IWM Options History — November 2014

In November 2014, IWM traded between $115.26 and $118.50. ATM implied volatility averaged 16.4%, placing in the 24.0% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 1.1% (HV 20d: 15.3%). Max pain ranged from $111.00 to $116.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 15 of 19 days. Put/call ratio averaged 2.42.

Notable Days

  • 2014-11-21: Highest Volume — 848,620 contracts
  • 2014-11-28: Largest IV spike — 17.6% change
  • 2014-11-04: Highest IV Rank — 39.3%
  • 2014-11-04: Largest Expected Move — 5.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$116.79$115.26$118.50$116.29$116.69
Max Pain$114.05$111.00$116.00$111.00$116.00
ATM IV16.4%14.7%18.1%17.9%17.3%
Expected Move5.2%4.9%5.5%5.5%5.2%
HV 20d15.3%10.7%22.9%22.9%12.0%
HV 60d16.8%16.5%17.2%17.0%17.2%
IV Rank24.0%9.3%39.3%37.1%31.7%
IV Percentile39.9%12.7%69.8%68.3%55.6%
Term Structure0.3%-0.3%0.9%0.3%-0.2%
VWIV22.2%18.4%25.8%24.1%18.8%
Skew 25d4.7%4.2%5.3%5.0%5.0%
Skew 10d9.5%8.1%10.3%10.3%9.7%
Call IV 25d14.5%13.3%16.1%16.0%15.4%
Put IV 25d19.2%17.5%21.0%21.0%20.4%
Bid-Ask Spread %5.764.6612.684.9112.68
Gamma HHI0.050.040.070.040.07
Net GEX-416.9M-1.13B-25.3M-189.1M-1.13B
Net DEX-3.54B-7.81B1.79B-5.06B1.79B
Net VEX-56.0M-62.0M-51.2M-61.5M-55.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.421.664.552.682.52
Total Volume508,281.895242,274848,620573,417345,076
Total OI6,671,554.8955,402,9587,519,3646,437,4315,646,408

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-11-03$116.29$111.0017.9%5.5%22.9%37.1%24.1%5.0%0.3%-189.1M-5.06B-61.5M2.684.91155,720417,6972,104,1994,333,232
2014-11-04$115.86$111.0018.1%5.5%21.2%39.3%25.0%5.0%0.3%-282.7M-4.03B-61.7M2.654.75141,444375,0792,142,3994,484,264
2014-11-05$116.03$111.0017.8%5.5%20.5%36.4%25.3%4.9%0.4%-304.5M-4.00B-62.0M1.665.04150,705250,7462,160,1714,552,132
2014-11-06$116.48$111.0017.2%5.5%17.4%31.4%25.8%4.7%0.5%-180.2M-5.17B-59.3M1.945.12134,230260,7842,184,3604,603,755
2014-11-07$116.58$111.0015.9%5.2%17.3%19.7%22.2%4.3%0.7%-139.7M-5.35B-57.6M2.175.68169,891369,1562,201,9024,665,706
2014-11-10$117.18$112.0015.6%5.1%15.4%17.3%22.6%4.5%0.3%-130.2M-6.34B-54.1M3.785.4193,262352,7912,120,6964,496,070
2014-11-11$117.29$112.0015.4%5.1%14.2%15.3%23.7%4.2%0.6%-51.8M-6.86B-51.2M4.555.08106,605485,2452,113,6204,469,895
2014-11-12$118.02$112.0015.4%5.0%14.1%15.8%20.7%4.3%0.4%-25.3M-7.81B-53.3M2.734.73159,005433,3142,142,2184,779,206
2014-11-13$116.89$116.0016.3%5.2%14.9%22.9%23.4%4.7%0.4%-355.5M-4.68B-57.5M2.365.67153,996362,9912,190,9934,938,634
2014-11-14$116.74$116.0016.1%5.2%14.8%21.4%20.7%4.6%0.2%-559.2M-3.98B-57.2M2.007.23114,532229,1802,193,5205,044,164
2014-11-17$115.88$116.0016.6%5.3%15.2%26.2%23.3%5.2%0.3%-725.6M-1.61B-55.7M2.445.15146,577358,2232,126,0514,960,909
2014-11-18$116.50$116.0016.8%5.3%14.5%27.2%22.8%5.3%0.1%-576.7M-3.26B-54.4M1.865.01241,004448,8052,171,0775,070,968
2014-11-19$115.26$116.0017.5%5.4%14.1%33.3%21.8%5.2%-0.1%-1.01B857.3M-58.0M1.925.40225,875432,5802,232,1195,212,677
2014-11-20$116.32$116.0016.3%5.2%13.4%23.3%23.1%4.9%0.2%-623.6M-2.35B-54.9M1.915.49199,692381,5152,226,3955,199,353
2014-11-21$116.59$116.0015.9%5.1%13.4%19.8%21.4%4.6%0.9%-637.8M-2.98B-54.7M1.856.51297,433551,1872,243,0645,276,300
2014-11-24$118.01$116.0015.3%4.9%13.8%14.2%18.6%4.4%-0.1%-324.7M-2.09B-51.5M2.016.11125,989252,7721,576,4153,826,543
2014-11-25$117.94$116.0015.3%4.9%10.7%14.5%19.4%4.5%-0.3%-447.0M-1.57B-52.7M2.174.66155,392336,5891,585,5503,890,706
2014-11-26$118.50$116.0014.7%4.9%10.7%9.3%18.4%4.2%0.6%-226.8M-2.74B-51.3M2.744.8064,782177,4921,608,3723,985,500
2014-11-28$116.69$116.0017.3%5.2%12.0%31.7%18.8%5.0%-0.2%-1.13B1.79B-55.1M2.5212.6897,980247,0961,622,6704,023,738