IWM Options History — August 2016

In August 2016, IWM traded between $119.50 and $124.13. ATM implied volatility averaged 14.7%, placing in the 17.0% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded above realized volatility by 4.4% (HV 20d: 10.3%). Max pain ranged from $118.00 to $120.00. Net GEX was positive for 2 of 23 trading days. Term structure was in contango for 21 of 23 days. Put/call ratio averaged 2.94.

Notable Days

2016-08-24: Highest Volume — 788,790 contracts
2016-08-05: Largest IV drop — 10.0% change
2016-08-26: Highest IV Rank — 25.9%
2016-08-02: Largest Expected Move — 4.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$122.40	$119.50	$124.13	$120.93	$123.53
Max Pain	$119.76	$118.00	$120.00	$118.00	$120.00
ATM IV	14.7%	13.2%	16.3%	14.7%	15.8%
Expected Move	4.1%	3.7%	4.5%	4.1%	4.2%
HV 20d	10.3%	9.1%	13.1%	13.1%	9.1%
HV 60d	17.3%	16.8%	17.8%	17.6%	16.9%
IV Rank	17.0%	9.4%	25.9%	16.7%	23.3%
IV Percentile	8.5%	0.4%	28.6%	3.6%	20.6%
Term Structure	0.4%	-0.0%	1.5%	0.2%	0.0%
VWIV	16.2%	14.8%	17.6%	16.3%	16.1%
Skew 25d	4.8%	3.9%	5.9%	4.9%	5.6%
Skew 10d	9.3%	7.7%	11.2%	9.1%	10.6%
Call IV 25d	12.6%	11.1%	14.0%	12.9%	13.3%
Put IV 25d	17.4%	15.3%	19.3%	17.8%	18.9%
Bid-Ask Spread %	1.55	1.27	2.06	1.82	1.53
Gamma HHI	0.05	0.04	0.17	0.04	0.05
Net GEX	-449.2M	-848.1M	93.0M	-536.1M	-848.1M
Net DEX	-1.55B	-5.38B	2.50B	-1.03B	385.9M
Net VEX	-66.7M	-72.0M	-61.7M	-68.0M	-68.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.94	1.68	6.45	3.36	2.17
Total Volume	501,061.522	329,015	788,790	579,872	525,772
Total OI	6,643,406.522	5,516,327	7,635,180	6,460,676	6,142,041

Daily Data (23 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
2016-08-01	$120.93	$118.00	14.7%	4.1%	13.1%	16.7%	16.3%	4.9%	0.2%	-536.1M	-1.03B	-68.0M	3.36	1.82	132,959	446,913	1,561,241	4,899,435
2016-08-02	$119.50	$118.00	16.1%	4.5%	12.6%	23.6%	16.5%	4.9%	0.1%	-781.1M	2.50B	-72.0M	3.85	1.30	139,718	537,947	1,616,397	5,022,048
2016-08-03	$120.36	$118.50	15.4%	4.3%	12.7%	20.3%	15.8%	4.7%	0.2%	-565.4M	631.6M	-70.9M	2.31	1.36	109,024	252,207	1,657,174	5,106,680
2016-08-04	$120.53	$120.00	15.1%	4.4%	12.7%	18.6%	17.6%	4.7%	0.2%	-639.0M	294.8M	-69.6M	1.91	1.32	185,719	353,908	1,668,021	5,148,980
2016-08-05	$122.26	$120.00	13.6%	4.2%	10.7%	11.1%	16.3%	3.9%	0.3%	93.0M	-4.48B	-66.3M	2.07	1.48	203,399	421,844	1,734,373	5,211,588
2016-08-08	$122.18	$120.00	14.0%	4.2%	10.3%	13.5%	16.3%	4.3%	0.5%	-161.1M	-3.43B	-65.0M	2.76	1.39	114,448	315,385	1,666,993	5,125,246
2016-08-09	$122.38	$120.00	13.8%	4.2%	9.2%	12.3%	16.5%	4.2%	0.8%	-212.7M	-3.45B	-65.6M	2.85	1.27	86,776	247,699	1,702,448	5,209,393
2016-08-10	$121.61	$120.00	14.6%	4.2%	9.4%	16.2%	16.8%	4.5%	0.1%	-454.0M	-1.48B	-67.6M	3.18	1.52	136,146	433,595	1,712,214	5,267,368
2016-08-11	$122.16	$120.00	14.0%	4.2%	9.5%	13.2%	16.4%	4.2%	0.6%	-308.6M	-2.62B	-67.1M	3.69	1.56	112,922	416,599	1,736,616	5,447,364
2016-08-12	$122.23	$120.00	13.5%	4.0%	9.5%	11.0%	16.4%	4.0%	0.6%	-310.2M	-2.88B	-66.3M	2.96	1.43	102,026	301,864	1,745,446	5,501,872
2016-08-15	$123.40	$120.00	13.6%	4.0%	9.9%	11.4%	15.9%	4.2%	0.6%	-24.8M	-5.38B	-62.2M	2.65	1.45	127,354	337,728	1,714,188	5,444,304
2016-08-16	$122.38	$120.00	14.7%	4.2%	10.1%	16.7%	16.2%	4.5%	0.6%	-260.8M	-2.76B	-65.2M	1.68	1.46	141,476	237,642	1,736,203	5,530,661
2016-08-17	$122.07	$120.00	14.3%	4.1%	9.9%	15.1%	16.2%	4.6%	1.1%	-385.2M	-1.94B	-65.1M	2.21	1.67	160,282	354,374	1,751,559	5,559,472
2016-08-18	$122.72	$120.00	13.8%	3.9%	9.8%	12.2%	15.9%	4.5%	1.5%	-168.1M	-4.08B	-63.8M	3.73	1.64	90,268	336,831	1,802,168	5,709,814
2016-08-19	$122.85	$120.00	13.2%	3.7%	9.6%	9.4%	15.5%	4.3%	1.4%	89.4M	-3.97B	-64.0M	2.15	1.47	182,495	392,151	1,816,822	5,818,358
2016-08-22	$123.14	$120.00	14.4%	3.9%	9.5%	15.2%	14.8%	5.1%	0.5%	-601.8M	-815.1M	-62.6M	2.18	1.69	105,076	228,945	1,364,635	4,151,692
2016-08-23	$124.13	$120.00	14.4%	3.9%	9.6%	15.1%	15.7%	5.0%	0.3%	-454.0M	-2.41B	-61.7M	3.65	1.47	119,587	436,329	1,388,390	4,209,111
2016-08-24	$122.98	$120.00	15.6%	4.2%	10.4%	22.0%	15.7%	5.4%	0.3%	-790.4M	217.5M	-66.1M	6.45	2.06	105,897	682,893	1,409,388	4,336,030
2016-08-25	$123.15	$120.00	16.2%	4.3%	10.4%	25.2%	16.0%	5.5%	0.0%	-847.9M	869.3M	-71.0M	2.90	1.74	119,474	346,086	1,453,864	4,621,786
2016-08-26	$123.07	$120.00	16.3%	4.4%	10.4%	25.9%	16.2%	5.7%	0.2%	-742.5M	877.6M	-70.5M	2.24	1.81	198,351	443,916	1,493,166	4,629,603
2016-08-29	$123.69	$120.00	15.7%	4.2%	10.4%	22.7%	17.1%	5.9%	-0.0%	-681.0M	-314.7M	-67.6M	4.30	1.52	88,924	382,451	1,477,034	4,430,127
2016-08-30	$123.88	$120.00	15.4%	4.0%	9.2%	21.2%	15.9%	5.9%	-0.0%	-741.1M	-333.3M	-67.4M	2.26	1.61	100,832	228,183	1,484,059	4,582,978
2016-08-31	$123.53	$120.00	15.8%	4.2%	9.1%	23.3%	16.1%	5.6%	0.0%	-848.1M	385.9M	-68.8M	2.17	1.53	165,667	360,105	1,508,038	4,634,003