IWM Options History — November 2016

In November 2016, IWM traded between $115.01 and $134.07. ATM implied volatility averaged 18.6%, placing in the 37.7% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 1.6% (HV 20d: 16.9%). Max pain ranged from $120.00 to $129.00. Net GEX was positive for 4 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 2.74.

Notable Days

2016-11-11: Highest Volume — 1,250,870 contracts
2016-11-07: Largest IV drop — 16.1% change
2016-11-04: Highest IV Rank — 63.1%
2016-11-02: Largest Expected Move — 6.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$126.35	$115.01	$134.07	$117.29	$131.84
Max Pain	$124.10	$120.00	$129.00	$122.00	$129.00
ATM IV	18.6%	16.9%	23.4%	20.4%	17.3%
Expected Move	5.4%	4.8%	6.9%	6.5%	5.3%
HV 20d	16.9%	12.3%	19.5%	12.5%	17.2%
HV 60d	15.7%	13.4%	16.8%	13.4%	16.7%
IV Rank	37.7%	29.0%	63.1%	47.4%	31.0%
IV Percentile	61.2%	43.7%	88.5%	80.2%	48.8%
Term Structure	0.0%	-0.8%	1.0%	-0.2%	-0.1%
VWIV	20.2%	17.2%	24.2%	24.2%	19.4%
Skew 25d	5.4%	4.3%	7.6%	6.3%	5.3%
Skew 10d	10.4%	8.2%	14.6%	12.2%	9.4%
Call IV 25d	16.1%	15.0%	19.9%	17.7%	15.0%
Put IV 25d	21.6%	19.6%	27.4%	24.0%	20.2%
Bid-Ask Spread %	2.00	1.45	3.71	2.17	1.71
Gamma HHI	0.05	0.04	0.14	0.06	0.04
Net GEX	-576.2M	-1.67B	97.5M	-1.46B	-744.4M
Net DEX	-1.65B	-10.40B	16.93B	12.43B	-3.80B
Net VEX	-67.7M	-73.5M	-61.1M	-67.4M	-73.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.74	1.60	4.54	3.28	3.12
Total Volume	748,353.952	386,757	1,250,870	829,301	468,074
Total OI	6,469,248.905	5,334,257	7,879,538	5,334,257	7,139,847

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
2016-11-01	$117.29	$122.00	20.4%	6.5%	12.5%	47.4%	24.2%	6.3%	-0.2%	-1.46B	12.43B	-67.4M	3.28	2.17	193,716	635,585	1,295,577	4,038,680
2016-11-02	$115.97	$122.00	21.0%	6.9%	12.3%	50.5%	24.2%	6.3%	-0.3%	-1.65B	15.03B	-68.3M	3.01	1.88	144,868	436,066	1,381,374	4,191,513
2016-11-03	$115.01	$120.00	23.0%	6.4%	12.4%	60.8%	23.3%	7.0%	-0.8%	-1.67B	16.93B	-69.2M	2.91	1.86	180,882	527,165	1,419,856	4,276,021
2016-11-04	$115.74	$120.00	23.4%	6.4%	12.8%	63.1%	23.3%	7.6%	-0.8%	-1.54B	15.34B	-70.5M	2.04	2.15	238,963	487,156	1,487,474	4,376,086
2016-11-07	$118.42	$120.00	19.7%	5.7%	15.0%	43.4%	21.0%	6.8%	0.3%	-1.14B	8.29B	-66.7M	2.57	2.00	182,179	468,061	1,453,028	4,194,192
2016-11-08	$119.13	$120.00	19.3%	5.5%	13.8%	41.6%	21.4%	6.4%	-0.1%	-1.02B	6.57B	-66.2M	2.27	3.71	217,661	494,778	1,495,750	4,231,580
2016-11-09	$122.30	$120.00	17.3%	5.1%	16.9%	31.0%	20.4%	5.2%	0.6%	-418.3M	-579.8M	-62.8M	2.23	2.64	313,401	699,078	1,572,058	4,349,232
2016-11-10	$124.67	$120.00	17.5%	5.1%	17.9%	32.3%	20.4%	5.1%	0.4%	-92.9M	-4.59B	-61.6M	1.60	1.94	393,403	630,716	1,609,255	4,435,786
2016-11-11	$127.53	$120.00	17.8%	5.2%	19.3%	33.4%	20.7%	5.0%	0.5%	65.1M	-8.67B	-61.1M	1.98	1.77	420,077	830,793	1,731,140	4,572,266
2016-11-14	$128.84	$122.00	18.6%	5.4%	19.4%	37.9%	19.5%	5.3%	0.3%	97.5M	-9.60B	-61.4M	2.54	1.96	349,766	889,639	1,795,763	4,533,508
2016-11-15	$129.80	$124.00	16.9%	4.9%	19.4%	29.1%	17.5%	4.6%	1.0%	52.0M	-10.33B	-62.1M	2.82	1.96	184,614	520,309	1,918,383	4,905,730
2016-11-16	$129.67	$125.00	17.6%	5.0%	19.5%	32.6%	20.7%	4.9%	0.9%	-28.9M	-9.58B	-64.3M	4.54	1.76	130,874	594,438	1,966,999	5,096,240
2016-11-17	$130.37	$126.00	18.3%	5.2%	19.3%	36.0%	18.9%	4.5%	0.8%	-116.3M	-9.74B	-67.7M	2.89	1.62	265,745	767,832	1,987,348	5,376,159
2016-11-18	$130.97	$127.00	17.4%	5.0%	19.2%	31.4%	18.7%	4.6%	0.0%	52.9M	-10.40B	-72.3M	2.67	1.45	180,973	483,317	2,104,256	5,775,282
2016-11-21	$131.30	$127.00	17.6%	4.9%	19.2%	32.5%	18.3%	4.8%	-0.7%	-413.7M	-5.95B	-71.1M	3.30	1.94	154,248	509,046	1,703,097	4,824,264
2016-11-22	$132.54	$128.00	16.9%	4.8%	18.7%	29.0%	17.2%	4.8%	-0.0%	-344.4M	-7.66B	-70.2M	3.01	1.74	166,305	500,474	1,748,468	4,975,866
2016-11-23	$133.48	$128.00	17.4%	4.8%	18.1%	31.7%	18.0%	4.5%	-0.8%	-272.5M	-8.76B	-70.7M	3.18	1.86	157,868	502,107	1,806,857	5,123,797
2016-11-25	$134.07	$128.00	17.0%	4.9%	16.6%	29.3%	18.2%	4.3%	-0.4%	-222.7M	-9.65B	-69.3M	1.81	2.60	137,744	249,013	1,838,155	5,253,102
2016-11-28	$132.31	$129.00	17.8%	5.3%	17.9%	33.5%	19.1%	5.3%	-0.1%	-575.1M	-5.34B	-71.9M	2.85	1.60	140,321	399,348	1,785,530	5,078,178
2016-11-29	$132.20	$129.00	17.9%	5.4%	18.0%	34.3%	19.9%	5.4%	-0.2%	-654.9M	-4.66B	-73.3M	2.96	1.78	118,297	350,533	1,821,115	5,185,415
2016-11-30	$131.84	$129.00	17.3%	5.3%	17.2%	31.0%	19.4%	5.3%	-0.1%	-744.4M	-3.80B	-73.5M	3.12	1.71	113,528	354,546	1,861,019	5,278,828