IWM Options History — September 2016

In September 2016, IWM traded between $120.61 and $125.77. ATM implied volatility averaged 16.2%, placing in the 25.3% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded above realized volatility by 2.3% (HV 20d: 13.9%). Max pain ranged from $120.00 to $124.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 3.13.

Notable Days

2016-09-09: Highest Volume — 919,024 contracts
2016-09-09: Largest IV spike — 25.0% change
2016-09-13: Highest IV Rank — 44.0%
2016-09-13: Largest Expected Move — 5.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$123.39	$120.61	$125.77	$122.88	$124.73
Max Pain	$122.33	$120.00	$124.00	$120.00	$124.00
ATM IV	16.2%	13.5%	19.8%	16.5%	15.0%
Expected Move	4.6%	3.5%	5.5%	4.3%	4.2%
HV 20d	13.9%	8.7%	17.8%	9.4%	17.8%
HV 60d	15.8%	13.1%	17.9%	16.8%	13.6%
IV Rank	25.3%	11.0%	44.0%	26.9%	19.2%
IV Percentile	30.2%	0.8%	72.2%	34.1%	12.3%
Term Structure	0.2%	-0.4%	0.6%	0.1%	0.5%
VWIV	18.3%	14.5%	21.8%	16.7%	16.2%
Skew 25d	5.8%	4.7%	6.7%	5.9%	5.4%
Skew 10d	11.1%	8.5%	13.0%	10.6%	10.7%
Call IV 25d	13.8%	11.6%	17.1%	14.0%	12.3%
Put IV 25d	19.6%	16.8%	23.7%	19.9%	17.7%
Bid-Ask Spread %	2.01	1.50	2.34	1.50	2.18
Gamma HHI	0.06	0.05	0.12	0.05	0.05
Net GEX	-1.05B	-1.71B	-417.1M	-1.00B	-690.3M
Net DEX	2.29B	-3.51B	8.45B	1.92B	1.11B
Net VEX	-67.6M	-73.9M	-61.4M	-69.9M	-65.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.13	2.15	4.29	2.65	2.15
Total Volume	578,178.333	397,959	919,024	499,054	477,209
Total OI	6,203,079.333	5,343,008	7,257,221	6,215,313	6,081,116

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
2016-09-01	$122.88	$120.00	16.5%	4.3%	9.4%	26.9%	16.7%	5.9%	0.1%	-1.00B	1.92B	-69.9M	2.65	1.50	136,835	362,219	1,530,828	4,684,485
2016-09-02	$124.28	$120.00	14.5%	3.5%	8.9%	16.6%	14.5%	5.5%	0.2%	-534.0M	-1.63B	-65.7M	2.20	1.53	151,339	333,495	1,570,325	4,783,940
2016-09-06	$124.55	$122.00	15.0%	4.3%	8.9%	19.2%	18.5%	5.7%	0.2%	-605.8M	-1.81B	-63.4M	2.87	1.95	102,842	295,117	1,532,790	4,709,908
2016-09-07	$125.34	$122.00	14.0%	4.3%	9.1%	13.8%	18.1%	5.5%	0.3%	-417.1M	-3.51B	-61.4M	3.69	2.25	116,973	431,988	1,561,806	4,770,080
2016-09-08	$125.12	$122.00	14.4%	4.3%	8.7%	15.8%	18.5%	5.8%	0.2%	-609.3M	-2.43B	-63.6M	2.30	2.04	123,881	284,463	1,572,148	4,956,543
2016-09-09	$121.80	$122.00	18.0%	5.1%	13.2%	34.6%	19.8%	6.6%	-0.1%	-1.43B	5.95B	-72.7M	3.60	2.21	199,811	719,213	1,623,398	5,020,172
2016-09-12	$122.80	$122.00	16.6%	4.8%	13.5%	27.4%	19.7%	6.3%	0.2%	-1.18B	2.65B	-68.7M	3.52	2.00	163,637	575,221	1,600,861	5,057,329
2016-09-13	$120.61	$122.00	19.8%	5.5%	14.5%	44.0%	21.8%	6.7%	-0.4%	-1.51B	8.45B	-73.9M	3.91	2.20	186,880	730,713	1,620,832	5,153,657
2016-09-14	$120.65	$122.00	19.3%	5.4%	14.3%	41.5%	21.3%	6.6%	-0.3%	-1.56B	8.24B	-73.9M	3.07	2.14	157,155	483,227	1,655,822	5,261,311
2016-09-15	$122.01	$122.00	17.8%	5.1%	14.9%	33.6%	20.7%	6.3%	0.0%	-1.29B	4.10B	-72.1M	3.30	1.93	137,180	453,354	1,688,632	5,384,593
2016-09-16	$121.90	$122.00	16.8%	4.9%	14.7%	28.7%	19.1%	6.0%	0.2%	-1.71B	4.60B	-71.7M	3.19	2.09	133,896	427,082	1,689,206	5,568,015
2016-09-19	$122.69	$122.00	17.1%	4.9%	14.9%	30.0%	19.9%	6.1%	0.2%	-1.17B	4.09B	-69.4M	3.98	2.05	101,684	404,280	1,156,961	4,186,047
2016-09-20	$122.52	$122.00	17.6%	5.0%	14.9%	32.4%	19.3%	6.3%	0.1%	-1.25B	4.64B	-70.5M	2.93	1.82	101,197	296,982	1,185,313	4,295,719
2016-09-21	$123.96	$122.00	15.5%	4.5%	15.2%	21.8%	18.7%	5.8%	0.3%	-1.00B	1.61B	-66.4M	2.48	2.09	154,495	382,820	1,204,106	4,383,772
2016-09-22	$125.77	$122.00	13.5%	3.8%	15.7%	11.0%	17.0%	5.2%	0.6%	-435.7M	-2.14B	-61.6M	3.54	1.84	157,101	555,588	1,249,853	4,437,692
2016-09-23	$124.98	$123.00	14.2%	4.0%	15.9%	14.7%	15.1%	4.7%	0.6%	-721.9M	-1.14B	-61.8M	3.45	2.28	172,322	594,907	1,264,857	4,577,932
2016-09-26	$123.33	$124.00	16.6%	4.7%	16.6%	27.6%	18.7%	5.9%	0.4%	-1.24B	4.04B	-67.7M	4.29	1.75	103,633	444,895	1,161,492	4,458,586
2016-09-27	$123.56	$124.00	16.0%	4.5%	16.5%	24.0%	17.0%	5.5%	0.5%	-1.25B	3.44B	-66.4M	3.27	1.79	109,867	358,736	1,185,241	4,562,517
2016-09-28	$124.60	$124.00	15.0%	4.2%	16.8%	19.3%	16.4%	5.2%	0.6%	-1.00B	1.48B	-64.5M	2.67	2.34	121,615	324,181	1,207,570	4,718,099
2016-09-29	$123.17	$124.00	16.8%	4.7%	17.3%	28.5%	17.7%	5.8%	0.5%	-1.34B	4.50B	-68.3M	2.71	2.29	154,571	419,141	1,224,703	4,726,409
2016-09-30	$124.73	$124.00	15.0%	4.2%	17.8%	19.2%	16.2%	5.4%	0.5%	-690.3M	1.11B	-65.7M	2.15	2.18	151,433	325,776	1,256,918	4,824,198