IWM Options History — April 2015

In April 2015, IWM traded between $121.32 and $126.81. ATM implied volatility averaged 14.8%, placing in the 17.3% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded above realized volatility by 1.6% (HV 20d: 13.2%). Max pain ranged from $123.50 to $125.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 2.30.

Notable Days

2015-04-30: Highest Volume — 1,314,918 contracts
2015-04-17: Largest IV spike — 11.7% change
2015-04-30: Highest IV Rank — 35.7%
2015-04-30: Largest Expected Move — 5.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$125.08	$121.32	$126.81	$124.15	$121.32
Max Pain	$124.88	$123.50	$125.00	$123.50	$125.00
ATM IV	14.8%	13.4%	17.1%	16.2%	17.1%
Expected Move	4.3%	3.8%	5.1%	4.6%	5.1%
HV 20d	13.2%	10.4%	15.7%	15.7%	13.1%
HV 60d	14.2%	12.6%	15.9%	15.9%	12.9%
IV Rank	17.3%	5.5%	35.7%	28.5%	35.7%
IV Percentile	14.1%	1.2%	56.0%	29.8%	56.0%
Term Structure	0.2%	-0.1%	0.6%	0.3%	0.3%
VWIV	16.4%	14.3%	18.3%	17.4%	18.1%
Skew 25d	4.9%	4.3%	5.3%	5.2%	5.3%
Skew 10d	9.6%	8.7%	10.5%	10.4%	10.5%
Call IV 25d	12.7%	11.5%	15.0%	13.8%	15.0%
Put IV 25d	17.6%	16.1%	20.3%	19.0%	20.3%
Bid-Ask Spread %	1.73	1.44	1.99	1.85	1.82
Gamma HHI	0.05	0.05	0.07	0.05	0.07
Net GEX	-682.8M	-1.60B	-102.5M	-800.2M	-1.60B
Net DEX	2.19B	-2.11B	11.55B	3.07B	11.55B
Net VEX	-56.6M	-65.0M	-53.0M	-57.3M	-65.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.30	1.44	3.23	2.26	1.64
Total Volume	490,453.048	258,743	1,314,918	455,541	1,314,918
Total OI	4,964,379.381	4,349,184	5,594,180	4,682,003	5,202,330

Daily Data (21 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
2015-04-01	$124.15	$123.50	16.2%	4.6%	15.7%	28.5%	17.4%	5.2%	0.3%	-800.2M	3.07B	-57.3M	2.26	1.85	139,798	315,743	1,074,276	3,607,727
2015-04-02	$124.68	$124.00	15.6%	4.6%	15.7%	23.4%	17.0%	5.0%	0.4%	-583.3M	1.90B	-55.7M	1.90	1.78	178,507	338,801	1,087,119	3,678,716
2015-04-06	$125.15	$125.00	15.7%	4.6%	14.8%	23.9%	18.3%	5.1%	0.2%	-551.3M	1.18B	-54.6M	2.63	1.71	136,178	358,270	1,089,931	3,645,775
2015-04-07	$124.54	$125.00	15.4%	4.4%	14.9%	21.6%	16.9%	5.1%	0.0%	-717.4M	2.30B	-55.6M	3.01	1.70	90,571	272,992	1,151,660	3,743,132
2015-04-08	$125.01	$125.00	14.7%	4.4%	14.1%	16.4%	17.0%	5.2%	0.5%	-510.0M	531.3M	-53.7M	2.39	1.99	110,345	263,394	1,156,788	3,813,264
2015-04-09	$125.07	$125.00	14.5%	4.3%	14.0%	14.8%	16.6%	4.8%	0.6%	-737.6M	1.54B	-54.8M	2.13	1.44	146,423	311,835	1,176,122	3,919,414
2015-04-10	$125.53	$125.00	13.7%	4.0%	12.9%	8.4%	16.3%	4.6%	0.2%	-495.3M	407.3M	-53.8M	2.36	1.45	123,898	292,741	1,195,720	4,009,851
2015-04-13	$125.71	$125.00	15.1%	4.3%	12.8%	19.4%	16.4%	5.2%	0.5%	-568.0M	544.3M	-53.9M	1.44	1.58	207,783	298,445	1,161,647	3,963,985
2015-04-14	$125.64	$125.00	14.5%	4.2%	12.8%	14.6%	16.3%	5.1%	0.6%	-582.7M	716.3M	-55.7M	2.36	1.72	123,258	291,316	1,280,089	4,090,928
2015-04-15	$126.81	$125.00	13.4%	3.8%	13.0%	5.5%	17.1%	4.6%	0.4%	-102.5M	-2.11B	-53.4M	2.45	1.77	125,539	307,721	1,317,525	4,141,515
2015-04-16	$126.49	$125.00	14.0%	4.0%	12.8%	10.3%	15.1%	4.3%	-0.0%	-236.4M	-1.50B	-53.0M	1.74	1.66	131,298	227,799	1,341,457	4,190,041
2015-04-17	$124.38	$125.00	15.6%	4.5%	14.2%	23.3%	16.0%	4.8%	-0.1%	-1.12B	3.46B	-57.7M	2.29	1.81	236,837	542,391	1,374,894	4,219,286
2015-04-20	$125.63	$125.00	14.4%	4.1%	14.4%	13.7%	15.8%	4.8%	-0.0%	-523.2M	1.64B	-55.5M	2.11	1.77	117,568	247,789	1,101,969	3,247,215
2015-04-21	$125.64	$125.00	14.5%	4.1%	14.4%	14.8%	16.0%	4.8%	-0.0%	-563.1M	1.75B	-55.7M	2.11	1.73	83,099	175,644	1,139,217	3,334,560
2015-04-22	$125.71	$125.00	14.3%	4.1%	14.4%	13.1%	15.4%	4.7%	-0.0%	-559.9M	1.84B	-56.5M	2.87	1.74	113,214	324,809	1,152,482	3,410,623
2015-04-23	$126.18	$125.00	13.8%	3.9%	10.4%	9.1%	14.3%	4.5%	0.0%	-432.5M	911.7M	-56.1M	2.47	1.69	129,720	320,472	1,183,077	3,493,053
2015-04-24	$125.91	$125.00	13.7%	3.8%	10.4%	8.1%	15.1%	4.4%	0.1%	-637.0M	1.67B	-58.7M	2.39	1.76	95,623	228,279	1,220,273	3,616,225
2015-04-27	$124.26	$125.00	15.1%	4.4%	11.4%	19.3%	16.4%	4.9%	0.4%	-940.6M	4.72B	-59.7M	2.24	1.75	160,990	361,370	1,181,685	3,535,080
2015-04-28	$125.02	$125.00	14.8%	4.2%	10.4%	17.1%	16.5%	4.8%	0.5%	-854.9M	3.55B	-60.3M	3.23	1.71	142,429	459,535	1,229,459	3,661,729
2015-04-29	$123.90	$125.00	15.4%	4.5%	10.8%	22.0%	16.8%	5.0%	0.4%	-1.22B	6.30B	-62.8M	2.19	1.80	141,544	310,628	1,250,441	3,861,687
2015-04-30	$121.32	$125.00	17.1%	5.1%	13.1%	35.7%	18.1%	5.3%	0.3%	-1.60B	11.55B	-65.0M	1.64	1.82	498,019	816,899	1,293,442	3,908,888