IWM Options History — February 2017

In February 2017, IWM traded between $134.69 and $140.09. ATM implied volatility averaged 15.5%, placing in the 16.5% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 2.2% (HV 20d: 13.3%). Max pain ranged from $134.00 to $137.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 16 of 19 days. Put/call ratio averaged 2.81.

Notable Days

2017-02-13: Highest Volume — 860,894 contracts
2017-02-03: Largest IV drop — 9.6% change
2017-02-28: Highest IV Rank — 33.1%
2017-02-28: Largest Expected Move — 5.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$137.70	$134.69	$140.09	$135.09	$137.89
Max Pain	$135.32	$134.00	$137.00	$136.00	$137.00
ATM IV	15.5%	14.4%	16.8%	16.1%	16.8%
Expected Move	4.5%	4.1%	5.0%	4.7%	5.0%
HV 20d	13.3%	11.7%	15.2%	15.2%	12.0%
HV 60d	14.2%	13.4%	15.7%	15.7%	13.8%
IV Rank	16.5%	8.7%	33.1%	16.8%	33.1%
IV Percentile	25.0%	7.1%	56.0%	36.1%	56.0%
Term Structure	0.3%	-0.2%	1.1%	0.2%	0.0%
VWIV	17.3%	15.7%	18.8%	16.9%	18.6%
Skew 25d	3.4%	2.8%	4.0%	4.0%	4.0%
Skew 10d	7.3%	5.5%	8.7%	8.7%	8.5%
Call IV 25d	14.2%	13.1%	15.3%	14.4%	15.3%
Put IV 25d	17.6%	16.1%	19.3%	18.4%	19.3%
Bid-Ask Spread %	1.82	1.31	2.35	1.31	1.86
Gamma HHI	0.05	0.04	0.07	0.06	0.05
Net GEX	-941.0M	-1.62B	-351.8M	-1.35B	-1.26B
Net DEX	900.5M	-4.56B	6.69B	5.31B	3.33B
Net VEX	-74.6M	-78.6M	-68.7M	-75.9M	-78.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.81	1.69	4.61	2.09	3.21
Total Volume	574,855.474	406,495	860,894	605,134	511,627
Total OI	6,313,414.474	5,736,743	7,176,992	5,824,053	6,190,083

Daily Data (19 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
2017-02-01	$135.09	$136.00	16.1%	4.7%	15.2%	16.8%	16.9%	4.0%	0.2%	-1.35B	5.31B	-75.9M	2.09	1.31	195,779	409,355	1,452,558	4,371,495
2017-02-02	$134.69	$134.00	16.3%	4.9%	13.4%	17.7%	18.1%	3.9%	0.4%	-1.62B	6.69B	-78.6M	2.44	2.20	120,503	294,332	1,511,491	4,524,513
2017-02-03	$136.88	$134.00	14.7%	4.5%	14.1%	8.7%	17.6%	3.4%	0.4%	-654.2M	1.07B	-73.1M	2.45	1.77	174,070	426,634	1,537,681	4,597,379
2017-02-06	$135.73	$135.00	16.0%	4.8%	14.4%	16.2%	18.8%	3.9%	0.5%	-1.35B	4.28B	-75.2M	3.28	1.60	107,258	351,898	1,488,922	4,549,381
2017-02-07	$135.11	$135.00	16.5%	5.0%	14.2%	19.0%	18.1%	3.9%	0.8%	-1.61B	5.97B	-77.1M	2.15	1.89	202,715	435,312	1,526,877	4,636,898
2017-02-08	$135.10	$135.00	16.2%	4.9%	13.9%	17.4%	18.8%	3.8%	0.8%	-1.62B	6.24B	-78.6M	2.33	1.95	170,586	397,840	1,597,742	4,800,032
2017-02-09	$136.83	$135.00	15.6%	4.7%	14.6%	13.9%	17.8%	3.2%	0.9%	-971.1M	1.31B	-76.3M	1.69	1.42	198,931	335,715	1,634,465	4,830,982
2017-02-10	$137.96	$135.00	15.4%	4.6%	14.5%	12.9%	17.2%	3.2%	1.1%	-471.8M	-1.72B	-72.3M	2.12	1.85	177,918	376,542	1,667,961	4,848,897
2017-02-13	$138.30	$135.00	15.9%	4.6%	14.2%	17.5%	18.1%	3.1%	0.1%	-659.3M	-1.98B	-70.7M	4.07	1.91	169,705	691,189	1,637,897	4,820,770
2017-02-14	$138.79	$135.00	14.9%	4.3%	13.0%	12.1%	17.2%	2.8%	0.4%	-520.9M	-3.02B	-71.4M	4.61	1.69	123,360	568,129	1,702,381	5,086,055
2017-02-15	$139.53	$135.00	14.7%	4.2%	13.1%	12.3%	17.6%	2.8%	0.5%	-351.8M	-4.56B	-71.1M	2.52	1.64	186,847	471,677	1,728,405	5,195,277
2017-02-16	$138.82	$135.00	15.0%	4.3%	12.8%	15.6%	16.8%	3.1%	0.3%	-565.6M	-2.35B	-74.4M	2.96	2.02	148,909	440,491	1,777,149	5,313,056
2017-02-17	$138.98	$135.00	14.4%	4.1%	12.8%	11.0%	15.8%	2.9%	0.5%	-518.9M	-2.08B	-73.5M	3.08	1.78	177,887	548,157	1,780,070	5,396,922
2017-02-21	$140.09	$136.00	14.9%	4.2%	13.0%	15.9%	16.2%	3.0%	0.0%	-501.1M	-2.60B	-68.7M	4.04	2.35	87,233	352,717	1,373,619	4,363,124
2017-02-22	$139.52	$136.00	15.0%	4.2%	12.1%	16.5%	15.7%	3.1%	-0.2%	-795.2M	-972.7M	-72.9M	3.06	1.62	100,123	306,372	1,398,513	4,465,472
2017-02-23	$138.62	$136.00	15.3%	4.3%	12.0%	19.8%	16.0%	3.5%	-0.2%	-1.09B	1.21B	-76.0M	1.86	1.79	204,885	380,685	1,429,351	4,473,555
2017-02-24	$138.54	$136.00	15.2%	4.3%	11.7%	18.2%	16.7%	3.9%	-0.2%	-1.15B	1.68B	-77.5M	3.06	2.34	150,969	461,408	1,512,128	4,603,374
2017-02-27	$139.75	$136.00	15.3%	4.4%	12.0%	19.6%	16.4%	3.9%	0.3%	-820.0M	-691.5M	-75.6M	2.29	1.70	141,063	323,433	1,487,882	4,642,518
2017-02-28	$137.89	$137.00	16.8%	5.0%	12.0%	33.1%	18.6%	4.0%	0.0%	-1.26B	3.33B	-78.2M	3.21	1.86	121,516	390,111	1,520,380	4,669,703