IWM Options History — May 2016

In May 2016, IWM traded between $109.19 and $115.16. ATM implied volatility averaged 17.1%, placing in the 29.0% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded above realized volatility by 2.9% (HV 20d: 14.3%). Max pain ranged from $111.00 to $112.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 2.80.

Notable Days

2016-05-25: Highest Volume — 887,487 contracts
2016-05-03: Largest IV spike — 9.7% change
2016-05-19: Highest IV Rank — 38.0%
2016-05-19: Largest Expected Move — 5.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$111.59	$109.19	$115.16	$113.39	$115.16
Max Pain	$111.81	$111.00	$112.00	$112.00	$112.00
ATM IV	17.1%	15.4%	18.9%	16.2%	16.3%
Expected Move	4.9%	4.1%	5.4%	4.7%	4.5%
HV 20d	14.3%	12.9%	15.6%	14.8%	14.8%
HV 60d	16.8%	16.3%	18.3%	18.3%	16.5%
IV Rank	29.0%	20.2%	38.0%	24.5%	24.9%
IV Percentile	42.8%	15.1%	63.5%	34.5%	30.6%
Term Structure	0.5%	-0.1%	1.5%	0.1%	0.1%
VWIV	18.6%	16.6%	21.0%	19.1%	16.9%
Skew 25d	4.6%	4.1%	5.2%	5.2%	4.6%
Skew 10d	8.9%	8.2%	10.2%	10.1%	9.2%
Call IV 25d	15.0%	13.2%	16.4%	14.1%	14.2%
Put IV 25d	19.6%	17.4%	21.2%	19.2%	18.9%
Bid-Ask Spread %	1.37	1.12	1.67	1.58	1.45
Gamma HHI	0.06	0.04	0.07	0.04	0.05
Net GEX	-896.7M	-1.60B	-370.7M	-545.9M	-434.0M
Net DEX	5.94B	446.7M	11.73B	2.48B	446.7M
Net VEX	-71.4M	-74.0M	-67.0M	-70.4M	-68.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.80	1.66	6.28	2.37	1.77
Total Volume	546,876.619	198,765	887,487	401,416	502,848
Total OI	6,563,216.19	6,007,794	7,470,994	6,007,794	6,542,692

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
2016-05-02	$113.39	$112.00	16.2%	4.7%	14.8%	24.5%	19.1%	5.2%	0.1%	-545.9M	2.48B	-70.4M	2.37	1.58	119,249	282,167	1,552,901	4,454,893
2016-05-03	$111.65	$112.00	17.8%	5.2%	15.3%	32.5%	19.2%	5.2%	0.1%	-845.0M	5.85B	-72.9M	2.16	1.60	186,096	402,495	1,585,606	4,500,402
2016-05-04	$110.90	$112.00	17.9%	5.2%	15.0%	32.8%	18.8%	4.7%	0.1%	-965.6M	7.21B	-73.5M	1.72	1.67	205,865	354,316	1,625,003	4,559,055
2016-05-05	$110.26	$111.00	17.9%	5.4%	14.3%	32.7%	18.8%	4.8%	0.1%	-1.02B	8.35B	-74.0M	2.22	1.25	136,515	303,713	1,680,245	4,617,579
2016-05-06	$110.76	$112.00	16.9%	5.1%	14.3%	28.0%	18.1%	4.3%	0.3%	-895.0M	7.37B	-72.9M	1.66	1.22	214,413	356,294	1,720,523	4,708,674
2016-05-09	$111.29	$112.00	17.0%	5.1%	14.4%	28.5%	19.1%	4.6%	0.7%	-873.5M	5.88B	-71.6M	1.87	1.14	130,802	245,008	1,650,724	4,674,202
2016-05-10	$112.25	$112.00	16.4%	4.9%	14.4%	25.1%	18.5%	4.3%	0.6%	-665.9M	3.85B	-69.9M	2.46	1.36	146,990	361,815	1,696,895	4,734,555
2016-05-11	$110.95	$112.00	16.8%	5.0%	12.9%	27.4%	21.0%	4.4%	0.6%	-1.06B	6.94B	-72.8M	3.32	1.32	89,252	296,054	1,720,138	4,906,871
2016-05-12	$110.33	$112.00	17.1%	5.1%	13.0%	28.8%	19.2%	4.4%	0.9%	-1.15B	8.43B	-72.8M	4.33	1.31	156,519	677,162	1,734,448	4,964,718
2016-05-13	$109.77	$112.00	17.3%	5.1%	13.1%	29.7%	18.8%	4.4%	0.7%	-1.38B	9.91B	-73.7M	3.37	1.33	133,681	450,217	1,772,107	5,085,379
2016-05-16	$111.07	$112.00	17.1%	4.9%	13.5%	28.9%	18.0%	4.8%	1.1%	-970.1M	6.43B	-70.0M	1.90	1.49	130,269	247,876	1,739,956	5,031,506
2016-05-17	$110.82	$112.00	17.1%	4.9%	13.5%	28.9%	18.1%	4.6%	1.1%	-1.05B	7.22B	-70.3M	2.25	1.33	61,071	137,694	1,756,523	5,081,004
2016-05-18	$109.65	$111.00	18.5%	5.3%	13.8%	35.7%	20.0%	4.8%	1.1%	-1.38B	10.17B	-73.0M	3.01	1.18	159,095	478,691	1,824,952	5,298,504
2016-05-19	$109.19	$112.00	18.9%	5.4%	13.7%	38.0%	20.2%	4.7%	0.9%	-1.60B	11.73B	-73.7M	3.39	1.12	189,066	640,441	1,854,096	5,455,830
2016-05-20	$110.61	$111.00	17.4%	4.9%	14.2%	30.6%	18.8%	4.1%	1.5%	-1.02B	7.69B	-72.5M	2.11	1.23	208,029	439,387	1,915,617	5,555,377
2016-05-23	$110.66	$111.00	18.4%	5.1%	14.0%	35.4%	19.0%	5.0%	-0.1%	-986.3M	7.17B	-70.9M	2.51	1.42	126,911	318,236	1,575,228	4,467,300
2016-05-24	$113.10	$112.00	16.9%	4.6%	15.6%	27.6%	17.5%	4.7%	0.1%	-537.2M	2.46B	-67.0M	2.69	1.42	157,553	424,059	1,624,776	4,582,468
2016-05-25	$113.57	$112.00	16.4%	4.5%	15.6%	25.5%	17.6%	4.5%	-0.1%	-495.2M	1.81B	-67.7M	6.28	1.58	121,867	765,620	1,641,463	4,677,585
2016-05-26	$113.59	$112.00	16.0%	4.4%	14.7%	23.5%	16.6%	4.4%	-0.0%	-592.4M	2.43B	-70.5M	5.07	1.36	99,937	506,544	1,658,245	4,880,230
2016-05-27	$114.50	$112.00	15.4%	4.1%	14.8%	20.2%	16.9%	4.2%	0.6%	-370.7M	816.7M	-70.2M	2.30	1.38	157,534	363,058	1,673,706	5,045,564
2016-05-31	$115.16	$112.00	16.3%	4.5%	14.8%	24.9%	16.9%	4.6%	0.1%	-434.0M	446.7M	-68.4M	1.77	1.45	181,674	321,174	1,630,658	4,912,034