IWM Options History — December 2016

In December 2016, IWM traded between $130.40 and $138.18. ATM implied volatility averaged 16.4%, placing in the 19.0% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded above realized volatility by 2.0% (HV 20d: 14.5%). Max pain ranged from $126.00 to $136.00. Net GEX was positive for 3 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 2.59.

Notable Days

2016-12-08: Highest Volume — 1,199,252 contracts
2016-12-28: Largest IV spike — 9.8% change
2016-12-01: Highest IV Rank — 33.6%
2016-12-01: Largest Expected Move — 5.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$135.55	$130.40	$138.18	$130.40	$134.67
Max Pain	$130.38	$126.00	$136.00	$129.00	$136.00
ATM IV	16.4%	15.2%	18.1%	17.8%	18.1%
Expected Move	4.8%	4.3%	5.5%	5.5%	5.0%
HV 20d	14.5%	12.6%	17.2%	17.2%	14.2%
HV 60d	15.9%	15.5%	16.8%	16.8%	15.7%
IV Rank	19.0%	11.1%	33.6%	33.6%	28.2%
IV Percentile	35.4%	13.1%	65.5%	55.6%	65.5%
Term Structure	0.4%	-0.1%	0.6%	-0.0%	0.5%
VWIV	17.7%	14.5%	19.9%	19.9%	18.4%
Skew 25d	4.1%	3.0%	5.6%	5.6%	5.1%
Skew 10d	7.6%	5.2%	9.9%	9.9%	9.4%
Call IV 25d	14.8%	13.2%	16.5%	15.3%	15.6%
Put IV 25d	18.9%	17.2%	20.9%	20.9%	20.7%
Bid-Ask Spread %	1.71	1.44	2.11	1.69	1.65
Gamma HHI	0.05	0.04	0.08	0.04	0.05
Net GEX	-460.7M	-993.9M	79.0M	-993.9M	-973.0M
Net DEX	-5.04B	-15.75B	4.79B	-109.2M	4.79B
Net VEX	-68.9M	-76.8M	-57.2M	-76.8M	-74.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.59	1.18	4.32	3.27	3.29
Total Volume	672,280.524	415,251	1,199,252	714,989	762,050
Total OI	7,256,887.905	6,181,921	8,732,573	7,242,461	6,532,102

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
2016-12-01	$130.40	$129.00	17.8%	5.5%	17.2%	33.6%	19.9%	5.6%	-0.0%	-993.9M	-109.2M	-76.8M	3.27	1.69	167,553	547,436	1,878,520	5,363,941
2016-12-02	$130.90	$129.00	17.0%	5.3%	16.4%	21.8%	19.4%	5.3%	-0.1%	-950.5M	-1.34B	-75.3M	2.82	1.81	131,029	369,590	1,919,882	5,530,043
2016-12-05	$133.09	$126.00	15.7%	4.6%	16.8%	14.4%	17.6%	5.1%	0.4%	-499.2M	-6.47B	-67.0M	2.62	1.44	114,725	300,526	1,863,534	5,363,903
2016-12-06	$134.57	$126.00	15.2%	4.4%	15.8%	11.3%	17.2%	4.8%	0.5%	-208.3M	-9.66B	-62.9M	2.34	1.52	163,410	382,730	1,914,390	5,413,731
2016-12-07	$136.07	$126.00	15.3%	4.6%	15.9%	11.7%	16.2%	3.5%	0.5%	57.6M	-13.14B	-57.2M	2.36	1.77	267,901	631,916	1,969,677	5,520,940
2016-12-08	$137.84	$127.00	16.5%	4.9%	14.3%	18.7%	17.9%	3.3%	0.5%	79.0M	-15.37B	-59.7M	2.48	1.79	344,136	855,116	2,084,494	5,685,817
2016-12-09	$138.18	$127.00	16.1%	4.7%	13.5%	16.5%	17.4%	3.0%	0.6%	52.7M	-15.75B	-64.9M	1.68	1.70	316,240	532,154	2,232,738	6,013,675
2016-12-12	$136.77	$127.00	17.4%	5.0%	12.9%	24.4%	19.2%	3.5%	-0.1%	-211.7M	-11.10B	-71.4M	2.58	1.44	221,802	571,776	2,295,054	5,840,460
2016-12-13	$136.89	$128.00	17.4%	5.0%	12.6%	24.0%	19.6%	3.7%	0.2%	-194.6M	-10.94B	-72.6M	2.06	1.49	155,377	320,084	2,384,514	5,979,505
2016-12-14	$135.31	$128.00	17.4%	5.1%	13.5%	24.5%	19.6%	4.0%	0.3%	-550.9M	-7.21B	-73.2M	3.24	2.11	200,313	648,965	2,383,608	6,023,887
2016-12-15	$136.07	$130.00	16.7%	4.8%	13.5%	20.2%	17.5%	3.8%	0.2%	-483.7M	-8.77B	-72.1M	1.76	1.59	247,993	436,188	2,442,497	6,113,724
2016-12-16	$135.89	$130.00	15.8%	4.6%	13.6%	15.0%	17.1%	3.5%	0.2%	-348.5M	-8.97B	-70.4M	1.77	1.76	237,127	419,719	2,510,431	6,222,142
2016-12-19	$136.47	$130.00	15.5%	4.5%	13.5%	13.1%	18.9%	3.3%	0.5%	-334.7M	-4.13B	-67.3M	4.32	1.79	148,209	640,830	1,774,139	4,494,104
2016-12-20	$137.66	$130.00	15.5%	4.4%	13.7%	13.0%	17.0%	3.3%	0.6%	-159.7M	-5.63B	-68.7M	2.71	1.97	157,994	428,220	1,796,909	4,694,763
2016-12-21	$137.32	$130.00	15.2%	4.3%	13.6%	11.1%	14.5%	3.0%	0.5%	-285.0M	-5.75B	-66.3M	1.18	1.89	340,828	400,594	1,826,282	4,796,832
2016-12-22	$135.31	$135.00	16.2%	4.6%	14.6%	17.0%	16.7%	3.7%	0.5%	-867.9M	3.57B	-71.3M	1.82	1.97	221,943	403,778	1,469,511	4,856,237
2016-12-23	$135.99	$136.00	15.6%	4.4%	14.6%	14.0%	16.1%	3.7%	0.6%	-895.8M	2.46B	-69.6M	2.38	1.81	125,191	297,410	1,539,570	4,965,124
2016-12-27	$136.86	$136.00	15.8%	4.4%	13.8%	15.1%	16.5%	4.1%	0.5%	-375.9M	462.8M	-66.4M	3.81	1.73	90,374	344,445	1,387,827	4,794,094
2016-12-28	$135.01	$136.00	17.4%	4.9%	14.8%	24.2%	17.8%	4.7%	0.4%	-745.0M	3.55B	-69.2M	3.21	1.50	111,232	357,166	1,401,189	4,825,785
2016-12-29	$135.20	$136.00	17.9%	5.0%	14.8%	26.9%	18.2%	5.0%	0.4%	-786.2M	3.61B	-70.0M	2.63	1.56	193,907	509,914	1,422,587	4,866,484
2016-12-30	$134.67	$136.00	18.1%	5.0%	14.2%	28.2%	18.4%	5.1%	0.5%	-973.0M	4.79B	-74.0M	3.29	1.65	177,694	584,356	1,493,808	5,038,294