IWM Options History — June 2015 In June 2015, IWM traded between $124.13 and $129.04. ATM implied volatility averaged 14.9%, placing in the 18.3% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded above realized volatility by 3.8% (HV 20d: 11.1%). Max pain ranged from $124.00 to $127.00. Net GEX was positive for 3 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 2.22.
Notable Days 2015-06-29 : Highest Volume — 1,078,648 contracts2015-06-29 : Largest IV spike — 28.4% change2015-06-29 : Highest IV Rank — 47.8%2015-06-29 : Largest Expected Move — 5.7%Monthly Statistics Metric Avg Min Max Open Close Price $126.18 $124.13 $129.04 $124.13 $124.95 Max Pain $125.23 $124.00 $127.00 $124.00 $127.00 ATM IV 14.9% 12.3% 18.5% 15.5% 17.7% Expected Move 4.3% 3.6% 5.7% 4.5% 5.4% HV 20d 11.1% 9.3% 14.2% 10.6% 14.2% HV 60d 12.5% 11.4% 13.2% 13.2% 12.6% IV Rank 18.3% 0.0% 47.8% 22.6% 42.1% IV Percentile 23.1% 0.0% 73.8% 30.6% 70.2% Term Structure 0.0% -0.6% 0.5% 0.5% -0.1% VWIV 17.0% 14.0% 21.2% 17.1% 20.5% Skew 25d 5.2% 4.7% 6.1% 5.0% 6.1% Skew 10d 9.8% 8.6% 12.1% 9.0% 12.1% Call IV 25d 12.8% 10.6% 16.1% 12.8% 15.4% Put IV 25d 18.0% 15.3% 22.3% 17.9% 21.4% Bid-Ask Spread % 1.97 1.69 2.51 2.02 1.80 Gamma HHI 0.06 0.05 0.18 0.05 0.09 Net GEX -532.2M -1.58B 678.0M -818.2M -1.58B Net DEX 1.84B -3.73B 11.16B 4.08B 9.30B Net VEX -60.4M -68.5M -53.5M -58.0M -68.5M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 2.22 1.34 5.11 3.00 1.95 Total Volume 581,011.955 418,826 1,078,648 453,685 629,933 Total OI 5,645,762.273 4,903,999 6,522,915 4,903,999 6,055,034
Daily Data (22 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 2015-06-01 $124.13 $124.00 15.5% 4.5% 10.6% 22.6% 17.1% 5.0% 0.5% -818.2M 4.08B -58.0M 3.00 2.02 113,459 340,226 1,241,779 3,662,220 2015-06-02 $124.51 $124.00 15.5% 4.4% 10.6% 22.3% 17.6% 4.8% -0.4% -737.9M 3.53B -57.9M 5.11 2.51 89,041 454,998 1,261,756 3,730,025 2015-06-03 $125.76 $124.00 14.8% 4.2% 9.3% 17.4% 15.7% 4.8% -0.4% -505.7M 1.04B -58.1M 1.56 2.08 204,947 319,505 1,292,858 3,923,414 2015-06-04 $124.37 $124.00 16.2% 4.6% 10.4% 27.8% 18.4% 5.0% -0.6% -931.8M 4.83B -61.9M 2.64 1.76 164,952 434,826 1,358,358 4,029,638 2015-06-05 $125.38 $124.00 15.1% 4.4% 10.6% 19.4% 17.6% 4.8% -0.5% -566.0M 2.07B -60.9M 1.49 1.81 302,196 448,822 1,411,435 4,165,536 2015-06-08 $124.82 $124.00 15.9% 4.6% 10.6% 25.5% 17.5% 5.1% 0.1% -878.4M 3.87B -62.5M 3.08 1.78 118,781 365,645 1,402,278 4,099,616 2015-06-09 $124.29 $124.00 15.8% 4.7% 10.8% 25.1% 18.2% 5.1% 0.4% -1.05B 5.45B -64.4M 1.99 1.73 179,010 355,927 1,456,070 4,245,160 2015-06-10 $126.07 $124.00 14.4% 4.2% 11.8% 14.0% 14.3% 4.8% 0.1% -386.2M 599.1M -61.4M 1.55 1.97 245,164 380,684 1,514,893 4,363,127 2015-06-11 $126.15 $125.00 14.0% 4.1% 11.7% 10.9% 18.1% 4.8% 0.2% -331.5M 307.3M -61.9M 2.95 1.82 128,812 380,101 1,596,141 4,417,806 2015-06-12 $125.98 $125.00 14.3% 4.1% 11.3% 13.0% 17.1% 5.1% 0.3% -511.7M 931.7M -61.3M 2.17 1.87 155,012 337,034 1,580,670 4,393,013 2015-06-15 $125.59 $125.00 15.4% 4.4% 11.4% 21.7% 17.4% 5.9% 0.3% -734.5M 2.79B -61.4M 1.55 1.77 185,144 287,831 1,505,355 4,403,338 2015-06-16 $126.36 $125.00 15.5% 4.5% 10.8% 22.8% 16.9% 6.0% -0.4% -432.9M 435.6M -59.0M 1.86 1.86 146,689 272,137 1,543,686 4,384,224 2015-06-17 $126.36 $125.00 15.2% 4.3% 10.8% 19.8% 16.9% 5.5% -0.4% -339.2M 149.8M -58.3M 1.78 2.04 184,797 329,072 1,591,656 4,465,120 2015-06-18 $127.84 $125.00 13.6% 3.9% 11.5% 7.4% 16.3% 5.4% -0.0% 256.8M -3.73B -56.1M 1.55 1.69 310,077 480,908 1,675,811 4,590,957 2015-06-19 $128.04 $126.00 13.8% 4.0% 11.5% 8.9% 16.8% 5.7% 0.0% 678.0M -3.68B -58.6M 1.82 1.92 179,879 328,211 1,764,286 4,758,629 2015-06-22 $128.75 $126.00 12.8% 3.7% 11.4% 0.6% 14.0% 5.0% 0.3% -10.2M -2.51B -54.8M 1.34 2.03 191,992 256,620 1,340,013 3,594,587 2015-06-23 $129.04 $126.00 12.3% 3.6% 10.5% 0.0% 14.4% 4.7% 0.4% 51.4M -3.18B -53.5M 2.02 2.19 200,111 404,929 1,381,880 3,676,629 2015-06-24 $127.93 $127.00 13.5% 3.9% 10.5% 8.7% 15.4% 5.0% 0.2% -298.0M -84.4M -58.6M 3.43 2.11 126,945 435,776 1,468,012 3,846,939 2015-06-25 $127.79 $127.00 13.5% 3.9% 10.4% 9.1% 16.2% 4.9% 0.3% -511.8M 948.3M -60.8M 2.44 2.02 163,786 400,216 1,487,792 4,020,141 2015-06-26 $127.52 $127.00 14.4% 4.2% 10.3% 16.0% 16.8% 5.1% 0.1% -588.4M 2.13B -63.5M 2.24 2.40 206,887 462,533 1,544,443 4,193,538 2015-06-29 $124.30 $127.00 18.5% 5.7% 14.1% 47.8% 21.2% 6.1% -0.2% -1.48B 11.16B -66.9M 1.34 2.11 461,030 617,618 1,515,371 4,253,536 2015-06-30 $124.95 $127.00 17.7% 5.4% 14.2% 42.1% 20.5% 6.1% -0.1% -1.58B 9.30B -68.5M 1.95 1.80 213,785 416,148 1,610,501 4,444,533
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