IWM Options History — June 2016

In June 2016, IWM traded between $108.78 and $118.50. ATM implied volatility averaged 18.9%, placing in the 37.7% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 3.5% (HV 20d: 15.3%). Max pain ranged from $112.00 to $115.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 2.85.

Notable Days

2016-06-27: Highest Volume — 1,386,412 contracts
2016-06-24: Largest IV spike — 24.6% change
2016-06-27: Highest IV Rank — 62.8%
2016-06-27: Largest Expected Move — 7.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$114.94	$108.78	$118.50	$115.68	$114.69
Max Pain	$113.64	$112.00	$115.00	$112.00	$113.00
ATM IV	18.9%	15.7%	23.8%	16.4%	17.7%
Expected Move	5.5%	4.3%	7.2%	4.3%	5.0%
HV 20d	15.3%	11.3%	24.4%	13.5%	24.4%
HV 60d	15.5%	13.5%	18.1%	16.4%	18.1%
IV Rank	37.7%	21.6%	62.8%	25.5%	31.9%
IV Percentile	53.8%	17.5%	84.9%	32.1%	44.0%
Term Structure	-0.1%	-0.8%	0.3%	0.1%	0.2%
VWIV	20.9%	16.9%	26.2%	17.1%	20.1%
Skew 25d	6.2%	4.4%	8.4%	4.8%	5.0%
Skew 10d	11.8%	8.9%	16.2%	9.4%	10.0%
Call IV 25d	16.2%	13.6%	21.0%	14.3%	15.7%
Put IV 25d	22.4%	18.2%	28.8%	19.0%	20.7%
Bid-Ask Spread %	2.06	1.42	3.40	1.42	2.43
Gamma HHI	0.06	0.05	0.09	0.05	0.09
Net GEX	-805.0M	-1.79B	-46.8M	-332.2M	-1.25B
Net DEX	4.01B	-5.43B	18.78B	-611.9M	4.23B
Net VEX	-73.1M	-79.8M	-65.9M	-68.5M	-73.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.85	1.39	5.05	2.31	3.04
Total Volume	763,098.227	473,139	1,386,412	599,701	928,136
Total OI	7,050,534.545	6,126,228	7,980,469	6,682,081	7,275,029

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
2016-06-01	$115.68	$112.00	16.4%	4.3%	13.5%	25.5%	17.1%	4.8%	0.1%	-332.2M	-611.9M	-68.5M	2.31	1.42	181,159	418,542	1,699,786	4,982,295
2016-06-02	$116.49	$112.00	15.7%	4.7%	13.2%	21.6%	16.9%	4.4%	0.3%	-183.8M	-2.26B	-67.8M	3.25	1.57	145,969	473,719	1,759,793	5,089,851
2016-06-03	$116.02	$113.00	15.7%	4.5%	13.1%	21.6%	17.6%	4.6%	0.2%	-503.1M	-723.9M	-70.3M	1.50	1.68	298,159	446,634	1,795,487	5,287,417
2016-06-06	$117.22	$113.00	15.9%	4.5%	13.4%	23.0%	16.9%	4.5%	-0.2%	-185.2M	-3.02B	-66.8M	1.93	1.59	175,648	339,639	1,789,366	5,151,964
2016-06-07	$117.54	$113.00	16.0%	4.5%	13.4%	23.1%	19.0%	4.7%	-0.4%	-76.4M	-3.94B	-65.9M	3.78	1.50	124,178	469,941	1,856,853	5,238,838
2016-06-08	$118.50	$114.00	15.9%	4.6%	13.3%	23.0%	17.6%	4.8%	0.3%	-46.8M	-5.43B	-66.0M	2.63	1.76	173,629	457,391	1,872,713	5,317,452
2016-06-09	$117.79	$114.00	16.5%	4.7%	12.7%	25.9%	21.1%	4.8%	-0.4%	-208.7M	-3.63B	-67.9M	5.05	1.53	180,036	908,693	1,905,576	5,467,489
2016-06-10	$115.96	$114.00	18.6%	5.3%	14.0%	36.5%	20.5%	6.1%	-0.4%	-731.8M	1.66B	-74.7M	2.90	1.57	195,991	568,166	1,965,327	5,582,875
2016-06-13	$114.61	$114.00	21.0%	5.9%	14.7%	48.6%	22.9%	7.3%	0.0%	-823.2M	5.27B	-76.7M	2.98	2.03	185,826	553,464	1,916,854	5,420,453
2016-06-14	$114.45	$115.00	21.3%	6.1%	14.3%	50.0%	22.6%	7.1%	-0.7%	-956.8M	6.05B	-77.6M	3.64	1.78	171,988	625,649	1,960,326	5,599,640
2016-06-15	$114.50	$114.00	20.8%	6.0%	14.2%	47.6%	21.1%	7.0%	-0.8%	-837.4M	5.28B	-75.7M	2.81	2.12	138,605	389,600	1,996,351	5,664,700
2016-06-16	$114.44	$114.00	20.2%	5.8%	13.5%	44.6%	21.7%	6.9%	-0.5%	-899.8M	5.71B	-76.2M	2.52	1.68	226,261	570,967	2,027,213	5,760,092
2016-06-17	$114.07	$114.00	19.9%	5.7%	13.4%	43.0%	22.9%	7.2%	-0.3%	-929.6M	6.75B	-76.7M	2.57	2.03	186,011	477,688	2,074,765	5,905,704
2016-06-20	$115.39	$114.00	18.9%	5.6%	13.3%	37.9%	20.5%	7.3%	0.2%	-898.2M	4.71B	-73.9M	1.61	2.24	181,277	291,862	1,440,732	4,685,496
2016-06-21	$115.14	$114.00	19.3%	5.7%	13.4%	39.9%	20.7%	7.4%	0.0%	-927.5M	5.20B	-73.9M	1.39	1.76	204,874	285,736	1,502,952	4,723,969
2016-06-22	$114.66	$114.00	21.0%	6.3%	11.3%	48.3%	23.9%	7.6%	-0.2%	-955.7M	6.09B	-77.1M	2.40	2.17	189,002	453,847	1,604,697	4,807,939
2016-06-23	$116.69	$114.00	18.2%	5.4%	12.7%	34.4%	21.5%	7.4%	-0.1%	-678.7M	2.01B	-74.2M	2.76	3.21	181,320	500,674	1,651,412	4,950,839
2016-06-24	$112.64	$114.00	22.7%	6.8%	18.2%	56.9%	26.0%	8.4%	-0.4%	-1.79B	12.03B	-79.8M	4.39	3.40	252,627	1,110,058	1,710,310	5,100,064
2016-06-27	$108.78	$114.00	23.8%	7.2%	21.6%	62.8%	26.2%	7.8%	-0.2%	-1.64B	18.78B	-75.0M	3.55	2.68	304,650	1,081,762	1,651,377	4,980,305
2016-06-28	$110.45	$114.00	20.5%	6.0%	22.4%	46.2%	21.8%	5.9%	0.1%	-1.58B	14.99B	-75.1M	3.02	2.20	234,402	708,448	1,745,585	5,128,609
2016-06-29	$112.88	$113.00	18.7%	5.4%	23.8%	37.1%	21.8%	5.2%	0.1%	-1.27B	8.99B	-74.8M	2.74	2.91	212,829	583,104	1,815,096	5,248,169
2016-06-30	$114.69	$113.00	17.7%	5.0%	24.4%	31.9%	20.1%	5.0%	0.2%	-1.25B	4.23B	-73.7M	3.04	2.43	229,484	698,652	1,854,614	5,420,415