IWM Options History — March 2016

In March 2016, IWM traded between $104.77 and $110.84. ATM implied volatility averaged 17.8%, placing in the 32.6% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded below realized volatility by 1.1% (HV 20d: 18.9%). Max pain ranged from $103.00 to $108.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 2.28.

Notable Days

2016-03-30: Highest Volume — 1,380,574 contracts
2016-03-08: Largest IV spike — 14.8% change
2016-03-08: Highest IV Rank — 48.0%
2016-03-08: Largest Expected Move — 6.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$107.80	$104.77	$110.84	$104.77	$110.84
Max Pain	$106.18	$103.00	$108.00	$105.00	$108.00
ATM IV	17.8%	15.8%	20.9%	18.0%	15.8%
Expected Move	5.1%	4.3%	6.1%	5.3%	4.3%
HV 20d	18.9%	17.1%	22.0%	22.0%	20.2%
HV 60d	22.9%	22.5%	23.6%	22.7%	22.8%
IV Rank	32.6%	22.5%	48.0%	33.6%	22.5%
IV Percentile	54.2%	30.6%	75.0%	61.5%	30.6%
Term Structure	0.4%	-0.2%	0.7%	0.4%	0.3%
VWIV	19.8%	16.1%	23.5%	19.5%	17.0%
Skew 25d	5.4%	4.6%	6.4%	5.8%	4.7%
Skew 10d	10.6%	9.5%	11.3%	11.2%	9.8%
Call IV 25d	15.6%	13.7%	18.2%	15.7%	13.9%
Put IV 25d	21.0%	18.6%	24.2%	21.5%	18.6%
Bid-Ask Spread %	1.89	1.59	2.20	1.59	1.72
Gamma HHI	0.05	0.04	0.08	0.05	0.07
Net GEX	-503.9M	-1.19B	-43.0M	-294.3M	-43.0M
Net DEX	3.60B	-694.4M	7.63B	4.67B	627.1M
Net VEX	-64.7M	-69.8M	-57.6M	-57.6M	-62.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.28	1.49	6.26	1.58	3.19
Total Volume	652,134.955	313,350	1,380,574	648,120	709,863
Total OI	6,468,194.773	5,491,265	7,771,104	5,491,265	6,073,182

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
2016-03-01	$104.77	$105.00	18.0%	5.3%	22.0%	33.6%	19.5%	5.8%	0.4%	-294.3M	4.67B	-57.6M	1.58	1.59	251,405	396,715	1,512,187	3,979,078
2016-03-02	$105.95	$105.00	17.5%	5.0%	20.0%	31.0%	19.5%	5.3%	0.3%	-169.4M	2.93B	-57.6M	1.74	2.16	173,285	301,128	1,623,418	4,101,715
2016-03-03	$107.10	$103.00	17.5%	5.2%	20.2%	30.9%	21.5%	5.4%	0.2%	-114.7M	1.30B	-57.7M	2.51	1.95	232,112	582,978	1,668,259	4,186,441
2016-03-04	$107.60	$104.00	17.6%	5.2%	20.2%	31.6%	21.4%	5.5%	0.5%	-165.7M	926.1M	-61.2M	2.43	2.06	374,813	912,454	1,727,343	4,519,417
2016-03-07	$108.73	$105.00	18.2%	5.3%	17.1%	34.4%	21.2%	5.8%	0.4%	-274.7M	376.9M	-62.6M	1.83	1.83	237,599	435,601	1,759,972	4,670,926
2016-03-08	$106.22	$106.00	20.9%	6.1%	18.0%	48.0%	23.5%	6.0%	0.3%	-624.7M	5.74B	-67.6M	2.71	1.76	179,416	485,905	1,802,553	4,782,587
2016-03-09	$106.60	$106.00	20.7%	5.9%	17.6%	47.0%	23.1%	6.1%	-0.2%	-640.2M	5.57B	-69.0M	1.71	1.77	159,860	273,331	1,852,450	4,961,837
2016-03-10	$105.83	$106.00	20.2%	5.9%	18.1%	44.4%	21.8%	6.2%	0.5%	-782.8M	7.49B	-69.8M	1.75	1.71	274,560	479,744	1,875,864	5,068,554
2016-03-11	$108.17	$106.00	18.5%	5.4%	18.3%	36.1%	22.5%	5.6%	0.7%	-526.8M	1.96B	-66.3M	2.19	1.73	211,686	463,830	1,934,651	5,186,159
2016-03-14	$107.86	$106.00	18.8%	5.4%	18.1%	37.4%	21.6%	6.4%	0.2%	-482.7M	3.20B	-65.7M	2.70	1.85	102,322	275,960	1,900,763	5,195,133
2016-03-15	$106.17	$106.00	19.6%	5.6%	18.0%	41.3%	20.3%	6.1%	0.3%	-801.3M	7.28B	-68.4M	2.14	1.77	168,366	361,027	1,932,536	5,313,500
2016-03-16	$107.00	$106.00	17.8%	5.1%	17.6%	32.4%	20.3%	5.4%	0.3%	-701.4M	4.97B	-65.8M	2.15	2.17	171,661	368,776	1,974,617	5,393,363
2016-03-17	$108.05	$106.00	16.5%	4.7%	17.3%	25.6%	18.3%	4.9%	0.5%	-465.9M	2.32B	-63.8M	2.17	2.11	136,607	296,113	2,018,376	5,502,257
2016-03-18	$109.78	$106.00	15.8%	4.5%	17.8%	22.6%	19.4%	4.6%	0.6%	-238.8M	-694.4M	-64.4M	2.51	2.20	281,951	708,729	2,032,390	5,738,714
2016-03-21	$109.62	$107.00	16.6%	4.7%	17.8%	26.2%	17.2%	5.1%	0.5%	-420.1M	2.21B	-65.2M	1.53	2.05	123,744	189,606	1,340,432	4,381,851
2016-03-22	$109.30	$107.00	16.1%	4.5%	17.5%	23.6%	18.1%	5.0%	0.5%	-518.7M	3.05B	-65.3M	1.49	2.17	201,459	299,904	1,377,885	4,439,996
2016-03-23	$107.02	$108.00	18.0%	5.1%	19.5%	33.4%	19.0%	5.3%	0.5%	-1.11B	7.48B	-68.3M	2.41	1.72	167,830	405,031	1,343,275	4,571,835
2016-03-24	$107.13	$108.00	17.9%	5.0%	19.4%	33.0%	18.6%	5.2%	0.4%	-1.19B	7.63B	-69.7M	1.92	1.70	197,251	377,819	1,399,904	4,727,032
2016-03-28	$107.25	$107.50	18.2%	5.1%	19.4%	34.4%	19.0%	5.5%	0.1%	-972.0M	7.00B	-67.0M	1.64	1.69	144,802	236,806	1,368,933	4,675,677
2016-03-29	$110.11	$107.00	16.4%	4.5%	21.1%	25.1%	16.1%	4.9%	0.3%	-334.1M	1.82B	-63.3M	1.69	1.69	228,743	385,603	1,403,111	4,714,567
2016-03-30	$110.42	$107.50	15.8%	4.3%	20.4%	22.5%	16.6%	4.9%	0.2%	-210.0M	1.30B	-64.1M	6.26	2.15	190,263	1,190,311	1,468,331	4,799,214
2016-03-31	$110.84	$108.00	15.8%	4.3%	20.2%	22.5%	17.0%	4.7%	0.3%	-43.0M	627.1M	-62.9M	3.19	1.72	169,609	540,254	1,485,768	4,587,414