IWM Options History — February 2016

In February 2016, IWM traded between $94.95 and $103.15. ATM implied volatility averaged 25.0%, placing in the 68.8% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded below realized volatility by 0.1% (HV 20d: 25.1%). Max pain ranged from $105.00 to $109.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 1.71.

Notable Days

  • 2016-02-17: Highest Volume — 772,860 contracts
  • 2016-02-05: Largest IV spike — 10.7% change
  • 2016-02-11: Highest IV Rank — 96.1%
  • 2016-02-11: Largest Expected Move — 8.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$99.70$94.95$103.15$102.64$102.93
Max Pain$105.95$105.00$109.00$105.00$105.00
ATM IV25.0%20.5%30.5%23.0%20.7%
Expected Move7.2%6.0%8.7%6.8%6.1%
HV 20d25.1%21.6%27.1%27.1%21.6%
HV 60d21.8%20.8%22.4%20.8%22.3%
IV Rank68.8%45.8%96.1%58.5%46.8%
IV Percentile89.1%73.4%99.6%87.3%73.8%
Term Structure-0.2%-0.9%0.3%-0.1%0.2%
VWIV26.2%21.5%30.4%24.3%22.7%
Skew 25d6.5%5.8%7.6%6.3%6.8%
Skew 10d12.2%10.2%14.5%11.5%12.2%
Call IV 25d21.9%17.6%26.8%19.9%17.6%
Put IV 25d28.5%24.0%34.4%26.2%24.4%
Bid-Ask Spread %1.781.332.352.041.59
Gamma HHI0.060.050.090.050.05
Net GEX-634.7M-952.9M-238.2M-424.3M-408.5M
Net DEX13.32B6.25B21.45B9.79B7.14B
Net VEX-60.7M-64.5M-57.2M-64.5M-58.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.711.022.371.831.97
Total Volume555,830.45372,397772,860373,824469,277
Total OI6,051,148.74,981,8246,711,2125,846,4595,392,839

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-02-01$102.64$105.0023.0%6.8%27.1%58.5%24.3%6.3%-0.1%-424.3M9.79B-64.5M1.832.04132,127241,6971,881,1933,965,266
2016-02-02$100.12$105.0025.1%7.5%26.8%69.3%27.0%6.3%-0.2%-668.4M13.99B-63.0M2.151.75201,074432,8711,901,7684,017,503
2016-02-03$100.43$105.0024.6%7.2%26.8%66.8%26.0%6.2%-0.0%-654.6M13.63B-63.3M2.172.35188,816410,6301,938,6604,130,803
2016-02-04$100.77$109.0024.7%7.1%26.6%67.1%25.5%6.2%0.0%-614.7M12.96B-64.5M1.531.99212,765324,9581,968,0264,187,109
2016-02-05$98.17$108.0027.3%7.8%26.7%80.4%28.2%6.5%-0.1%-909.8M17.73B-63.1M2.371.90202,620479,7922,037,2144,312,266
2016-02-08$96.34$108.0028.8%8.2%26.6%88.0%29.4%6.6%0.0%-924.1M19.82B-60.1M2.231.93224,164500,9621,920,3784,274,380
2016-02-09$95.88$107.0029.6%8.4%26.6%91.6%30.4%7.2%-0.3%-925.6M20.28B-61.0M1.991.67186,588370,5801,983,6294,366,860
2016-02-10$95.78$107.0029.2%8.3%26.5%89.5%29.7%7.1%-0.2%-952.8M20.44B-60.5M1.932.03158,501306,4932,046,3964,426,275
2016-02-11$94.95$107.0030.5%8.7%24.1%96.1%30.3%7.6%-0.2%-952.9M21.45B-58.9M1.431.75270,926386,5052,090,5114,429,640
2016-02-12$96.56$106.0028.4%8.1%24.1%85.9%29.9%7.2%-0.1%-879.3M18.81B-61.2M1.021.87355,516361,1962,172,4214,464,668
2016-02-16$99.05$106.0027.0%7.8%25.3%78.7%28.7%7.0%-0.2%-662.4M14.04B-61.1M1.331.55232,619310,3992,165,4714,356,696
2016-02-17$100.53$106.0025.2%7.2%25.6%69.8%26.9%6.7%0.3%-461.8M11.11B-60.8M1.291.42337,957434,9032,199,7634,398,195
2016-02-18$99.84$105.0024.9%7.1%25.7%68.0%25.3%6.5%-0.1%-671.8M13.05B-60.4M1.481.33187,175276,4912,189,1174,518,495
2016-02-19$100.43$105.0023.4%6.7%25.8%60.8%24.5%5.8%-0.1%-535.8M11.71B-58.7M1.471.52200,832295,9432,176,7384,534,474
2016-02-22$101.51$105.0021.9%6.2%25.1%53.3%22.8%5.8%-0.8%-434.5M8.43B-57.2M1.902.03162,140307,3431,361,6983,620,126
2016-02-23$100.79$105.0022.4%6.4%23.7%55.7%23.6%6.4%-0.5%-553.8M9.74B-57.9M2.301.83162,757374,9651,408,9083,735,014
2016-02-24$101.65$105.0022.3%6.5%22.8%55.2%24.7%6.1%-0.9%-495.3M8.83B-59.6M1.541.65209,309321,8191,476,2733,876,816
2016-02-25$102.55$105.0021.1%6.1%22.3%49.0%22.3%5.9%-0.9%-326.1M7.26B-60.0M1.111.72176,219196,1781,546,2973,965,412
2016-02-26$103.15$105.0020.5%6.0%22.3%45.8%21.5%6.2%-0.4%-238.2M6.25B-59.5M1.241.62228,791282,7111,573,7384,011,938
2016-02-29$102.93$105.0020.7%6.1%21.6%46.8%22.7%6.8%0.2%-408.5M7.14B-58.4M1.971.59158,221311,0561,503,2183,889,621