IWM Options History — May 2015

In May 2015, IWM traded between $120.63 and $125.12. ATM implied volatility averaged 15.2%, placing in the 20.2% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded above realized volatility by 1.7% (HV 20d: 13.5%). Max pain ranged from $124.00 to $125.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 1.85.

Notable Days

  • 2015-05-05: Highest Volume — 840,248 contracts
  • 2015-05-26: Largest IV spike — 13.2% change
  • 2015-05-06: Highest IV Rank — 37.9%
  • 2015-05-06: Largest Expected Move — 5.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$123.33$120.63$125.12$121.98$124.08
Max Pain$124.35$124.00$125.00$125.00$124.00
ATM IV15.2%13.8%17.4%15.9%14.9%
Expected Move4.4%3.9%5.1%4.5%4.3%
HV 20d13.5%10.7%14.4%13.1%10.7%
HV 60d12.9%12.5%13.3%12.9%13.2%
IV Rank20.2%8.8%37.9%26.0%17.6%
IV Percentile23.3%2.8%61.5%32.9%19.8%
Term Structure0.2%-0.4%0.7%0.5%-0.1%
VWIV16.8%15.0%18.9%16.5%15.6%
Skew 25d4.5%4.0%5.2%4.9%4.6%
Skew 10d8.9%7.5%10.2%9.7%9.0%
Call IV 25d13.1%12.0%15.1%13.6%12.9%
Put IV 25d17.7%16.0%20.2%18.5%17.5%
Bid-Ask Spread %1.951.662.491.772.08
Gamma HHI0.060.050.110.110.06
Net GEX-770.4M-1.60B-57.7M-1.60B-744.7M
Net DEX4.82B188.7M11.66B9.90B3.63B
Net VEX-59.5M-65.5M-55.0M-65.5M-58.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.851.013.741.662.15
Total Volume511,771.4292,587840,248518,329599,412
Total OI5,324,276.454,437,1676,045,8215,524,5595,256,576

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-05-01$121.98$125.0015.9%4.5%13.1%26.0%16.5%4.9%0.5%-1.60B9.90B-65.5M1.661.77195,098323,2311,464,9404,059,619
2015-05-04$122.41$125.0015.5%4.8%13.1%22.7%18.6%4.6%0.3%-1.18B7.78B-62.5M1.931.99122,199235,7041,359,5793,947,336
2015-05-05$120.63$125.0017.3%5.1%13.9%36.8%18.9%4.8%0.2%-1.53B11.66B-63.8M1.161.73388,751451,4971,377,9494,008,793
2015-05-06$121.06$125.0017.4%5.1%13.9%37.9%18.5%5.1%0.1%-1.41B10.73B-65.1M1.551.81178,274275,7381,492,2634,149,285
2015-05-07$121.74$124.0017.2%5.0%14.1%36.5%18.9%5.2%0.2%-1.22B8.57B-64.4M1.021.89339,779346,7561,526,0494,120,898
2015-05-08$122.49$124.0015.5%4.7%14.3%22.5%17.9%4.5%0.3%-1.17B6.21B-61.9M1.402.12237,796333,7241,623,1824,197,546
2015-05-11$122.65$124.0015.8%4.6%14.3%25.1%17.2%4.9%0.2%-1.14B6.15B-59.8M1.981.92108,799215,8651,482,5414,096,239
2015-05-12$122.53$124.0015.9%4.6%14.3%26.1%17.6%4.7%0.2%-1.09B6.43B-60.1M2.161.80134,780291,6811,532,4004,143,857
2015-05-13$122.40$124.0015.6%4.7%13.7%23.4%17.6%4.6%0.7%-1.11B6.66B-58.8M2.431.66105,473256,1841,568,3594,201,804
2015-05-14$123.70$124.0014.6%4.3%14.4%15.8%16.2%4.4%0.3%-716.0M3.00B-55.8M1.011.71335,747339,6721,578,5364,216,776
2015-05-15$123.62$124.0014.1%4.1%13.2%11.2%15.3%4.1%0.2%-344.5M2.86B-56.7M1.421.72210,254297,8461,709,6824,336,139
2015-05-18$125.06$124.0014.1%4.1%13.3%11.7%16.3%4.4%0.3%-105.9M188.7M-55.0M2.342.49191,350447,2081,247,0173,190,150
2015-05-19$124.94$124.0014.0%4.0%13.3%10.8%15.3%4.4%0.2%-74.7M705.5M-58.0M3.742.1961,740230,8471,347,2523,396,147
2015-05-20$125.12$124.5014.1%4.0%13.3%11.0%15.5%4.3%0.2%-57.7M357.9M-57.7M1.861.97129,091240,5171,366,5623,463,696
2015-05-21$124.98$124.5013.8%3.9%13.3%8.8%15.8%4.0%0.3%-98.3M660.5M-57.2M2.182.00139,701304,4311,395,4063,551,244
2015-05-22$124.53$125.0013.9%4.0%13.3%9.9%15.0%4.0%0.3%-570.5M1.67B-57.9M1.472.05248,940366,7511,417,0963,645,056
2015-05-26$123.25$125.0015.8%4.5%13.0%24.6%16.5%4.5%-0.1%-847.7M5.44B-58.9M1.541.95266,069410,6461,357,5873,532,548
2015-05-27$124.80$124.0014.0%4.0%13.6%11.0%16.3%4.2%-0.1%-172.1M1.52B-56.4M2.202.05133,946294,4091,429,5283,596,050
2015-05-28$124.58$124.0014.4%4.1%13.2%13.7%15.8%4.5%-0.4%-234.0M2.22B-56.8M1.812.07158,371287,1511,451,1163,648,726
2015-05-29$124.08$124.0014.9%4.3%10.7%17.6%15.6%4.6%-0.1%-744.7M3.63B-58.7M2.152.08190,551408,8611,494,4903,762,086