IWM Options History — January 2015

In January 2015, IWM traded between $114.67 and $119.34. ATM implied volatility averaged 20.6%, placing in the 60.0% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 2.8% (HV 20d: 17.9%). Max pain ranged from $116.00 to $119.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 1.79.

Notable Days

  • 2015-01-06: Highest Volume — 844,962 contracts
  • 2015-01-22: Largest IV drop — 12.5% change
  • 2015-01-15: Highest IV Rank — 87.1%
  • 2015-01-30: Largest Expected Move — 6.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$117.18$114.67$119.34$119.00$115.79
Max Pain$117.80$116.00$119.00$119.00$117.00
ATM IV20.6%17.4%23.7%19.3%22.5%
Expected Move5.9%5.0%6.5%5.6%6.5%
HV 20d17.9%15.7%20.2%17.5%20.2%
HV 60d16.7%16.1%17.4%17.4%16.9%
IV Rank60.0%30.0%87.1%48.6%76.0%
IV Percentile84.6%50.4%98.8%82.1%95.2%
Term Structure-0.1%-1.1%0.3%0.2%-0.2%
VWIV22.1%19.3%24.3%21.1%23.2%
Skew 25d6.6%5.7%7.5%6.8%7.0%
Skew 10d12.7%11.4%15.0%13.9%12.8%
Call IV 25d17.8%15.2%20.8%16.3%19.6%
Put IV 25d24.4%20.9%27.5%23.1%26.6%
Bid-Ask Spread %1.731.352.432.431.46
Gamma HHI0.050.040.070.040.05
Net GEX-446.6M-808.5M-60.4M-404.8M-780.5M
Net DEX3.41B124.4M7.92B1.96B6.08B
Net VEX-49.2M-52.9M-45.4M-47.7M-52.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.790.842.951.852.95
Total Volume555,347.65312,668844,962721,997736,398
Total OI4,247,546.73,571,2525,061,8334,051,5484,282,592

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-01-02$119.00$119.0019.3%5.6%17.5%48.6%21.1%6.8%0.2%-404.8M1.96B-47.7M1.852.43253,442468,5551,135,6422,915,906
2015-01-05$117.43$119.0021.4%6.2%18.1%66.9%22.3%7.3%0.0%-490.2M3.82B-49.4M1.742.02242,435422,8571,132,9922,970,276
2015-01-06$115.34$119.0022.6%6.5%19.1%77.0%23.0%7.5%0.0%-706.3M6.80B-50.7M1.291.85369,416475,5461,232,1863,072,335
2015-01-07$116.72$119.0021.1%5.9%19.2%64.1%21.6%6.8%0.2%-416.7M4.00B-50.3M0.841.62214,888179,5621,337,2243,122,896
2015-01-08$118.58$118.0018.9%5.4%19.1%45.0%22.2%6.0%0.3%-60.4M303.6M-48.8M1.491.37190,547283,9861,386,8023,159,384
2015-01-09$117.81$118.0019.0%5.5%17.7%45.7%20.7%6.0%0.2%-182.2M2.05B-48.8M1.661.41201,016333,2641,366,4483,233,277
2015-01-12$117.14$118.0020.8%6.0%17.8%62.0%22.7%6.5%-0.0%-391.2M3.46B-48.6M1.821.47163,693297,9351,292,8903,200,058
2015-01-13$116.73$118.0022.0%6.1%17.4%72.0%22.2%6.9%-0.7%-489.5M4.34B-49.5M1.201.35293,814353,0271,326,7883,290,706
2015-01-14$116.90$118.0021.9%6.2%16.9%71.2%24.3%6.6%-0.4%-364.6M3.96B-49.9M1.981.49226,663449,0401,381,9113,363,231
2015-01-15$114.67$116.0023.7%6.5%18.4%87.1%22.7%6.8%-1.1%-808.5M7.92B-51.9M1.711.55223,868381,9761,508,9913,540,504
2015-01-16$116.66$118.0022.0%6.1%16.6%71.9%22.8%7.1%-0.9%-686.4M4.69B-50.6M1.462.05250,950365,2181,454,1723,607,661
2015-01-20$115.67$118.0022.1%6.3%15.8%72.9%22.1%6.8%0.0%-470.5M4.10B-49.3M1.481.77126,103186,5651,013,5892,557,663
2015-01-21$115.78$118.0021.1%6.1%15.7%64.7%22.2%6.3%-0.1%-541.6M4.63B-49.2M1.951.68125,486244,2591,052,5472,620,472
2015-01-22$118.06$118.0018.5%5.3%17.3%41.5%21.1%5.9%0.1%-280.2M1.43B-47.3M1.861.68199,759372,2511,079,9462,718,478
2015-01-23$118.23$117.0018.5%5.3%17.3%41.6%22.8%5.9%-0.0%-332.2M1.31B-47.8M2.681.57168,352451,3981,117,2862,811,694
2015-01-26$119.34$117.0017.4%5.0%17.7%30.0%19.3%5.7%0.2%-192.3M124.4M-45.4M2.432.10125,825305,9071,031,5162,680,100
2015-01-27$118.95$117.0018.8%5.4%17.5%42.4%19.6%6.0%0.2%-323.1M962.0M-47.7M1.182.43153,843181,1361,063,3412,841,035
2015-01-28$116.71$117.0021.1%6.2%18.6%63.3%22.6%6.8%0.0%-613.2M4.31B-50.2M1.811.68153,790277,9391,124,1372,871,902
2015-01-29$118.14$117.0020.3%5.8%19.2%55.5%22.6%6.5%-0.0%-397.0M2.01B-49.0M2.511.55187,200469,0441,139,6962,912,660
2015-01-30$115.79$117.0022.5%6.5%20.2%76.0%23.2%7.0%-0.2%-780.5M6.08B-52.9M2.951.46186,604549,7941,164,0383,118,554