IWM Options History — January 2016

In January 2016, IWM traded between $98.93 and $110.34. ATM implied volatility averaged 24.8%, placing in the 67.7% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded above realized volatility by 2.3% (HV 20d: 22.6%). Max pain ranged from $104.50 to $115.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 0 of 19 days. Put/call ratio averaged 1.85.

Notable Days

  • 2016-01-15: Highest Volume — 2,431,613 contracts
  • 2016-01-07: Largest IV spike — 16.3% change
  • 2016-01-20: Highest IV Rank — 85.7%
  • 2016-01-20: Largest Expected Move — 8.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$102.48$98.93$110.34$110.05$101.32
Max Pain$108.66$104.50$115.00$115.00$104.50
ATM IV24.8%20.2%28.4%21.6%23.7%
Expected Move7.1%5.8%8.1%6.0%7.0%
HV 20d22.6%19.1%26.3%19.6%26.3%
HV 60d19.9%18.3%21.0%18.4%20.7%
IV Rank67.7%44.6%85.7%51.3%62.3%
IV Percentile94.1%81.0%99.2%88.1%88.9%
Term Structure-0.5%-1.1%-0.1%-0.2%-0.1%
VWIV24.8%21.4%28.9%22.5%23.6%
Skew 25d6.6%5.3%7.7%6.4%6.1%
Skew 10d12.8%9.2%17.1%9.2%11.1%
Call IV 25d21.7%17.6%24.7%18.5%20.7%
Put IV 25d28.3%23.4%32.2%24.9%26.8%
Bid-Ask Spread %2.131.732.692.502.18
Gamma HHI0.060.050.120.070.05
Net GEX-791.4M-1.08B-433.3M-1.03B-433.3M
Net DEX16.29B11.94B21.93B12.31B12.02B
Net VEX-60.6M-66.5M-52.9M-56.6M-64.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.851.013.412.901.21
Total Volume838,953.053296,5992,431,613720,616296,599
Total OI5,574,664.5264,533,5376,227,8374,533,5376,227,837

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-01-04$110.05$115.0021.6%6.0%19.6%51.3%22.5%6.4%-0.2%-1.03B12.31B-56.6M2.902.50184,683535,9331,268,6233,264,914
2016-01-05$110.34$115.0020.2%5.8%19.1%44.6%21.6%5.8%-0.1%-1.04B11.94B-58.4M3.412.16135,023460,0391,324,2093,451,844
2016-01-06$108.60$115.0021.0%5.8%19.2%48.5%21.4%5.8%-0.1%-1.08B14.10B-57.8M2.662.09172,268458,8411,365,5793,486,214
2016-01-07$105.90$114.0024.4%6.7%20.7%65.7%23.3%6.3%-0.5%-1.05B17.65B-57.4M1.842.26385,997710,0321,406,2873,582,728
2016-01-08$103.76$112.0025.8%7.1%21.4%72.4%25.8%6.6%-0.4%-984.2M19.44B-58.0M2.042.55260,542531,4421,604,8633,699,998
2016-01-11$103.49$112.0024.5%6.9%21.3%66.2%23.6%6.2%-0.3%-961.4M19.20B-55.9M1.762.22271,647478,7761,583,2553,704,719
2016-01-12$103.70$110.0023.1%6.4%20.5%59.0%22.2%5.3%-0.8%-905.5M18.29B-55.8M1.012.69372,613376,7451,718,9133,709,749
2016-01-13$100.20$109.0025.7%7.1%23.2%71.9%24.4%5.9%-0.8%-832.7M21.93B-52.9M2.302.43362,397833,9221,881,0153,783,552
2016-01-14$101.90$108.0024.9%7.0%23.5%68.1%24.2%6.7%-0.7%-830.3M19.97B-58.9M1.662.06394,436653,6381,991,8564,019,060
2016-01-15$100.03$108.0027.7%7.8%22.7%82.3%27.0%7.7%-1.1%-833.2M21.72B-57.7M2.942.57616,9391,814,6742,113,8524,050,464
2016-01-19$99.00$106.0027.6%7.9%22.6%81.9%27.7%7.3%-0.6%-722.6M17.79B-65.3M1.111.93299,832331,5461,662,9463,899,441
2016-01-20$99.32$106.0028.4%8.1%22.8%85.7%28.9%7.5%-0.9%-647.4M15.95B-64.3M1.901.73498,048946,6151,705,7663,777,841
2016-01-21$99.29$105.0027.6%7.9%22.7%81.5%27.2%7.5%-0.8%-666.0M15.87B-66.5M1.511.81314,288475,4941,870,3264,040,856
2016-01-22$101.27$105.0023.8%6.9%23.9%62.4%24.8%6.4%-0.4%-480.8M12.56B-66.2M1.051.99303,482317,5171,941,0374,044,809
2016-01-25$98.93$105.0026.0%7.5%23.5%73.7%25.6%6.9%-0.1%-665.1M15.65B-62.5M1.421.78209,306297,7561,849,4663,893,361
2016-01-26$100.94$105.0024.5%7.2%25.4%66.3%25.0%7.1%-0.2%-512.3M12.81B-64.7M1.341.80216,814289,7811,917,3343,953,988
2016-01-27$99.51$105.0025.8%7.6%25.6%72.7%26.4%6.8%-0.3%-657.6M15.06B-63.5M1.581.75251,137396,5571,966,0654,012,717
2016-01-28$99.61$105.0025.4%7.4%24.9%70.5%25.6%6.2%-0.3%-712.5M15.18B-63.7M1.512.03193,112291,6372,002,4434,140,699
2016-01-29$101.32$104.5023.7%7.0%26.3%62.3%23.6%6.1%-0.1%-433.3M12.02B-64.7M1.212.18134,442162,1572,043,6714,184,166