IWM Options History — November 2015

In November 2015, IWM traded between $114.01 and $119.62. ATM implied volatility averaged 17.2%, placing in the 25.8% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded below realized volatility by 2.0% (HV 20d: 19.2%). Max pain ranged from $116.00 to $118.00. Net GEX was positive for 2 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 2.23.

Notable Days

  • 2015-11-13: Highest Volume — 970,046 contracts
  • 2015-11-09: Largest IV spike — 13.4% change
  • 2015-11-13: Highest IV Rank — 44.6%
  • 2015-11-13: Largest Expected Move — 6.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$117.42$114.01$119.62$117.76$119.40
Max Pain$117.55$116.00$118.00$116.00$118.00
ATM IV17.2%14.9%20.8%16.4%16.2%
Expected Move5.0%4.3%6.1%4.8%4.7%
HV 20d19.2%16.9%20.3%19.5%16.9%
HV 60d21.2%19.2%22.5%21.9%19.2%
IV Rank25.8%13.4%44.6%21.4%20.5%
IV Percentile55.7%23.0%82.9%49.2%43.7%
Term Structure0.3%-0.4%0.7%0.2%-0.4%
VWIV18.8%16.1%21.7%18.3%17.8%
Skew 25d5.3%4.7%6.1%5.5%5.5%
Skew 10d10.5%9.4%11.4%10.9%10.5%
Call IV 25d14.9%13.2%17.8%14.4%13.7%
Put IV 25d20.3%17.9%23.9%19.8%19.2%
Bid-Ask Spread %2.551.943.432.453.06
Gamma HHI0.060.040.100.050.06
Net GEX-529.0M-1.33B106.2M-381.7M-301.8M
Net DEX3.41B-1.08B11.66B1.56B485.6M
Net VEX-59.7M-62.8M-55.5M-59.9M-55.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.231.283.821.632.44
Total Volume508,358.55281,769970,046802,834369,360
Total OI5,397,479.24,370,7936,047,8545,125,4324,508,756

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-11-02$117.76$116.0016.4%4.8%19.5%21.4%18.3%5.5%0.2%-381.7M1.56B-59.9M1.632.45304,807498,0271,514,0823,611,350
2015-11-03$118.81$116.0016.3%4.7%19.4%20.7%18.6%5.1%0.2%-209.4M-242.5M-60.7M2.632.58151,973400,0461,575,6083,806,235
2015-11-04$118.19$116.0017.1%5.1%19.0%25.4%20.4%5.3%0.2%-406.2M1.38B-62.4M3.822.74121,039462,6071,582,7153,931,301
2015-11-05$118.38$117.0017.1%5.2%18.8%25.0%20.5%5.3%0.2%-415.5M1.07B-62.5M3.032.06127,926387,3601,611,4864,013,502
2015-11-06$119.42$117.0015.8%4.9%19.0%18.6%18.4%4.7%0.3%14.9M-1.08B-60.9M1.713.02195,069332,7791,638,2684,109,705
2015-11-09$117.68$118.0018.0%5.2%19.8%29.8%18.6%5.8%0.2%-629.8M3.40B-62.8M1.712.55131,839224,9301,582,6463,888,013
2015-11-10$118.05$118.0017.1%5.1%19.1%25.0%19.5%5.5%0.7%-550.4M2.39B-61.6M2.441.99102,004248,6491,616,0743,929,662
2015-11-11$118.19$118.0017.2%5.1%18.5%25.4%19.8%5.5%0.7%-516.2M1.99B-61.5M2.983.4370,831210,9381,637,5373,949,519
2015-11-12$114.80$118.0018.9%5.6%19.9%34.8%21.1%5.7%0.7%-1.20B10.01B-61.9M2.492.12211,244526,1941,662,5803,988,569
2015-11-13$114.01$118.0020.8%6.1%20.0%44.6%21.7%6.1%0.7%-1.33B11.66B-62.7M2.672.11264,640705,4061,694,6204,070,100
2015-11-16$114.85$118.0019.3%5.6%20.2%37.1%20.4%5.8%0.4%-1.14B9.29B-61.3M2.002.84127,991255,5261,687,0464,137,311
2015-11-17$114.81$117.0019.4%5.6%20.1%37.4%18.9%5.8%0.3%-1.09B9.10B-60.4M1.701.97194,118330,2591,715,3354,121,766
2015-11-18$116.62$118.0017.4%5.0%20.3%26.9%19.3%5.3%0.7%-577.7M4.45B-58.7M1.982.27177,487350,6951,752,0944,162,766
2015-11-19$116.11$118.0017.8%5.1%20.3%28.7%18.5%5.3%0.5%-739.8M5.59B-58.3M2.061.94139,480287,3531,778,6054,181,051
2015-11-20$116.87$118.0016.9%4.8%20.0%24.3%17.2%5.0%0.6%-198.3M3.56B-56.7M1.282.24281,786360,9051,825,7364,222,118
2015-11-23$117.40$118.0016.5%4.6%20.0%22.2%17.8%5.2%0.2%-522.2M3.08B-56.9M2.322.89126,861294,6061,311,4023,059,391
2015-11-24$118.25$118.0016.0%4.5%19.5%19.3%16.5%5.0%0.0%-310.7M1.82B-58.0M1.912.88107,638205,7471,388,2083,221,516
2015-11-25$119.20$118.0015.2%4.3%17.4%15.4%16.4%4.8%-0.1%106.2M-360.3M-55.9M2.002.58182,005364,5341,412,9543,272,001
2015-11-27$119.62$118.0014.9%4.3%17.0%13.4%16.1%4.7%-0.2%-183.6M-850.2M-55.5M1.803.32118,809213,7031,421,9993,355,957
2015-11-30$119.40$118.0016.2%4.7%16.9%20.5%17.8%5.5%-0.4%-301.8M485.6M-55.5M2.443.06107,241262,1191,353,4153,155,341