IWM Options History — October 2015 In October 2015, IWM traded between $108.14 and $116.92. ATM implied volatility averaged 18.5%, placing in the 32.7% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded below realized volatility by 3.3% (HV 20d: 21.8%). Max pain ranged from $115.00 to $116.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 2.46.
Notable Days 2015-10-28 : Highest Volume — 905,636 contracts2015-10-15 : Largest IV drop — 12.8% change2015-10-01 : Highest IV Rank — 63.7%2015-10-01 : Largest Expected Move — 7.0%Monthly Statistics Metric Avg Min Max Open Close Price $114.32 $108.14 $116.92 $108.14 $115.44 Max Pain $115.73 $115.00 $116.00 $116.00 $116.00 ATM IV 18.5% 16.2% 24.4% 24.4% 16.9% Expected Move 5.4% 4.7% 7.0% 7.0% 5.0% HV 20d 21.8% 19.0% 23.9% 19.0% 20.1% HV 60d 20.5% 18.9% 21.7% 18.9% 21.6% IV Rank 32.7% 20.6% 63.7% 63.7% 24.2% IV Percentile 65.9% 46.0% 95.6% 95.6% 55.2% Term Structure 0.1% -0.4% 0.6% -0.2% 0.5% VWIV 20.0% 17.1% 24.4% 24.4% 18.8% Skew 25d 5.6% 4.8% 7.0% 7.0% 5.0% Skew 10d 10.8% 9.3% 13.6% 13.6% 9.7% Call IV 25d 15.9% 14.2% 20.9% 20.9% 14.6% Put IV 25d 21.5% 18.9% 27.9% 27.9% 19.6% Bid-Ask Spread % 2.20 1.85 2.93 2.53 2.32 Gamma HHI 0.06 0.05 0.08 0.06 0.06 Net GEX -949.5M -1.44B -308.1M -1.31B -786.0M Net DEX 7.35B 2.23B 19.15B 19.15B 5.69B Net VEX -61.2M -63.5M -59.0M -60.0M -62.0M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 2.46 0.86 4.26 3.47 2.58 Total Volume 581,196.955 302,272 905,636 669,360 614,905 Total OI 5,517,365.227 4,790,254 6,316,054 5,448,050 5,503,633
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 2015-10-01 $108.14 $116.00 24.4% 7.0% 19.0% 63.7% 24.4% 7.0% -0.2% -1.31B 19.15B -60.0M 3.47 2.53 149,647 519,713 1,523,240 3,924,810 2015-10-02 $110.45 $116.00 21.9% 6.3% 20.7% 50.8% 22.9% 6.0% -0.0% -967.0M 14.57B -63.5M 1.91 2.55 291,747 556,114 1,661,940 4,088,921 2015-10-05 $113.19 $116.00 20.4% 5.9% 22.6% 42.6% 22.8% 6.3% 0.0% -973.1M 8.55B -62.3M 2.42 2.93 185,550 448,451 1,618,816 3,942,227 2015-10-06 $112.56 $116.00 20.9% 6.0% 21.5% 45.3% 22.6% 6.4% 0.0% -1.10B 10.21B -62.9M 2.51 2.12 168,850 424,611 1,648,115 4,033,385 2015-10-07 $114.28 $116.00 19.4% 5.8% 21.9% 37.5% 22.7% 6.0% 0.3% -960.0M 6.77B -63.3M 2.52 2.04 151,517 381,074 1,688,374 4,158,330 2015-10-08 $115.44 $115.00 18.6% 5.5% 22.2% 33.2% 21.8% 5.6% 0.1% -789.5M 4.18B -62.2M 2.61 2.17 173,594 452,842 1,714,096 4,179,965 2015-10-09 $115.66 $115.00 18.6% 5.3% 22.1% 33.1% 20.6% 5.9% 0.2% -818.5M 4.03B -62.9M 2.66 2.04 116,852 311,228 1,744,149 4,282,105 2015-10-12 $115.52 $115.00 17.7% 5.1% 22.1% 28.6% 19.6% 5.6% 0.0% -935.3M 4.92B -60.4M 3.18 2.26 98,388 312,889 1,678,748 4,134,161 2015-10-13 $114.00 $116.00 19.3% 5.5% 22.1% 36.6% 20.3% 6.0% -0.1% -1.20B 8.45B -60.3M 4.26 1.99 139,039 592,345 1,707,434 4,153,728 2015-10-14 $112.76 $116.00 19.5% 5.6% 22.2% 38.1% 21.2% 6.0% 0.0% -1.44B 12.29B -61.6M 2.77 2.11 179,189 496,833 1,743,381 4,314,518 2015-10-15 $115.46 $115.00 17.0% 5.0% 23.9% 24.8% 19.6% 5.1% 0.6% -1.16B 5.22B -60.2M 2.24 2.19 175,715 393,782 1,790,235 4,401,683 2015-10-16 $115.38 $115.00 17.0% 5.0% 23.4% 24.4% 18.0% 5.3% 0.6% -1.06B 5.48B -60.1M 3.06 2.01 193,666 592,530 1,813,252 4,502,802 2015-10-19 $115.68 $116.00 17.0% 4.9% 23.4% 24.7% 18.6% 5.6% -0.2% -827.2M 5.09B -60.2M 2.69 2.49 114,554 308,580 1,272,644 3,517,610 2015-10-20 $115.20 $116.00 17.5% 5.0% 22.2% 27.2% 17.1% 5.4% -0.1% -883.6M 5.93B -60.8M 2.23 2.03 104,200 231,926 1,301,675 3,572,008 2015-10-21 $113.73 $116.00 19.2% 5.5% 22.7% 36.1% 19.8% 5.5% -0.4% -1.19B 8.68B -61.7M 2.14 2.03 147,757 315,828 1,335,709 3,616,482 2015-10-22 $114.47 $116.00 17.7% 5.1% 22.8% 28.4% 18.3% 5.2% -0.1% -1.09B 7.27B -61.0M 1.64 2.00 170,545 280,524 1,355,157 3,690,964 2015-10-23 $115.77 $115.00 16.4% 4.7% 22.4% 21.8% 18.1% 5.0% -0.3% -578.6M 4.33B -60.2M 2.75 1.91 180,701 496,166 1,426,105 3,710,932 2015-10-26 $115.29 $116.00 16.9% 4.9% 19.7% 24.4% 18.2% 5.3% 0.4% -817.9M 5.67B -59.8M 2.34 1.85 90,496 211,776 1,392,877 3,579,949 2015-10-27 $113.87 $116.00 17.8% 5.2% 20.0% 29.0% 18.5% 5.2% 0.3% -1.07B 8.45B -59.9M 1.70 2.16 228,388 389,251 1,408,638 3,629,265 2015-10-28 $116.92 $116.00 16.2% 4.8% 21.2% 20.6% 17.5% 4.8% 0.3% -308.1M 2.23B -59.0M 0.86 2.38 486,121 419,515 1,491,368 3,690,607 2015-10-29 $115.85 $116.00 17.0% 5.0% 21.1% 24.6% 17.7% 4.9% 0.3% -630.9M 4.61B -61.7M 1.60 2.28 188,306 300,628 1,612,384 3,825,613 2015-10-30 $115.44 $116.00 16.9% 5.0% 20.1% 24.2% 18.8% 5.0% 0.5% -786.0M 5.69B -62.0M 2.58 2.32 171,708 443,197 1,642,023 3,861,610
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