IWM Options History — October 2016

In October 2016, IWM traded between $118.07 and $124.31. ATM implied volatility averaged 17.7%, placing in the 32.9% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 2.9% (HV 20d: 14.8%). Max pain ranged from $122.00 to $124.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 3.20.

Notable Days

2016-10-28: Highest Volume — 691,999 contracts
2016-10-11: Largest IV spike — 14.2% change
2016-10-17: Highest IV Rank — 44.8%
2016-10-31: Largest Expected Move — 6.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$121.43	$118.07	$124.31	$123.72	$118.56
Max Pain	$123.00	$122.00	$124.00	$124.00	$122.00
ATM IV	17.7%	15.8%	19.9%	16.1%	19.6%
Expected Move	5.2%	4.5%	6.2%	4.5%	6.2%
HV 20d	14.8%	12.1%	17.7%	17.6%	12.1%
HV 60d	13.2%	12.5%	13.6%	12.8%	13.3%
IV Rank	32.9%	23.0%	44.8%	25.0%	42.9%
IV Percentile	53.8%	23.8%	79.0%	30.6%	76.6%
Term Structure	0.2%	-1.0%	1.8%	1.5%	-0.1%
VWIV	19.8%	17.4%	22.4%	17.4%	22.4%
Skew 25d	5.7%	5.1%	6.4%	5.7%	6.0%
Skew 10d	10.9%	9.8%	11.9%	11.1%	11.4%
Call IV 25d	15.1%	13.5%	16.9%	13.6%	16.7%
Put IV 25d	20.8%	18.5%	23.3%	19.3%	22.8%
Bid-Ask Spread %	1.75	1.51	2.20	2.08	1.79
Gamma HHI	0.07	0.05	0.15	0.05	0.06
Net GEX	-1.44B	-1.91B	-948.7M	-1.04B	-1.36B
Net DEX	6.82B	2.07B	11.93B	3.08B	9.82B
Net VEX	-66.7M	-70.8M	-61.9M	-66.0M	-66.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.20	1.17	5.04	2.44	2.18
Total Volume	485,321.571	298,951	691,999	298,951	449,970
Total OI	5,486,541.095	4,808,315	6,036,111	5,259,529	5,160,773

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
2016-10-03	$123.72	$124.00	16.1%	4.5%	17.6%	25.0%	17.4%	5.7%	1.5%	-1.04B	3.08B	-66.0M	2.44	2.08	86,798	212,153	1,192,390	4,067,139
2016-10-04	$123.12	$124.00	16.9%	4.8%	17.6%	28.8%	19.2%	5.7%	1.4%	-1.17B	4.12B	-66.3M	3.58	2.20	92,851	332,206	1,207,617	4,097,449
2016-10-05	$124.04	$124.00	16.2%	4.5%	17.7%	25.2%	17.8%	5.5%	1.6%	-990.5M	2.26B	-64.8M	4.01	2.06	119,748	480,594	1,226,518	4,126,632
2016-10-06	$123.87	$123.00	16.1%	5.0%	17.7%	24.6%	20.3%	5.3%	1.6%	-1.12B	3.04B	-67.9M	2.79	1.69	93,138	259,580	1,255,560	4,287,488
2016-10-07	$122.92	$123.00	16.8%	5.2%	15.0%	28.3%	20.3%	5.3%	1.8%	-1.43B	5.07B	-69.1M	4.37	1.68	102,754	449,444	1,280,013	4,325,436
2016-10-10	$124.31	$124.00	16.4%	4.9%	15.2%	26.6%	19.2%	5.9%	0.3%	-948.7M	2.07B	-66.0M	2.96	1.71	107,223	317,547	1,227,006	4,332,231
2016-10-11	$121.90	$123.00	18.8%	5.4%	15.5%	38.7%	21.1%	6.1%	-0.0%	-1.48B	7.12B	-70.2M	4.43	1.68	114,671	508,149	1,266,276	4,349,411
2016-10-12	$121.97	$123.00	18.9%	5.4%	15.5%	39.6%	20.8%	6.2%	-0.2%	-1.53B	6.93B	-69.7M	4.23	1.78	75,324	318,800	1,284,480	4,432,400
2016-10-13	$120.98	$123.00	19.8%	5.6%	15.2%	43.9%	22.0%	6.4%	-0.2%	-1.81B	9.36B	-70.8M	4.44	1.73	107,753	478,739	1,299,105	4,468,543
2016-10-14	$120.72	$123.00	19.1%	5.4%	15.3%	40.5%	20.8%	6.2%	-0.5%	-1.87B	9.68B	-70.3M	2.83	1.72	160,694	455,041	1,323,068	4,517,929
2016-10-17	$120.39	$123.00	19.9%	5.7%	15.0%	44.8%	22.0%	6.2%	-1.0%	-1.77B	9.53B	-68.9M	5.04	1.80	77,608	391,264	1,278,332	4,454,020
2016-10-18	$121.00	$123.00	18.5%	5.3%	15.2%	37.2%	20.5%	6.0%	-0.7%	-1.76B	8.06B	-67.4M	4.59	1.65	100,448	460,912	1,296,956	4,527,728
2016-10-19	$121.63	$123.00	17.2%	4.9%	14.7%	30.6%	19.8%	5.8%	-0.2%	-1.54B	6.48B	-66.6M	2.60	1.62	108,809	282,418	1,316,964	4,627,311
2016-10-20	$121.14	$123.00	17.1%	4.9%	13.5%	30.0%	18.1%	5.5%	-0.5%	-1.75B	7.47B	-66.1M	2.58	1.55	118,775	306,212	1,340,496	4,639,079
2016-10-21	$121.02	$123.00	16.5%	4.8%	13.4%	27.1%	18.3%	5.4%	-0.5%	-1.91B	7.37B	-64.8M	3.36	1.74	133,400	447,766	1,369,972	4,666,139
2016-10-24	$121.89	$123.00	15.8%	4.6%	13.0%	23.0%	17.7%	5.1%	0.5%	-1.12B	4.32B	-61.9M	2.14	1.68	118,496	253,179	1,061,105	3,747,210
2016-10-25	$120.82	$122.50	16.5%	4.9%	13.3%	27.1%	18.7%	5.1%	0.3%	-1.23B	6.28B	-63.0M	2.43	1.71	101,252	245,562	1,107,069	3,773,069
2016-10-26	$119.84	$122.50	17.3%	5.2%	13.0%	30.8%	19.2%	5.2%	0.1%	-1.40B	8.16B	-63.8M	1.17	1.66	202,862	236,623	1,134,732	3,812,726
2016-10-27	$118.21	$122.00	18.2%	5.6%	13.2%	35.8%	19.5%	5.3%	0.1%	-1.51B	11.14B	-64.4M	2.28	1.51	180,310	410,681	1,231,122	3,820,334
2016-10-28	$118.07	$122.00	19.2%	6.0%	12.1%	41.0%	21.4%	6.0%	-0.1%	-1.57B	11.93B	-66.9M	2.72	1.75	185,806	506,193	1,284,625	4,000,910
2016-10-31	$118.56	$122.00	19.6%	6.2%	12.1%	42.9%	22.4%	6.0%	-0.1%	-1.36B	9.82B	-66.1M	2.18	1.79	141,368	308,602	1,225,695	3,935,078