IWM Options History — January 2017

In January 2017, IWM traded between $133.71 and $137.92. ATM implied volatility averaged 15.9%, placing in the 15.5% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded above realized volatility by 1.4% (HV 20d: 14.5%). Max pain ranged from $136.00 to $137.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 2.42.

Notable Days

2017-01-05: Highest Volume — 853,007 contracts
2017-01-17: Largest IV spike — 13.3% change
2017-01-03: Highest IV Rank — 25.9%
2017-01-17: Largest Expected Move — 5.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$135.57	$133.71	$137.92	$135.32	$135.51
Max Pain	$136.20	$136.00	$137.00	$136.00	$136.00
ATM IV	15.9%	14.4%	17.7%	17.7%	16.5%
Expected Move	4.6%	4.2%	5.0%	4.8%	4.9%
HV 20d	14.5%	13.8%	15.3%	14.2%	15.3%
HV 60d	15.8%	15.5%	16.1%	15.7%	15.8%
IV Rank	15.5%	7.0%	25.9%	25.9%	18.8%
IV Percentile	29.6%	7.1%	58.3%	58.3%	44.4%
Term Structure	0.3%	-0.4%	1.0%	0.2%	0.2%
VWIV	17.6%	16.0%	18.9%	18.3%	18.4%
Skew 25d	4.1%	2.7%	5.1%	5.1%	4.3%
Skew 10d	8.2%	6.0%	10.2%	9.6%	9.4%
Call IV 25d	14.2%	13.2%	15.6%	15.6%	14.6%
Put IV 25d	18.3%	16.3%	20.8%	20.8%	18.9%
Bid-Ask Spread %	1.79	1.44	2.57	1.61	1.69
Gamma HHI	0.06	0.04	0.15	0.04	0.06
Net GEX	-1.09B	-1.97B	-213.5M	-770.3M	-1.23B
Net DEX	3.84B	-1.47B	9.10B	3.43B	4.59B
Net VEX	-70.5M	-74.9M	-65.4M	-70.8M	-74.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.42	1.29	3.61	2.35	2.48
Total Volume	593,812.2	442,783	853,007	511,782	489,956
Total OI	6,171,009.5	4,938,743	7,336,765	5,930,046	5,680,957

Daily Data (20 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
2017-01-03	$135.32	$136.00	17.7%	4.8%	14.2%	25.9%	18.3%	5.1%	0.2%	-770.3M	3.43B	-70.8M	2.35	1.61	152,795	358,987	1,412,272	4,517,774
2017-01-04	$137.92	$136.00	16.1%	4.4%	14.6%	16.9%	16.8%	4.5%	0.3%	-213.5M	-1.47B	-65.9M	2.80	1.82	159,218	445,610	1,454,306	4,605,067
2017-01-05	$136.24	$136.00	16.7%	5.0%	14.9%	20.2%	18.2%	4.5%	0.3%	-665.6M	2.14B	-69.8M	2.19	1.57	267,287	585,720	1,478,347	4,738,391
2017-01-06	$135.98	$136.00	15.7%	4.7%	14.4%	14.4%	18.0%	3.7%	0.4%	-948.6M	2.48B	-70.7M	2.70	1.66	172,281	464,878	1,546,000	4,892,787
2017-01-09	$134.92	$136.00	16.3%	4.8%	13.8%	17.5%	18.3%	4.3%	0.4%	-1.09B	5.05B	-70.9M	2.63	1.74	127,508	335,545	1,500,129	4,831,956
2017-01-10	$136.07	$136.00	15.6%	4.6%	14.2%	13.5%	16.0%	4.0%	0.4%	-860.1M	2.42B	-68.8M	1.91	1.77	158,211	302,128	1,528,610	4,923,666
2017-01-11	$136.33	$136.00	15.3%	4.6%	13.8%	11.8%	17.6%	3.8%	0.7%	-804.6M	1.86B	-68.8M	1.57	1.96	172,176	270,607	1,578,443	4,998,169
2017-01-12	$135.14	$136.00	16.2%	4.8%	14.1%	17.3%	18.9%	4.3%	0.6%	-1.25B	5.08B	-71.3M	3.02	1.82	189,536	572,523	1,619,431	5,059,600
2017-01-13	$136.36	$136.00	15.3%	4.6%	13.9%	11.9%	17.8%	4.1%	1.0%	-736.7M	1.81B	-69.7M	2.65	1.76	172,962	458,546	1,642,966	5,249,422
2017-01-17	$134.39	$136.00	17.3%	5.0%	14.7%	23.7%	18.3%	4.7%	-0.4%	-1.48B	7.06B	-71.2M	2.01	1.94	158,346	317,916	1,585,188	5,261,314
2017-01-18	$134.82	$137.00	16.3%	4.7%	14.7%	17.8%	18.4%	4.3%	-0.1%	-1.44B	5.83B	-70.2M	3.47	1.95	149,489	518,085	1,608,828	5,338,886
2017-01-19	$133.71	$136.00	16.6%	4.8%	14.9%	19.5%	17.7%	4.3%	0.1%	-1.83B	9.10B	-72.5M	2.37	1.89	211,347	500,679	1,613,533	5,515,991
2017-01-20	$134.10	$137.00	16.0%	4.6%	14.5%	15.8%	17.5%	4.2%	-0.1%	-1.97B	8.06B	-72.4M	2.57	2.57	207,773	533,417	1,680,260	5,656,505
2017-01-23	$134.02	$137.00	15.8%	4.6%	14.5%	15.0%	16.1%	4.3%	0.2%	-1.39B	6.42B	-71.2M	1.94	1.63	162,103	314,869	1,150,976	3,787,767
2017-01-24	$136.17	$137.00	15.1%	4.3%	14.8%	10.6%	17.0%	3.4%	0.3%	-963.1M	2.47B	-69.0M	1.29	1.78	225,151	290,660	1,201,983	3,896,697
2017-01-25	$137.41	$136.00	14.4%	4.2%	15.0%	7.0%	17.0%	2.7%	0.2%	-666.3M	-474.0M	-65.4M	2.33	2.01	205,623	478,379	1,285,107	3,963,826
2017-01-26	$136.59	$136.00	14.6%	4.3%	15.0%	8.2%	16.9%	3.0%	0.2%	-873.4M	1.39B	-70.3M	2.48	1.61	163,223	404,666	1,366,450	4,123,880
2017-01-27	$136.10	$136.00	14.6%	4.3%	14.3%	8.1%	16.2%	3.2%	0.2%	-1.19B	2.73B	-71.6M	2.10	1.66	171,969	361,866	1,402,145	4,247,623
2017-01-30	$134.35	$136.00	16.2%	4.8%	15.0%	17.0%	18.3%	4.3%	0.2%	-1.42B	6.74B	-73.7M	3.61	1.44	139,821	504,388	1,359,762	4,115,176
2017-01-31	$135.51	$136.00	16.5%	4.9%	15.3%	18.8%	18.4%	4.3%	0.2%	-1.23B	4.59B	-74.9M	2.48	1.69	140,591	349,365	1,396,858	4,284,099