IWM Options History — December 2015

In December 2015, IWM traded between $111.05 and $119.90. ATM implied volatility averaged 17.7%, placing in the 31.7% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 0.6% (HV 20d: 17.1%). Max pain ranged from $115.00 to $118.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 1.98.

Notable Days

2015-12-11: Highest Volume — 1,247,985 contracts
2015-12-03: Largest IV spike — 58.1% change
2015-12-11: Highest IV Rank — 50.4%
2015-12-14: Largest Expected Move — 6.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$114.50	$111.05	$119.90	$119.90	$113.13
Max Pain	$116.11	$115.00	$118.00	$118.00	$115.00
ATM IV	17.7%	11.4%	21.4%	15.1%	18.4%
Expected Move	5.2%	4.5%	6.1%	4.5%	5.4%
HV 20d	17.1%	15.5%	18.2%	15.5%	18.1%
HV 60d	19.2%	17.8%	20.0%	19.1%	17.9%
IV Rank	31.7%	0.0%	50.4%	14.8%	35.2%
IV Percentile	58.8%	0.0%	86.1%	25.8%	67.1%
Term Structure	0.3%	-0.8%	6.0%	0.3%	0.1%
VWIV	19.0%	16.1%	22.7%	17.2%	19.3%
Skew 25d	5.2%	2.8%	6.3%	5.3%	5.8%
Skew 10d	9.8%	6.2%	11.5%	9.9%	10.6%
Call IV 25d	15.6%	12.9%	19.0%	12.9%	15.6%
Put IV 25d	20.9%	16.9%	25.2%	18.2%	21.4%
Bid-Ask Spread %	2.60	1.99	3.59	3.23	2.95
Gamma HHI	0.07	0.05	0.19	0.06	0.06
Net GEX	-905.7M	-1.52B	-325.6M	-325.6M	-706.1M
Net DEX	9.04B	-149.4M	17.57B	-149.4M	8.94B
Net VEX	-60.2M	-64.7M	-55.5M	-55.9M	-56.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.98	0.97	4.49	4.49	2.32
Total Volume	606,856.909	344,571	1,247,985	671,729	564,918
Total OI	5,448,996.818	4,666,942	6,524,510	4,666,942	5,265,919

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
2015-12-01	$119.90	$118.00	15.1%	4.5%	15.5%	14.8%	17.2%	5.3%	0.3%	-325.6M	-149.4M	-55.9M	4.49	3.23	122,303	549,426	1,377,562	3,289,380
2015-12-02	$118.58	$118.00	11.4%	4.9%	15.8%	0.0%	18.6%	5.9%	6.0%	-648.4M	3.15B	-62.4M	3.25	2.38	123,053	399,622	1,429,032	3,654,527
2015-12-03	$116.59	$117.00	18.0%	5.1%	16.8%	33.2%	19.5%	5.3%	-0.2%	-1.04B	7.92B	-64.7M	2.39	2.18	227,902	544,863	1,454,053	3,778,695
2015-12-04	$117.84	$117.00	15.2%	4.6%	17.3%	19.5%	17.9%	2.8%	-0.8%	-901.7M	4.93B	-62.6M	1.69	2.34	185,801	314,390	1,512,227	3,880,593
2015-12-07	$116.18	$117.00	17.3%	5.0%	17.6%	29.8%	19.4%	5.7%	0.2%	-1.04B	8.22B	-62.0M	1.92	2.51	160,003	307,766	1,466,593	3,746,302
2015-12-08	$115.42	$117.00	19.3%	5.3%	17.0%	40.1%	20.0%	5.7%	0.4%	-1.10B	9.59B	-62.5M	1.76	2.29	205,958	362,444	1,516,009	3,786,381
2015-12-09	$114.18	$117.00	19.3%	5.5%	17.3%	39.9%	19.7%	5.5%	-0.1%	-1.16B	11.84B	-63.3M	1.80	2.37	208,533	374,479	1,615,896	3,823,845
2015-12-10	$114.21	$117.00	19.1%	5.4%	17.3%	38.9%	19.4%	5.5%	-0.1%	-1.19B	11.52B	-62.0M	2.15	2.29	147,095	316,206	1,658,546	3,834,428
2015-12-11	$111.82	$117.00	21.4%	6.1%	15.8%	50.4%	22.7%	6.3%	-0.3%	-1.45B	16.59B	-62.9M	3.16	3.59	299,676	948,309	1,711,198	3,994,812
2015-12-14	$111.05	$116.00	21.3%	6.1%	15.8%	49.9%	21.9%	6.0%	-0.3%	-1.43B	17.57B	-62.5M	2.28	2.36	317,555	723,814	1,705,401	4,183,178
2015-12-15	$112.67	$116.00	19.8%	5.7%	16.5%	42.4%	20.4%	5.6%	0.0%	-1.19B	13.50B	-63.4M	1.02	1.99	418,703	427,741	1,878,926	4,292,988
2015-12-16	$114.42	$116.00	18.6%	5.3%	17.5%	36.7%	19.2%	5.2%	-0.8%	-760.1M	8.98B	-62.4M	1.12	3.10	367,779	413,171	2,063,543	4,307,252
2015-12-17	$113.15	$115.00	18.3%	5.2%	16.8%	34.7%	18.6%	4.9%	-0.3%	-1.12B	12.32B	-60.9M	1.18	2.50	323,799	382,663	2,108,513	4,328,780
2015-12-18	$111.85	$115.00	18.6%	5.3%	17.2%	36.2%	19.2%	4.9%	-0.1%	-1.52B	15.75B	-60.1M	1.89	2.32	239,747	452,198	2,152,614	4,371,896
2015-12-21	$112.19	$115.00	18.7%	5.4%	17.0%	37.1%	19.2%	5.0%	0.2%	-992.5M	10.43B	-58.9M	1.10	2.31	183,950	201,679	1,517,237	3,437,543
2015-12-22	$113.23	$115.00	17.0%	4.9%	17.3%	28.2%	17.8%	4.5%	0.3%	-811.1M	8.21B	-57.8M	1.62	2.55	148,418	240,762	1,596,692	3,469,186
2015-12-23	$114.88	$115.00	15.8%	4.5%	18.0%	22.2%	16.1%	4.3%	0.4%	-497.8M	4.95B	-56.8M	0.97	2.69	297,331	287,390	1,619,491	3,546,920
2015-12-24	$114.50	$115.00	16.2%	4.7%	17.7%	24.2%	16.9%	4.5%	0.5%	-510.8M	6.09B	-58.7M	1.70	3.17	135,328	229,501	1,644,153	3,604,071
2015-12-28	$113.85	$115.00	17.4%	5.0%	17.6%	30.4%	19.0%	5.2%	0.3%	-637.1M	7.20B	-56.4M	2.13	2.64	109,919	234,652	1,509,637	3,483,006
2015-12-29	$115.13	$116.00	16.4%	4.7%	18.2%	25.6%	17.5%	5.1%	0.4%	-382.2M	4.67B	-55.5M	1.75	2.57	136,554	238,475	1,526,888	3,559,446
2015-12-30	$114.21	$115.50	17.0%	4.8%	18.2%	28.5%	17.9%	5.3%	0.3%	-509.1M	6.70B	-56.1M	1.87	2.88	166,056	310,920	1,554,021	3,620,550
2015-12-31	$113.13	$115.00	18.4%	5.4%	18.1%	35.2%	19.3%	5.8%	0.1%	-706.1M	8.94B	-56.9M	2.32	2.95	170,312	394,606	1,587,787	3,678,132