IWM Options History — February 2015

In February 2015, IWM traded between $116.85 and $123.25. ATM implied volatility averaged 17.4%, placing in the 29.6% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded below realized volatility by 0.7% (HV 20d: 18.1%). Max pain ranged from $117.00 to $120.00. Net GEX was positive for 7 of 19 trading days. Term structure was in contango for 13 of 19 days. Put/call ratio averaged 2.17.

Notable Days

  • 2015-02-06: Highest Volume — 823,632 contracts
  • 2015-02-12: Largest IV drop — 9.4% change
  • 2015-02-02: Highest IV Rank — 65.3%
  • 2015-02-02: Largest Expected Move — 6.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$120.82$116.85$123.25$116.85$122.77
Max Pain$118.84$117.00$120.00$117.00$120.00
ATM IV17.4%14.5%21.3%21.3%14.7%
Expected Move5.0%3.9%6.2%6.2%4.1%
HV 20d18.1%13.5%21.0%20.5%13.5%
HV 60d17.5%16.8%17.8%17.0%16.8%
IV Rank29.6%4.0%65.3%65.3%5.5%
IV Percentile43.8%4.0%89.3%89.3%7.1%
Term Structure0.2%-0.4%1.0%-0.0%-0.1%
VWIV19.1%15.5%25.1%22.7%16.1%
Skew 25d5.3%4.4%6.4%6.4%4.5%
Skew 10d10.3%8.1%12.6%12.6%8.1%
Call IV 25d15.2%12.8%18.7%18.7%13.1%
Put IV 25d20.5%17.3%25.2%25.2%17.7%
Bid-Ask Spread %2.081.652.832.091.65
Gamma HHI0.050.040.080.050.05
Net GEX-41.1M-588.1M515.1M-588.1M-192.1M
Net DEX-957.1M-4.69B4.46B4.46B-1.23B
Net VEX-49.6M-53.7M-45.8M-53.6M-48.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.171.093.621.532.62
Total Volume477,101.053358,227823,632371,465500,736
Total OI4,668,661.6323,995,0625,281,5804,273,8404,537,963

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-02-02$116.85$117.0021.3%6.2%20.5%65.3%22.7%6.4%-0.0%-588.1M4.46B-53.6M1.532.09146,945224,5201,109,1403,164,700
2015-02-03$118.98$117.0019.3%5.4%21.0%47.2%21.2%5.8%-0.1%-295.3M1.16B-51.0M1.771.75153,922273,1531,140,7303,217,018
2015-02-04$118.16$117.0020.0%5.7%20.1%53.6%22.2%6.2%0.0%-431.0M2.38B-52.4M2.111.74153,526323,2161,167,9853,259,639
2015-02-05$120.02$118.0018.7%5.5%20.4%41.5%20.8%6.0%0.3%-85.0M-612.9M-50.8M1.942.22161,328312,8211,221,7943,365,801
2015-02-06$119.73$118.0019.7%5.7%19.7%50.8%25.1%5.8%0.2%-163.5M-9.4M-51.8M2.792.23217,602606,0301,260,6663,457,646
2015-02-09$118.85$118.0020.1%5.9%19.7%54.2%22.0%6.3%0.3%-394.0M2.21B-53.7M2.952.15130,132384,0431,235,0513,417,896
2015-02-10$119.57$119.0018.8%5.4%19.7%42.4%19.4%6.0%0.0%-253.7M1.13B-52.9M1.302.18188,720246,2711,246,1183,488,134
2015-02-11$119.36$119.0018.7%5.6%19.7%41.1%19.5%5.8%0.8%-282.1M1.26B-53.5M1.532.30142,836218,3691,320,1073,532,956
2015-02-12$120.87$119.0016.9%5.1%20.1%25.3%18.2%4.9%1.0%216.2M-1.96B-50.0M1.092.26255,602277,9681,347,8263,581,872
2015-02-13$121.66$119.0016.0%4.7%18.5%17.2%17.8%4.4%0.7%515.1M-3.92B-49.4M1.282.33237,929304,8651,441,6043,648,221
2015-02-17$121.61$119.0016.9%4.9%17.8%25.1%19.0%5.2%0.5%328.8M-3.38B-48.4M2.282.22109,223249,0041,424,1543,616,173
2015-02-18$121.90$119.0016.8%4.8%17.3%23.9%20.0%5.2%0.5%372.6M-3.85B-47.3M2.602.09156,177405,9331,426,9733,691,109
2015-02-19$122.05$119.0016.3%4.6%17.3%19.7%17.5%5.3%0.4%438.7M-4.21B-46.5M1.892.57167,530316,6111,434,1973,782,044
2015-02-20$122.24$120.0015.8%4.5%16.1%15.7%16.8%4.9%0.4%128.6M-4.69B-45.8M1.382.83227,479313,3711,440,5933,840,987
2015-02-23$122.30$120.0015.6%4.4%16.1%13.8%17.2%4.9%0.2%-47.9M-1.16B-46.1M2.571.73108,672278,9751,067,4072,927,655
2015-02-24$122.57$120.0015.3%4.3%15.9%11.1%16.4%4.6%-0.4%-37.4M-1.68B-46.0M3.161.69103,147325,4481,108,9573,047,324
2015-02-25$122.76$120.0014.5%3.9%15.8%4.0%15.8%4.5%-0.1%-27.0M-1.74B-46.8M2.891.79111,400322,0801,130,4253,172,835
2015-02-26$123.25$120.0014.7%4.1%13.8%5.3%15.5%4.5%-0.1%15.8M-2.33B-47.3M3.621.7088,675320,6611,144,9293,285,942
2015-02-27$122.77$120.0014.7%4.1%13.5%5.5%16.1%4.5%-0.1%-192.1M-1.23B-48.5M2.621.65138,304362,4321,162,7193,375,244