IWM Options History — August 2015

In August 2015, IWM traded between $110.05 and $122.34. ATM implied volatility averaged 19.4%, placing in the 45.0% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 4.8% (HV 20d: 14.6%). Max pain ranged from $120.00 to $126.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 2.39.

Notable Days

2015-08-21: Highest Volume — 1,664,841 contracts
2015-08-24: Largest IV spike — 26.6% change
2015-08-24: Highest IV Rank — 100.0%
2015-08-24: Largest Expected Move — 9.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$118.11	$110.05	$122.34	$122.34	$115.29
Max Pain	$123.76	$120.00	$126.00	$125.00	$120.00
ATM IV	19.4%	14.3%	31.2%	14.3%	24.3%
Expected Move	5.7%	4.0%	9.4%	4.0%	7.1%
HV 20d	14.6%	11.4%	21.1%	13.1%	21.1%
HV 60d	13.6%	12.2%	16.2%	12.3%	16.1%
IV Rank	45.0%	15.1%	100.0%	15.1%	63.1%
IV Percentile	63.0%	13.5%	100.0%	13.5%	97.6%
Term Structure	0.2%	-0.9%	1.6%	0.0%	-0.4%
VWIV	21.1%	14.1%	34.2%	15.3%	28.3%
Skew 25d	6.8%	4.5%	14.1%	4.5%	9.6%
Skew 10d	13.5%	8.6%	29.2%	9.1%	18.9%
Call IV 25d	16.5%	12.3%	24.9%	12.6%	19.7%
Put IV 25d	23.3%	16.8%	39.0%	17.1%	29.3%
Bid-Ask Spread %	2.11	1.43	4.76	3.01	1.69
Gamma HHI	0.08	0.06	0.11	0.08	0.07
Net GEX	-1.60B	-2.26B	-1.08B	-1.08B	-1.39B
Net DEX	16.33B	7.76B	27.45B	7.76B	16.85B
Net VEX	-66.3M	-73.3M	-61.4M	-61.4M	-72.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.39	1.73	4.10	3.23	2.48
Total Volume	814,679.905	342,173	1,664,841	506,592	590,085
Total OI	6,254,177.095	5,225,597	7,139,408	5,225,597	6,529,583

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
2015-08-03	$122.34	$125.00	14.3%	4.0%	13.1%	15.1%	15.3%	4.5%	0.0%	-1.08B	7.76B	-61.4M	3.23	3.01	119,694	386,898	1,744,016	3,481,581
2015-08-04	$121.88	$125.00	14.4%	4.0%	13.2%	16.2%	14.4%	4.5%	0.0%	-1.20B	8.93B	-61.7M	1.89	2.25	118,453	223,720	1,791,581	3,583,994
2015-08-05	$122.24	$125.00	14.4%	4.0%	12.1%	16.4%	14.1%	4.5%	-0.0%	-1.09B	8.20B	-61.9M	1.89	2.28	154,101	290,977	1,820,400	3,655,942
2015-08-06	$120.73	$125.00	15.8%	4.6%	12.6%	27.1%	16.8%	5.0%	-0.1%	-1.57B	12.37B	-62.8M	2.35	1.51	312,386	733,144	1,843,330	3,739,394
2015-08-07	$119.76	$126.00	16.2%	4.8%	11.9%	29.7%	17.7%	5.1%	-0.1%	-2.04B	15.80B	-64.7M	1.98	1.49	295,230	584,360	1,939,323	4,010,885
2015-08-10	$121.27	$125.00	15.0%	4.7%	12.1%	21.0%	17.1%	4.7%	1.3%	-1.67B	11.02B	-64.8M	2.13	1.52	205,224	437,283	1,825,860	4,004,051
2015-08-11	$120.30	$126.00	16.2%	5.0%	11.9%	30.1%	18.5%	5.1%	1.3%	-1.85B	14.05B	-66.3M	3.01	1.92	169,603	510,177	1,876,024	4,115,967
2015-08-12	$120.00	$125.00	16.3%	5.0%	11.8%	30.8%	18.1%	5.1%	0.9%	-1.95B	14.84B	-67.6M	2.11	1.54	285,391	602,406	1,938,320	4,257,835
2015-08-13	$119.64	$125.00	16.1%	4.8%	11.4%	29.5%	18.5%	4.8%	0.9%	-2.04B	15.61B	-67.9M	1.73	1.72	258,204	445,690	2,041,365	4,359,548
2015-08-14	$120.34	$125.00	15.9%	4.9%	11.8%	27.7%	18.1%	4.9%	1.6%	-1.75B	13.35B	-69.5M	1.81	1.53	233,949	423,370	2,134,118	4,469,287
2015-08-17	$121.56	$124.00	15.4%	4.5%	12.4%	23.6%	18.0%	5.2%	0.6%	-1.37B	9.47B	-67.0M	2.16	1.43	206,046	444,537	2,142,562	4,441,198
2015-08-18	$120.57	$124.00	16.3%	4.7%	12.6%	30.6%	17.3%	5.4%	0.7%	-1.69B	12.46B	-67.5M	1.76	1.56	165,020	290,257	2,225,563	4,495,021
2015-08-19	$119.13	$123.00	17.9%	5.1%	13.0%	43.3%	17.7%	5.6%	0.2%	-2.04B	16.64B	-67.1M	1.78	1.82	235,331	417,734	2,284,509	4,483,748
2015-08-20	$116.56	$123.00	20.5%	5.9%	14.6%	63.2%	21.0%	6.5%	0.1%	-2.26B	23.93B	-65.9M	2.69	1.51	275,105	741,410	2,324,453	4,606,357
2015-08-21	$115.12	$124.00	24.7%	7.1%	14.4%	96.0%	25.0%	9.2%	-0.7%	-1.96B	27.13B	-67.2M	2.95	3.11	421,989	1,242,852	2,389,421	4,749,987
2015-08-24	$111.36	$123.00	31.2%	9.4%	17.8%	100.0%	34.2%	14.1%	-0.5%	-1.17B	25.26B	-62.3M	4.10	4.76	313,005	1,284,432	1,775,568	3,951,733
2015-08-25	$110.05	$122.00	29.5%	8.9%	17.3%	90.6%	31.3%	10.9%	-0.9%	-1.25B	27.45B	-62.8M	2.47	3.22	318,682	785,757	1,895,528	4,331,090
2015-08-26	$112.39	$122.00	25.5%	7.6%	19.4%	69.8%	28.3%	10.2%	-0.3%	-1.41B	24.34B	-67.1M	2.62	2.38	232,411	608,156	2,019,023	4,488,380
2015-08-27	$114.39	$121.00	24.1%	7.2%	20.8%	62.1%	27.8%	9.3%	-0.3%	-1.44B	19.71B	-70.7M	2.88	2.31	280,047	805,916	2,102,100	4,579,195
2015-08-28	$115.35	$121.00	23.7%	7.0%	21.0%	60.1%	26.6%	9.4%	-0.2%	-1.45B	17.77B	-73.3M	2.12	1.81	211,276	447,970	2,171,206	4,718,673
2015-08-31	$115.29	$120.00	24.3%	7.1%	21.1%	63.1%	28.3%	9.6%	-0.4%	-1.39B	16.85B	-72.3M	2.48	1.69	169,766	420,319	2,051,547	4,478,036