IWM Options History — September 2015

In September 2015, IWM traded between $107.54 and $117.38. ATM implied volatility averaged 22.7%, placing in the 54.7% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded below realized volatility by 0.3% (HV 20d: 23.0%). Max pain ranged from $116.00 to $120.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 2.87.

Notable Days

2015-09-28: Highest Volume — 1,425,736 contracts
2015-09-02: Largest IV drop — 13.7% change
2015-09-01: Highest IV Rank — 84.6%
2015-09-01: Largest Expected Move — 8.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$113.56	$107.54	$117.38	$111.94	$109.32
Max Pain	$117.76	$116.00	$120.00	$120.00	$116.00
ATM IV	22.7%	19.2%	28.3%	28.3%	23.8%
Expected Move	6.6%	5.5%	8.6%	8.6%	6.8%
HV 20d	23.0%	19.2%	25.0%	23.1%	19.8%
HV 60d	17.8%	17.1%	19.0%	17.1%	19.0%
IV Rank	54.7%	36.2%	84.6%	84.6%	60.4%
IV Percentile	89.7%	75.0%	99.2%	99.2%	94.0%
Term Structure	0.0%	-0.6%	0.7%	0.1%	-0.0%
VWIV	24.6%	21.1%	30.3%	30.3%	24.1%
Skew 25d	8.0%	6.4%	10.1%	10.1%	7.3%
Skew 10d	15.4%	11.6%	19.0%	19.0%	14.4%
Call IV 25d	19.2%	15.6%	23.6%	23.6%	20.4%
Put IV 25d	27.2%	24.3%	33.7%	33.7%	27.7%
Bid-Ask Spread %	2.79	1.80	6.76	2.57	2.34
Gamma HHI	0.08	0.06	0.13	0.07	0.06
Net GEX	-1.56B	-2.05B	-1.32B	-1.39B	-1.43B
Net DEX	18.11B	10.68B	25.57B	23.43B	22.14B
Net VEX	-64.7M	-73.0M	-56.1M	-70.4M	-59.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.87	1.74	4.00	3.72	3.54
Total Volume	755,792.238	471,736	1,425,736	842,852	1,030,464
Total OI	6,643,434.048	5,421,856	7,669,141	6,703,940	6,353,849

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
2015-09-01	$111.94	$120.00	28.3%	8.6%	23.1%	84.6%	30.3%	10.1%	0.1%	-1.39B	23.43B	-70.4M	3.72	2.57	178,683	664,169	2,120,986	4,582,954
2015-09-02	$113.74	$120.00	24.4%	7.0%	24.1%	64.1%	26.9%	8.1%	-0.1%	-1.65B	20.80B	-73.0M	2.18	1.80	176,688	384,445	2,158,903	4,854,159
2015-09-03	$113.89	$118.00	23.9%	6.8%	23.9%	61.3%	26.3%	8.2%	-0.2%	-1.67B	20.35B	-72.4M	2.04	2.17	182,289	372,630	2,217,757	4,926,167
2015-09-04	$113.17	$118.00	24.8%	7.1%	23.8%	65.7%	26.8%	8.1%	-0.1%	-2.05B	22.05B	-71.2M	2.01	2.18	210,712	423,419	2,263,142	4,990,418
2015-09-08	$115.39	$118.00	22.0%	6.4%	24.5%	51.0%	25.0%	8.1%	0.4%	-1.52B	16.00B	-67.6M	1.97	3.32	158,889	312,847	2,147,417	4,735,419
2015-09-09	$114.16	$118.00	23.4%	6.7%	24.6%	58.4%	25.8%	8.5%	-0.0%	-1.54B	18.93B	-66.0M	3.68	2.51	139,368	512,292	2,215,761	4,751,613
2015-09-10	$114.52	$118.00	22.3%	6.3%	24.7%	52.8%	25.1%	8.5%	-0.4%	-1.65B	18.61B	-66.6M	2.65	3.12	181,233	480,508	2,250,947	4,860,625
2015-09-11	$115.01	$118.00	21.6%	6.2%	24.8%	49.1%	23.4%	8.1%	0.1%	-1.68B	17.05B	-65.3M	3.92	2.30	163,975	642,339	2,294,568	4,849,419
2015-09-14	$114.65	$118.00	22.7%	6.5%	24.7%	54.7%	25.4%	8.6%	0.3%	-1.48B	17.95B	-66.5M	3.42	2.77	121,389	415,084	2,256,597	4,797,237
2015-09-15	$116.09	$118.00	21.2%	6.1%	24.8%	47.0%	24.6%	7.7%	-0.1%	-1.43B	14.19B	-65.4M	2.37	2.78	162,275	384,523	2,289,170	4,812,660
2015-09-16	$116.92	$117.00	20.1%	5.8%	25.0%	41.0%	23.7%	8.2%	-0.1%	-1.36B	12.03B	-65.4M	2.55	2.89	182,554	465,593	2,350,302	4,931,949
2015-09-17	$117.38	$118.00	19.2%	5.5%	24.7%	36.2%	22.5%	8.6%	-0.6%	-1.32B	10.68B	-63.2M	2.38	6.76	307,358	733,006	2,370,111	4,971,780
2015-09-18	$115.72	$118.00	20.3%	5.8%	24.0%	42.2%	23.4%	8.0%	0.7%	-1.70B	16.06B	-65.0M	2.57	3.63	270,999	696,841	2,437,924	5,231,217
2015-09-21	$115.53	$118.00	19.7%	5.6%	23.6%	38.7%	21.1%	7.8%	0.2%	-1.36B	11.74B	-62.4M	1.74	2.68	200,639	349,017	1,531,951	3,889,905
2015-09-22	$113.25	$117.50	22.1%	6.4%	21.5%	51.9%	23.0%	7.9%	-0.0%	-1.50B	16.20B	-62.1M	3.56	3.41	144,712	515,218	1,583,540	3,948,741
2015-09-23	$113.49	$117.00	20.8%	6.0%	20.9%	44.8%	22.2%	7.4%	0.4%	-1.56B	15.78B	-61.5M	3.05	2.19	140,711	429,741	1,640,425	4,067,986
2015-09-24	$113.12	$117.00	21.6%	6.3%	19.7%	48.7%	22.0%	6.4%	0.2%	-1.74B	16.58B	-60.9M	2.67	2.39	191,230	510,707	1,671,486	4,210,600
2015-09-25	$111.49	$117.00	22.5%	6.6%	19.2%	53.6%	23.2%	6.6%	0.2%	-1.85B	20.02B	-61.2M	2.41	2.33	262,828	632,153	1,724,213	4,296,060
2015-09-28	$108.46	$117.00	25.5%	7.5%	21.0%	69.8%	25.4%	7.9%	-0.2%	-1.48B	24.12B	-56.1M	4.00	2.23	285,295	1,140,441	1,658,296	4,158,522
2015-09-29	$107.54	$116.50	26.2%	7.7%	21.0%	73.4%	25.6%	8.2%	-0.3%	-1.41B	25.57B	-56.7M	3.85	2.19	229,939	884,434	1,768,282	4,339,057
2015-09-30	$109.32	$116.00	23.8%	6.8%	19.8%	60.4%	24.1%	7.3%	-0.0%	-1.43B	22.14B	-59.9M	3.54	2.34	226,940	803,524	1,862,532	4,491,317