IWM Options History — July 2016

In July 2016, IWM traded between $113.76 and $121.21. ATM implied volatility averaged 15.5%, placing in the 21.0% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded below realized volatility by 7.5% (HV 20d: 23.1%). Max pain ranged from $114.00 to $118.00. Net GEX was positive for 1 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 2.31.

Notable Days

  • 2016-07-08: Highest Volume — 1,153,804 contracts
  • 2016-07-08: Largest IV drop — 13.1% change
  • 2016-07-06: Highest IV Rank — 34.6%
  • 2016-07-05: Largest Expected Move — 5.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$118.71$113.76$121.21$115.53$121.21
Max Pain$116.60$114.00$118.00$114.00$118.00
ATM IV15.5%14.1%18.2%16.8%14.1%
Expected Move4.5%3.9%5.4%4.5%3.9%
HV 20d23.1%13.1%26.2%24.6%13.1%
HV 60d18.2%17.6%18.5%17.8%17.6%
IV Rank21.0%14.0%34.6%27.2%14.0%
IV Percentile14.6%1.2%53.2%29.8%1.2%
Term Structure0.3%0.0%0.6%0.3%0.6%
VWIV17.3%15.4%22.1%16.7%15.4%
Skew 25d4.5%3.8%5.5%4.6%4.1%
Skew 10d9.0%8.1%10.8%9.2%8.5%
Call IV 25d13.7%12.1%16.6%15.0%12.1%
Put IV 25d18.2%16.2%21.6%19.6%16.2%
Bid-Ask Spread %1.771.542.452.451.85
Gamma HHI0.050.040.060.050.06
Net GEX-411.6M-1.18B59.1M-730.1M-51.8M
Net DEX-917.6M-5.60B6.57B2.87B-3.72B
Net VEX-69.3M-75.0M-62.7M-74.1M-66.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.311.553.512.892.15
Total Volume606,239.95318,5931,153,804766,724695,003
Total OI6,448,938.25,819,0647,153,6646,343,2846,700,228

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-07-01$115.53$114.0016.8%4.5%24.6%27.2%16.7%4.6%0.3%-730.1M2.87B-74.1M2.892.45197,110569,6141,608,2994,734,985
2016-07-05$113.76$115.0018.2%5.4%24.8%34.5%22.1%5.1%0.3%-1.18B6.20B-71.9M2.691.81207,867559,4881,521,8464,757,409
2016-07-06$113.92$115.0018.2%5.3%24.8%34.6%20.6%5.3%0.0%-1.03B6.57B-75.0M2.001.62130,186260,9471,532,1954,831,746
2016-07-07$114.14$115.0018.0%5.3%24.5%33.2%18.7%5.5%0.1%-934.3M6.05B-74.1M1.671.58201,576336,3801,578,0524,886,759
2016-07-08$116.99$115.0015.6%4.6%26.2%21.4%18.6%4.4%0.3%-177.2M-913.7M-68.8M1.751.73419,890733,9141,649,0954,980,881
2016-07-11$118.19$115.0015.5%4.5%25.8%20.7%17.5%4.5%0.4%-130.9M-2.59B-66.5M1.991.61249,123496,1511,604,3634,914,133
2016-07-12$119.83$115.0014.9%4.3%25.7%17.9%17.2%4.3%0.1%59.1M-5.60B-62.7M1.961.70319,950627,9421,630,0235,066,057
2016-07-13$119.29$116.0014.9%4.5%25.8%18.0%17.6%4.3%0.6%-227.9M-3.57B-68.6M2.851.54204,474582,7541,682,9255,220,897
2016-07-14$119.46$117.0015.2%4.5%25.8%19.5%17.3%3.8%0.6%-252.3M-3.57B-68.9M1.791.88173,745310,4281,728,6595,381,645
2016-07-15$119.71$117.0014.3%4.1%25.8%14.7%16.1%4.0%0.1%-250.4M-3.56B-69.1M1.551.77184,583286,2441,739,2855,414,379
2016-07-18$119.97$117.0014.7%4.2%25.7%17.0%15.7%4.3%0.2%-329.3M-2.19B-65.8M1.821.66113,102205,4911,413,7344,405,330
2016-07-19$119.15$117.0015.2%4.4%25.7%19.5%17.4%4.5%0.2%-457.4M-550.4M-68.5M3.511.66115,133403,9401,449,5204,461,895
2016-07-20$120.09$118.0014.5%4.2%25.7%15.9%16.4%4.0%0.3%-409.5M-1.91B-68.7M2.261.68135,566306,2021,471,4684,590,776
2016-07-21$119.59$118.0015.3%4.4%25.7%19.8%16.5%4.5%0.3%-537.3M-587.4M-70.5M2.721.89146,385398,1091,516,2774,653,855
2016-07-22$120.40$118.0014.3%4.1%25.2%14.9%15.8%4.3%0.3%-254.3M-2.57B-67.5M2.771.87147,399408,1961,552,3754,707,100
2016-07-25$120.07$118.0015.5%4.4%21.2%20.9%17.5%4.9%0.4%-467.5M-866.9M-70.4M3.061.67130,099397,8091,524,8804,665,477
2016-07-26$120.85$118.0015.2%4.3%15.7%19.4%17.2%4.8%0.4%-357.9M-2.32B-69.7M2.961.80133,142394,3561,565,9634,749,043
2016-07-27$120.96$118.0015.0%4.2%15.3%18.4%15.9%4.5%0.5%-308.1M-2.61B-69.9M1.701.88194,865330,6901,608,4184,875,638
2016-07-28$121.02$118.0014.8%4.2%13.9%17.5%16.2%4.3%0.5%-204.7M-2.92B-68.5M2.101.66134,321282,6251,661,1024,942,052
2016-07-29$121.21$118.0014.1%3.9%13.1%14.0%15.4%4.1%0.6%-51.8M-3.72B-66.6M2.151.85220,802474,2011,702,2194,998,009