IWM Options History — July 2015

In July 2015, IWM traded between $120.44 and $126.35. ATM implied volatility averaged 15.7%, placing in the 26.0% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 1.5% (HV 20d: 14.1%). Max pain ranged from $125.00 to $127.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 1.73.

Notable Days

2015-07-28: Highest Volume — 1,009,134 contracts
2015-07-13: Largest IV drop — 14.7% change
2015-07-08: Highest IV Rank — 59.9%
2015-07-08: Largest Expected Move — 5.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$123.82	$120.44	$126.35	$125.16	$122.78
Max Pain	$125.86	$125.00	$127.00	$127.00	$125.00
ATM IV	15.7%	13.0%	20.0%	17.1%	13.7%
Expected Move	4.5%	3.8%	5.7%	5.2%	3.9%
HV 20d	14.1%	13.1%	15.4%	13.7%	13.1%
HV 60d	12.8%	12.3%	13.4%	12.5%	12.3%
IV Rank	26.0%	5.3%	59.9%	37.1%	10.8%
IV Percentile	35.1%	2.0%	86.5%	59.5%	6.0%
Term Structure	0.2%	-0.2%	0.7%	-0.1%	0.5%
VWIV	17.0%	13.9%	21.1%	18.3%	14.3%
Skew 25d	5.1%	4.1%	6.7%	5.5%	4.2%
Skew 10d	10.0%	7.2%	12.8%	11.3%	8.2%
Call IV 25d	13.4%	11.0%	17.1%	14.9%	11.9%
Put IV 25d	18.5%	15.3%	23.6%	20.3%	16.1%
Bid-Ask Spread %	2.07	1.72	2.74	2.06	2.62
Gamma HHI	0.06	0.05	0.10	0.06	0.08
Net GEX	-1.14B	-1.62B	-610.5M	-1.21B	-790.8M
Net DEX	7.57B	1.03B	13.56B	7.87B	7.17B
Net VEX	-62.1M	-68.7M	-57.3M	-66.3M	-61.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.73	1.23	2.63	1.46	1.30
Total Volume	644,693.727	395,321	1,009,134	718,275	663,626
Total OI	5,253,307.636	4,310,429	5,912,805	5,157,970	5,458,350

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
2015-07-01	$125.16	$127.00	17.1%	5.2%	13.7%	37.1%	18.3%	5.5%	-0.1%	-1.21B	7.87B	-66.3M	1.46	2.06	291,962	426,313	1,455,329	3,702,641
2015-07-02	$123.87	$127.00	18.1%	5.6%	13.6%	44.5%	20.8%	6.2%	-0.2%	-1.47B	10.57B	-68.7M	1.88	2.29	334,053	627,716	1,516,145	3,791,499
2015-07-06	$123.76	$126.00	18.0%	5.2%	13.3%	44.1%	21.1%	6.3%	-0.0%	-1.42B	9.74B	-66.1M	1.89	1.93	251,383	474,170	1,458,223	3,835,570
2015-07-07	$123.85	$126.00	17.8%	5.1%	13.2%	42.5%	19.7%	5.9%	0.0%	-1.34B	9.10B	-66.1M	2.52	1.82	247,229	623,595	1,512,667	3,919,424
2015-07-08	$121.98	$126.00	20.0%	5.7%	14.2%	59.9%	21.0%	6.5%	-0.2%	-1.62B	13.43B	-67.3M	2.63	1.85	201,945	530,955	1,574,224	3,952,746
2015-07-09	$122.74	$126.00	19.8%	5.5%	13.3%	58.2%	20.8%	6.7%	-0.2%	-1.50B	11.48B	-67.6M	2.63	1.72	165,038	433,957	1,637,274	4,039,027
2015-07-10	$124.25	$126.00	17.4%	5.0%	14.1%	39.1%	20.4%	6.1%	0.2%	-942.4M	7.26B	-65.1M	2.16	1.79	237,445	512,871	1,669,510	4,152,913
2015-07-13	$125.60	$126.00	14.8%	4.2%	14.7%	19.4%	16.8%	5.5%	-0.1%	-801.4M	3.41B	-59.5M	1.45	2.11	184,834	268,481	1,579,340	3,931,240
2015-07-14	$126.35	$126.00	14.0%	4.2%	14.8%	12.9%	17.6%	5.1%	0.7%	-610.5M	1.34B	-58.3M	2.00	1.85	164,147	328,231	1,610,034	3,940,587
2015-07-15	$125.51	$126.00	14.7%	4.2%	14.8%	18.5%	17.0%	4.9%	-0.2%	-927.3M	3.76B	-59.9M	2.15	1.91	130,686	281,486	1,639,792	4,066,022
2015-07-16	$126.32	$126.00	13.0%	3.9%	15.0%	5.3%	16.5%	4.4%	0.7%	-688.8M	1.03B	-57.3M	1.33	1.83	247,189	328,969	1,664,994	4,138,960
2015-07-17	$125.89	$126.00	13.0%	3.8%	14.4%	5.5%	14.3%	4.3%	0.5%	-977.2M	2.21B	-58.1M	1.31	2.08	249,332	327,544	1,767,026	4,145,779
2015-07-20	$124.98	$126.00	14.0%	4.0%	14.6%	12.9%	15.0%	4.5%	0.2%	-823.3M	4.66B	-58.4M	1.49	1.99	161,943	240,494	1,314,922	2,995,507
2015-07-21	$124.49	$126.00	14.1%	4.1%	14.4%	13.8%	14.0%	4.3%	0.4%	-990.6M	5.70B	-58.4M	1.28	1.98	173,714	221,607	1,362,437	3,091,657
2015-07-22	$124.73	$126.00	13.9%	4.0%	14.4%	12.0%	14.9%	4.1%	0.3%	-943.6M	5.18B	-57.9M	2.33	2.17	160,191	373,100	1,413,556	3,152,756
2015-07-23	$123.52	$126.00	14.8%	4.2%	14.4%	19.4%	14.9%	4.3%	0.3%	-1.33B	8.26B	-61.6M	1.26	2.05	300,591	377,903	1,435,369	3,283,555
2015-07-24	$121.74	$126.00	15.9%	4.5%	15.1%	28.0%	15.9%	4.5%	0.3%	-1.49B	12.06B	-61.9M	1.88	2.04	292,254	550,582	1,524,350	3,342,594
2015-07-27	$120.44	$125.00	17.2%	4.9%	15.4%	37.9%	16.8%	5.2%	0.2%	-1.46B	13.56B	-60.9M	1.36	2.74	364,237	497,108	1,444,626	3,346,519
2015-07-28	$121.55	$125.00	15.4%	4.4%	13.4%	24.2%	15.7%	4.8%	0.3%	-1.42B	11.14B	-61.5M	1.23	2.21	453,340	555,794	1,542,718	3,451,074
2015-07-29	$122.18	$125.00	14.2%	4.0%	13.4%	14.8%	15.2%	4.2%	0.5%	-1.18B	8.91B	-62.2M	1.27	2.26	219,983	279,156	1,724,486	3,584,210
2015-07-30	$122.26	$125.00	13.7%	3.8%	13.4%	10.7%	13.9%	4.1%	0.5%	-1.21B	8.77B	-61.4M	1.32	2.25	184,496	243,612	1,755,348	3,647,768
2015-07-31	$122.78	$125.00	13.7%	3.9%	13.1%	10.8%	14.3%	4.2%	0.5%	-790.8M	7.17B	-61.6M	1.30	2.62	288,995	374,631	1,799,180	3,659,170