IWM Options History — March 2017

In March 2017, IWM traded between $133.83 and $140.65. ATM implied volatility averaged 15.1%, placing in the 17.7% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded above realized volatility by 1.1% (HV 20d: 14.0%). Max pain ranged from $137.00 to $140.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 21 of 23 days. Put/call ratio averaged 2.42.

Notable Days

2017-03-22: Highest Volume — 1,176,189 contracts
2017-03-21: Largest IV spike — 17.5% change
2017-03-24: Highest IV Rank — 34.0%
2017-03-24: Largest Expected Move — 4.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$136.69	$133.83	$140.65	$140.65	$137.99
Max Pain	$138.22	$137.00	$140.00	$137.00	$137.00
ATM IV	15.1%	13.2%	16.8%	16.3%	14.5%
Expected Move	4.3%	3.7%	4.8%	4.8%	3.7%
HV 20d	14.0%	12.4%	16.1%	13.5%	13.2%
HV 60d	13.9%	13.4%	14.6%	14.1%	13.6%
IV Rank	17.7%	0.1%	34.0%	28.8%	11.9%
IV Percentile	23.9%	0.4%	63.1%	46.8%	9.9%
Term Structure	0.2%	-0.0%	0.9%	-0.0%	0.1%
VWIV	16.0%	14.3%	17.7%	17.7%	14.5%
Skew 25d	3.1%	2.7%	3.9%	2.8%	3.2%
Skew 10d	6.2%	5.4%	7.7%	5.4%	6.3%
Call IV 25d	14.0%	12.4%	15.6%	15.6%	13.2%
Put IV 25d	17.1%	15.3%	18.8%	18.4%	16.4%
Bid-Ask Spread %	2.26	1.40	5.59	1.51	2.39
Gamma HHI	0.06	0.04	0.08	0.04	0.06
Net GEX	-1.14B	-1.99B	-257.0M	-379.7M	-308.3M
Net DEX	4.70B	-3.70B	11.30B	-3.70B	285.3M
Net VEX	-74.7M	-82.0M	-69.1M	-70.7M	-76.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.42	1.39	4.08	1.76	2.68
Total Volume	639,662.13	412,332	1,176,189	650,107	506,706
Total OI	6,149,494.609	4,751,594	7,130,108	6,339,284	6,113,866

Daily Data (23 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
2017-03-01	$140.65	$137.00	16.3%	4.8%	13.5%	28.8%	17.7%	2.8%	-0.0%	-379.7M	-3.70B	-70.7M	1.76	1.51	235,865	414,242	1,567,167	4,772,117
2017-03-02	$138.93	$137.00	15.7%	4.4%	14.3%	22.8%	17.3%	3.0%	0.1%	-1.04B	432.2M	-74.9M	4.08	1.54	126,097	514,437	1,635,977	4,812,398
2017-03-03	$138.57	$137.00	15.1%	4.3%	14.3%	17.8%	15.3%	3.0%	0.4%	-952.3M	911.6M	-73.2M	2.15	1.40	172,807	371,617	1,661,536	4,883,008
2017-03-06	$137.87	$140.00	15.5%	4.5%	13.4%	21.0%	16.7%	3.2%	0.1%	-1.13B	2.41B	-71.8M	3.01	1.79	112,016	336,802	1,605,516	4,663,654
2017-03-07	$136.83	$140.00	15.1%	4.4%	13.3%	17.2%	16.8%	3.2%	0.1%	-1.49B	5.02B	-72.2M	3.56	1.66	125,619	446,919	1,629,035	4,710,834
2017-03-08	$136.02	$140.00	15.5%	4.5%	13.4%	21.2%	16.4%	3.4%	0.0%	-1.80B	7.59B	-73.9M	2.33	1.68	156,727	365,712	1,668,436	4,776,234
2017-03-09	$135.38	$139.00	15.6%	4.6%	13.5%	22.6%	16.3%	3.3%	0.0%	-1.99B	9.30B	-75.2M	2.60	2.12	202,514	527,290	1,710,385	4,841,968
2017-03-10	$135.73	$140.00	14.7%	4.3%	12.7%	13.5%	16.4%	3.0%	0.2%	-1.76B	8.12B	-75.2M	3.57	1.99	181,974	649,446	1,780,065	4,956,529
2017-03-13	$136.38	$140.00	14.7%	4.3%	12.4%	13.8%	15.8%	3.2%	0.3%	-1.44B	5.78B	-73.9M	2.15	2.10	157,586	339,014	1,717,094	4,945,631
2017-03-14	$135.72	$139.00	15.1%	4.3%	12.5%	18.0%	15.8%	3.2%	0.0%	-1.70B	7.82B	-74.8M	2.25	1.87	185,743	418,366	1,751,839	5,044,473
2017-03-15	$137.78	$138.00	14.2%	4.1%	13.6%	8.7%	15.5%	2.8%	0.3%	-860.0M	1.32B	-71.3M	2.01	2.01	195,523	393,849	1,788,441	5,060,694
2017-03-16	$137.85	$138.00	13.6%	3.9%	13.5%	3.8%	14.8%	2.9%	0.1%	-764.0M	1.06B	-69.1M	2.14	1.82	200,023	427,904	1,823,099	5,150,371
2017-03-17	$138.51	$138.00	13.2%	3.8%	13.5%	0.1%	14.3%	2.9%	0.1%	-257.0M	-567.0M	-71.1M	1.80	1.88	225,573	406,672	1,863,073	5,267,035
2017-03-20	$137.89	$139.00	13.4%	3.9%	13.6%	2.0%	14.4%	3.0%	0.9%	-858.4M	3.56B	-71.0M	2.60	2.04	129,671	336,783	1,187,053	3,564,541
2017-03-21	$134.35	$139.00	15.8%	4.5%	15.9%	24.1%	16.3%	3.2%	0.4%	-1.34B	9.80B	-75.5M	2.90	3.10	241,627	701,645	1,220,178	3,641,266
2017-03-22	$133.83	$138.00	16.0%	4.6%	15.9%	25.6%	16.9%	3.1%	0.2%	-1.55B	11.30B	-77.4M	2.71	3.24	317,438	858,751	1,298,374	3,859,811
2017-03-23	$134.59	$137.50	16.6%	4.7%	16.1%	31.4%	16.7%	2.9%	0.1%	-1.32B	9.37B	-79.4M	1.54	2.17	346,180	533,509	1,466,020	4,093,511
2017-03-24	$134.69	$137.50	16.8%	4.8%	16.1%	34.0%	17.1%	3.9%	0.3%	-1.02B	9.27B	-82.0M	1.39	5.59	333,162	462,978	1,563,393	4,208,401
2017-03-27	$134.98	$137.00	16.3%	4.7%	15.7%	29.1%	17.7%	3.2%	-0.0%	-1.38B	7.97B	-80.2M	1.67	2.89	221,886	369,919	1,441,206	4,158,631
2017-03-28	$135.68	$137.00	15.2%	4.3%	15.3%	18.9%	16.4%	2.9%	0.1%	-1.23B	5.89B	-76.7M	1.81	2.66	201,320	363,988	1,482,387	4,225,363
2017-03-29	$136.25	$137.00	14.8%	4.1%	13.4%	14.4%	14.9%	2.7%	0.2%	-993.2M	3.96B	-77.7M	1.81	2.19	146,804	265,528	1,565,114	4,308,118
2017-03-30	$137.35	$137.00	14.0%	3.7%	13.1%	7.0%	14.5%	2.9%	0.3%	-586.3M	1.27B	-75.1M	3.12	2.43	117,470	366,527	1,597,249	4,357,285
2017-03-31	$137.99	$137.00	14.5%	3.7%	13.2%	11.9%	14.5%	3.2%	0.1%	-308.3M	285.3M	-76.3M	2.68	2.39	137,645	369,061	1,623,067	4,490,799