362,638 2014-10-09 $106.14 $111.00 22.9% 6.2% 18.9% 92.2% 22.1% 6.1% -0.3% -1.45B 21.21B -61.6M 1.87 10.35 460,424 860,912 2,457,048 4,462,891 2014-10-10 $105.89 $111.00 22.7% 6.2% 18.8% 90.2% 21.5% 6.0% -0.4% -1.51B 21.98B -62.2M 1.43 4.27 469,661 673,906 2,579,558 4,591,828 2014-10-13 $104.19 $111.00 25.2% 6.5% 19.0% 100.0% 23.8% 6.8% -0.7% -1.31B 24.88B -58.9M 2.11 5.76 387,268 818,280 2,497,444 4,596,363 2014-10-14 $106.54 $111.00 23.0% 6.2% 21.1% 81.4% 23.0% 6.4% -1.0% -1.17B 18.47B -61.9M 1.60 4.09 209,705 335,563 2,626,011 4,501,421 2014-10-15 $106.67 $111.00 24.1% 6.3% 21.0% 90.6% 23.4% 7.6% -1.3% -1.08B 17.99B -63.6M 1.30 7.25 804,377 1,042,294 2,754,547 4,553,650 2014-10-16 $107.84 $111.00 24.4% 6.4% 21.5% 93.4% 23.5% 7.4% -1.2% -762.5M 12.63B -67.5M 1.49 7.57 545,969 815,211 2,962,060 4,585,543 2014-10-17 $107.60 $111.00 23.4% 6.3% 21.2% 84.9% 25.6% 7.4% -1.2% -441.1M 14.25B -65.6M 1.50 6.65 431,703 645,673 3,048,374 4,682,933 2014-10-20 $108.74 $111.00 21.4% 6.0% 21.1% 67.3% 20.6% 6.9% -0.3% -411.6M 6.02B -63.2M 1.10 5.43 281,297 308,488 2,040,493 3,569,562 2014-10-21 $110.41 $111.00 19.0% 5.8% 21.7% 46.8% 21.5% 5.7% -0.3% -204.4M 2.39B -63.6M 1.44 4.88 329,164 475,189 2,151,652 3,679,168 2014-10-22 $108.90 $111.00 21.3% 6.1% 22.0% 66.6% 22.7% 6.4% -0.5% -460.4M 6.04B -66.0M 2.66 3.93 292,536 777,345 2,197,904 3,832,226 2014-10-23 $110.66 $111.00 19.6% 5.8% 22.2% 51.8% 21.4% 5.4% -0.3% -333.6M 2.24B -66.1M 1.45 5.19 389,074 563,134 2,236,567 4,038,391 2014-10-24 $111.15 $111.00 19.1% 5.9% 22.1% 47.3% 22.6% 5.3% -0.2% -405.8M 1.08B -66.1M 1.89 4.50 222,806 421,950 2,287,743 4,239,050 2014-10-27 $111.20 $111.00 18.9% 5.8% 22.1% 46.1% 24.6% 5.1% 0.4% -411.9M 2.06B -64.1M 1.65 5.77 165,766 274,038 2,159,206 4,055,972 2014-10-28 $114.17 $111.00 17.5% 5.6% 23.4% 33.8% 21.0% 4.9% 0.7% -60.9M -5.19B -60.7M 1.69 9.11 424,081 717,631 2,179,516 4,134,535 2014-10-29 $113.94 $111.00 17.4% 5.6% 22.6% 32.9% 23.2% 4.8% 0.7% -224.6M -3.87B -62.7M 2.15 5.20 304,088 653,833 2,243,581 4,412,343 2014-10-30 $114.88 $111.00 17.3% 5.5% 22.5% 32.0% 22.8% 4.7% 0.6% -239.2M -5.80B -61.7M 1.40 5.27 243,757 342,153 2,282,107 4,567,293 2014-10-31 $116.58 $111.00 17.1% 5.3% 22.9% 29.9% 21.6% 4.2% 0.5% 53.0M -9.44B -60.6M 1.92 5.48 351,973 676,074 2,337,616 4,659,077
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