IWM Options History — April 2016

In April 2016, IWM traded between $108.66 and $114.89. ATM implied volatility averaged 16.5%, placing in the 25.7% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded below realized volatility by 0.8% (HV 20d: 17.3%). Max pain ranged from $108.00 to $112.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 2.89.

Notable Days

2016-04-13: Highest Volume — 1,145,791 contracts
2016-04-07: Largest IV spike — 10.0% change
2016-04-07: Highest IV Rank — 37.6%
2016-04-07: Largest Expected Move — 5.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$111.87	$108.66	$114.89	$111.09	$112.64
Max Pain	$110.71	$108.00	$112.00	$108.00	$112.00
ATM IV	16.5%	14.9%	18.8%	15.7%	17.4%
Expected Move	4.8%	4.2%	5.4%	4.2%	5.0%
HV 20d	17.3%	13.7%	20.4%	19.9%	15.0%
HV 60d	20.4%	18.2%	22.8%	22.8%	18.3%
IV Rank	25.7%	18.1%	37.6%	21.8%	30.5%
IV Percentile	36.4%	16.3%	63.5%	28.6%	49.2%
Term Structure	0.2%	-0.1%	0.7%	0.3%	-0.1%
VWIV	18.5%	16.1%	21.5%	16.1%	19.1%
Skew 25d	4.8%	4.3%	5.5%	4.3%	5.1%
Skew 10d	9.7%	8.6%	11.0%	9.2%	10.0%
Call IV 25d	14.3%	13.0%	16.2%	13.6%	15.0%
Put IV 25d	19.1%	17.3%	21.7%	18.0%	20.1%
Bid-Ask Spread %	1.68	1.46	2.12	2.05	1.56
Gamma HHI	0.05	0.04	0.07	0.05	0.04
Net GEX	-409.1M	-820.5M	-12.2M	-221.3M	-702.4M
Net DEX	1.99B	-1.03B	6.47B	656.4M	4.00B
Net VEX	-65.9M	-71.3M	-62.6M	-63.8M	-71.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.89	2.03	5.25	2.80	2.13
Total Volume	611,968.524	385,446	1,145,791	609,826	796,100
Total OI	5,930,954.952	5,411,071	6,704,760	5,712,354	6,190,727

Daily Data (21 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
2016-04-01	$111.09	$108.00	15.7%	4.2%	19.9%	21.8%	16.1%	4.3%	0.3%	-221.3M	656.4M	-63.8M	2.80	2.05	160,377	449,449	1,422,581	4,289,773
2016-04-04	$110.25	$110.00	17.0%	5.0%	20.2%	28.6%	19.9%	4.9%	0.3%	-404.5M	2.53B	-63.8M	3.67	1.80	120,934	444,231	1,394,657	4,194,422
2016-04-05	$108.95	$110.00	17.9%	5.3%	20.4%	32.8%	21.2%	5.2%	0.2%	-658.5M	5.13B	-66.2M	3.52	1.65	143,522	505,572	1,424,937	4,283,085
2016-04-06	$110.20	$110.00	17.1%	5.0%	18.7%	29.0%	19.0%	4.8%	0.2%	-458.5M	3.24B	-65.2M	3.02	1.56	147,579	446,394	1,470,605	4,391,666
2016-04-07	$108.66	$110.00	18.8%	5.4%	19.6%	37.6%	21.5%	5.5%	0.1%	-820.5M	6.47B	-67.8M	2.71	1.73	216,314	586,713	1,500,405	4,475,218
2016-04-08	$108.95	$110.00	18.0%	5.3%	19.3%	33.4%	20.0%	5.2%	0.1%	-765.5M	5.98B	-68.7M	3.08	1.51	151,907	468,036	1,564,697	4,629,047
2016-04-11	$108.99	$110.00	18.0%	5.2%	17.7%	33.3%	19.6%	5.4%	0.2%	-799.0M	5.80B	-66.2M	2.18	1.57	155,448	338,861	1,517,107	4,596,542
2016-04-12	$109.85	$110.00	17.3%	5.0%	17.9%	29.7%	19.2%	5.4%	0.3%	-608.7M	4.18B	-65.7M	2.19	1.74	162,055	354,839	1,555,339	4,667,576
2016-04-13	$112.25	$110.00	16.1%	4.7%	18.2%	24.1%	19.4%	4.7%	0.3%	-12.2M	-413.1M	-62.6M	2.59	1.81	319,240	826,551	1,582,019	4,714,309
2016-04-14	$112.14	$110.00	16.1%	4.7%	18.1%	24.0%	18.2%	4.7%	0.3%	-71.5M	76.0M	-66.3M	2.18	1.48	176,746	385,025	1,674,948	4,885,362
2016-04-15	$112.38	$110.00	16.0%	4.7%	17.9%	23.2%	17.8%	4.6%	0.7%	-279.0M	-83.9M	-67.4M	2.79	1.61	160,134	447,158	1,680,421	5,024,339
2016-04-18	$113.29	$111.00	15.4%	4.5%	17.3%	20.6%	16.8%	4.6%	0.2%	-316.0M	424.0M	-64.6M	2.03	1.69	127,369	258,077	1,393,250	4,017,821
2016-04-19	$113.34	$111.00	15.5%	4.5%	17.3%	20.8%	17.6%	4.5%	0.1%	-302.2M	298.9M	-64.3M	2.98	1.70	102,625	305,924	1,416,163	4,078,142
2016-04-20	$113.70	$111.00	15.5%	4.4%	17.2%	20.9%	17.6%	4.4%	0.2%	-276.9M	-88.8M	-64.0M	2.65	1.67	131,539	348,086	1,428,243	4,159,325
2016-04-21	$112.96	$112.00	15.7%	4.5%	15.3%	21.9%	17.7%	4.3%	0.1%	-439.1M	1.35B	-66.5M	3.33	1.69	108,076	359,635	1,462,732	4,303,806
2016-04-22	$113.91	$112.00	14.9%	4.3%	15.4%	18.1%	16.7%	4.3%	0.2%	-104.1M	-234.7M	-64.7M	4.06	2.12	167,727	681,048	1,482,226	4,330,267
2016-04-25	$113.07	$112.00	16.1%	4.6%	15.8%	23.7%	18.2%	4.7%	0.1%	-426.6M	1.68B	-66.1M	5.25	1.60	99,789	523,671	1,464,251	4,191,826
2016-04-26	$114.47	$112.00	15.6%	4.5%	13.7%	21.1%	17.2%	4.4%	0.0%	-240.1M	-322.1M	-64.9M	2.07	1.46	157,999	326,748	1,482,884	4,283,185
2016-04-27	$114.89	$112.00	15.3%	4.4%	13.7%	19.9%	17.7%	4.3%	0.0%	-181.3M	-1.03B	-64.8M	2.74	1.57	149,858	411,001	1,525,105	4,370,261
2016-04-28	$113.27	$112.00	16.3%	4.7%	14.8%	25.0%	17.6%	4.8%	-0.0%	-503.1M	2.17B	-69.4M	2.80	1.62	165,516	463,466	1,551,227	4,479,558
2016-04-29	$112.64	$112.00	17.4%	5.0%	15.0%	30.5%	19.1%	5.1%	-0.1%	-702.4M	4.00B	-71.3M	2.13	1.56	254,501	541,599	1,584,477	4,606,250