IWM Options History — December 2014

In December 2014, IWM traded between $113.60 and $121.02. ATM implied volatility averaged 18.1%, placing in the 38.6% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 1.5% (HV 20d: 16.6%). Max pain ranged from $116.00 to $119.00. Net GEX was positive for 8 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 1.66.

Notable Days

2014-12-17: Highest Volume — 1,193,474 contracts
2014-12-10: Largest IV spike — 18.8% change
2014-12-16: Highest IV Rank — 80.4%
2014-12-16: Largest Expected Move — 6.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$117.54	$113.60	$121.02	$115.09	$119.54
Max Pain	$116.59	$116.00	$119.00	$116.00	$119.00
ATM IV	18.1%	15.0%	22.9%	18.8%	19.4%
Expected Move	5.4%	4.9%	6.5%	5.6%	5.6%
HV 20d	16.6%	11.9%	19.8%	11.9%	17.7%
HV 60d	18.0%	17.4%	18.8%	17.4%	18.0%
IV Rank	38.6%	11.9%	80.4%	44.9%	49.3%
IV Percentile	58.4%	14.7%	97.6%	79.0%	83.3%
Term Structure	0.3%	-0.7%	0.7%	-0.1%	0.2%
VWIV	20.8%	17.5%	24.4%	19.8%	23.0%
Skew 25d	5.7%	4.8%	7.0%	5.4%	6.8%
Skew 10d	10.7%	8.9%	13.4%	10.0%	13.4%
Call IV 25d	15.9%	13.3%	20.6%	16.4%	16.5%
Put IV 25d	21.6%	18.5%	26.8%	21.8%	23.3%
Bid-Ask Spread %	2.75	1.92	5.40	5.40	3.67
Gamma HHI	0.07	0.04	0.13	0.06	0.04
Net GEX	-504.0M	-1.39B	325.4M	-1.05B	-250.7M
Net DEX	1.20B	-6.62B	9.85B	5.41B	725.7M
Net VEX	-48.7M	-56.4M	-41.4M	-54.2M	-45.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.66	0.88	2.48	1.91	1.84
Total Volume	665,978	352,680	1,193,474	612,948	716,274
Total OI	5,552,864.182	4,392,623	6,648,582	5,340,436	4,592,618

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
2014-12-01	$115.09	$116.00	18.8%	5.6%	11.9%	44.9%	19.8%	5.4%	-0.1%	-1.05B	5.41B	-54.2M	1.91	5.40	210,716	402,232	1,538,303	3,802,133
2014-12-02	$116.12	$116.00	17.4%	5.4%	12.4%	33.2%	20.1%	5.3%	-0.0%	-967.6M	3.23B	-53.6M	2.48	2.64	154,165	382,514	1,588,209	3,914,995
2014-12-03	$117.41	$116.00	16.4%	5.2%	12.9%	24.5%	20.9%	4.8%	0.6%	-744.2M	329.5M	-52.2M	1.62	2.72	169,405	274,154	1,617,732	4,033,668
2014-12-04	$116.89	$116.00	16.4%	5.2%	13.0%	24.5%	19.8%	5.0%	0.6%	-899.9M	1.57B	-51.3M	1.85	3.67	140,748	260,967	1,662,083	4,126,471
2014-12-05	$117.39	$116.00	15.8%	5.2%	13.0%	18.7%	20.9%	4.9%	0.7%	-656.5M	228.5M	-50.0M	2.18	2.83	160,553	349,609	1,687,107	4,203,120
2014-12-08	$116.08	$116.00	18.0%	5.5%	13.7%	37.6%	20.8%	5.5%	0.1%	-1.05B	3.64B	-51.3M	2.39	1.92	219,046	524,510	1,627,287	4,070,375
2014-12-09	$118.05	$116.00	17.1%	5.2%	14.9%	30.5%	20.6%	5.4%	0.1%	-608.0M	-1.04B	-49.2M	2.19	2.23	252,498	553,485	1,706,823	4,223,464
2014-12-10	$115.67	$116.00	20.4%	5.7%	16.6%	58.4%	22.2%	6.4%	-0.5%	-1.13B	5.45B	-53.8M	1.42	2.18	323,875	458,828	1,746,698	4,308,481
2014-12-11	$116.04	$116.00	20.3%	5.9%	16.4%	58.2%	22.3%	6.7%	-0.2%	-1.13B	4.60B	-55.4M	1.30	2.10	278,643	362,797	1,851,365	4,422,760
2014-12-12	$114.73	$116.00	21.9%	6.2%	16.6%	71.5%	24.4%	7.0%	-0.7%	-1.39B	8.42B	-56.4M	2.31	2.10	260,917	602,325	1,883,257	4,494,275
2014-12-15	$113.62	$116.00	21.8%	6.2%	16.9%	70.7%	22.9%	6.2%	0.4%	-1.31B	9.85B	-52.0M	1.65	2.07	401,674	664,266	1,855,872	4,366,220
2014-12-16	$113.60	$116.00	22.9%	6.5%	16.7%	80.4%	22.6%	6.2%	0.1%	-1.16B	9.30B	-52.6M	2.10	2.57	350,169	736,020	1,980,293	4,422,683
2014-12-17	$116.82	$116.00	19.9%	5.9%	19.5%	54.4%	23.3%	6.1%	0.5%	-406.8M	-687.9M	-49.6M	1.30	2.65	519,876	673,598	2,062,039	4,454,961
2014-12-18	$118.66	$116.00	17.9%	5.4%	19.8%	37.2%	21.1%	5.8%	0.7%	276.4M	-6.33B	-46.3M	0.88	2.83	485,461	425,893	2,141,592	4,455,333
2014-12-19	$119.09	$116.00	16.9%	5.2%	19.6%	28.3%	20.8%	5.4%	0.3%	273.0M	-6.62B	-44.4M	1.02	4.43	321,362	326,561	2,143,925	4,504,657
2014-12-22	$119.54	$116.00	16.7%	5.0%	19.7%	26.5%	19.3%	5.4%	0.5%	152.7M	-2.57B	-41.7M	1.33	2.34	198,663	264,248	1,329,317	3,063,306
2014-12-23	$119.77	$116.00	15.0%	4.9%	19.2%	11.9%	19.4%	6.2%	0.5%	180.2M	-2.85B	-41.4M	0.96	2.36	288,908	278,491	1,390,190	3,107,006
2014-12-24	$119.76	$117.00	15.7%	4.9%	19.2%	17.1%	17.5%	5.0%	0.7%	13.0M	-513.8M	-43.1M	1.60	2.49	148,125	237,703	1,188,793	3,217,187
2014-12-26	$120.56	$119.00	15.9%	4.9%	19.3%	19.2%	18.4%	4.8%	0.5%	149.9M	-1.82B	-42.8M	0.90	2.25	224,487	201,676	1,212,218	3,284,964
2014-12-29	$121.02	$119.00	16.4%	4.9%	18.3%	23.6%	18.5%	5.6%	0.3%	325.4M	-2.49B	-42.1M	1.81	2.21	175,832	317,562	1,191,192	3,205,558
2014-12-30	$120.49	$119.00	16.9%	5.2%	17.6%	27.7%	18.9%	5.8%	0.4%	307.4M	-1.46B	-42.7M	1.51	2.76	140,772	211,908	1,201,878	3,282,604
2014-12-31	$119.54	$119.00	19.4%	5.6%	17.7%	49.3%	23.0%	6.8%	0.2%	-250.7M	725.7M	-45.6M	1.84	3.67	252,069	464,205	1,223,049	3,369,569