IWM Options History — April 2017

In April 2017, IWM traded between $133.84 and $141.24. ATM implied volatility averaged 16.1%, placing in the 27.0% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded above realized volatility by 3.0% (HV 20d: 13.1%). Max pain ranged from $135.00 to $137.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 7 of 19 days. Put/call ratio averaged 2.51.

Notable Days

  • 2017-04-28: Highest Volume — 1,143,048 contracts
  • 2017-04-24: Largest IV drop — 13.5% change
  • 2017-04-12: Highest IV Rank — 52.4%
  • 2017-04-17: Largest Expected Move — 5.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$136.80$133.84$141.24$136.08$139.40
Max Pain$135.47$135.00$137.00$137.00$137.00
ATM IV16.1%13.3%18.8%15.9%13.3%
Expected Move4.6%3.8%5.3%4.2%3.8%
HV 20d13.1%10.8%14.3%14.0%13.0%
HV 60d13.4%13.1%13.6%13.6%13.3%
IV Rank27.0%0.8%52.4%24.7%0.8%
IV Percentile47.4%0.8%89.7%41.3%0.8%
Term Structure-0.1%-0.7%0.6%0.2%-0.1%
VWIV17.3%13.8%23.3%15.7%14.1%
Skew 25d4.3%2.5%5.6%3.8%2.8%
Skew 10d8.8%4.4%12.5%7.4%5.3%
Call IV 25d14.3%12.3%16.5%14.4%12.3%
Put IV 25d18.6%15.0%21.8%18.1%15.0%
Bid-Ask Spread %2.561.754.082.162.18
Gamma HHI0.050.040.070.050.04
Net GEX-1.06B-2.09B-4.1M-1.12B-630.7M
Net DEX3.80B-5.78B11.69B5.09B-940.0M
Net VEX-77.0M-84.1M-64.0M-78.3M-72.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.511.644.102.434.10
Total Volume580,366.579248,5021,143,048493,8081,143,048
Total OI5,984,348.3165,394,8406,655,1185,556,1196,018,351

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-04-03$136.08$137.0015.9%4.2%14.0%24.7%15.7%3.8%0.2%-1.12B5.09B-78.3M2.432.16143,940349,8681,455,0884,101,031
2017-04-04$135.57$137.0015.9%4.3%13.8%25.5%15.7%3.8%0.3%-1.22B6.37B-80.1M2.412.36144,540347,7131,495,6924,150,749
2017-04-05$134.47$137.0016.4%4.5%14.0%30.1%15.8%3.9%0.3%-1.52B9.10B-81.3M1.802.20214,416385,0781,529,9914,234,333
2017-04-06$135.23$135.0016.3%4.8%14.1%28.7%17.6%4.0%0.5%-1.53B7.73B-82.4M1.652.18241,723397,7861,567,4124,342,589
2017-04-07$135.53$135.0016.3%4.7%14.0%28.7%17.9%4.0%0.6%-1.31B6.64B-83.9M1.912.57165,047315,3141,655,2614,404,299
2017-04-10$135.78$135.0017.0%4.9%13.9%35.7%18.3%4.5%-0.0%-1.30B6.07B-81.6M2.551.75123,675315,5331,578,1314,319,159
2017-04-11$136.64$135.0017.4%4.9%14.0%39.1%19.0%4.9%-0.5%-1.11B4.16B-80.6M2.482.57125,408311,5611,597,2344,386,514
2017-04-12$135.01$135.0018.8%5.3%13.5%52.4%20.2%5.3%-0.5%-1.66B8.58B-83.7M2.402.33150,235361,2531,633,1114,473,660
2017-04-13$133.91$135.0018.7%5.3%13.8%51.6%19.7%5.4%-0.3%-2.09B11.69B-84.1M2.832.48160,604454,1791,659,6764,560,730
2017-04-17$133.84$135.0018.7%5.3%13.6%51.5%23.3%5.1%-0.2%-1.77B11.04B-80.3M3.754.0852,281196,2211,619,8244,500,925
2017-04-18$135.35$135.0017.5%5.0%14.3%40.1%18.6%5.6%-0.7%-1.56B7.03B-78.9M2.372.26161,927383,0831,663,7884,576,295
2017-04-19$135.81$135.0017.2%4.9%10.8%36.9%19.2%5.6%-0.3%-1.46B5.81B-79.6M2.902.05144,523419,0551,716,6154,696,484
2017-04-20$137.48$135.0015.7%4.5%11.4%23.6%17.8%5.2%-0.5%-625.9M797.3M-75.3M2.302.72183,241421,1441,738,7984,802,921
2017-04-21$137.39$135.0016.1%4.7%11.3%27.0%18.0%5.6%-0.5%-637.3M1.09B-76.9M2.923.22192,621563,3721,782,5044,872,614
2017-04-24$139.08$135.0013.9%4.0%12.0%6.5%15.5%3.7%0.0%-342.1M-2.12B-69.0M2.463.80184,543454,2291,409,8073,985,033
2017-04-25$140.41$135.0013.7%3.9%12.3%4.8%14.3%2.7%-0.1%-4.1M-5.10B-64.0M2.633.03198,081520,7231,462,9034,056,221
2017-04-26$141.24$135.0013.8%4.0%12.4%5.2%14.6%2.5%-0.1%-49.7M-5.78B-65.9M2.082.53212,801443,1381,511,0484,205,219
2017-04-27$140.99$136.0013.3%3.8%12.4%0.9%13.8%2.7%0.0%-284.4M-5.10B-65.3M1.642.14168,374276,6871,576,2084,362,400
2017-04-28$139.40$137.0013.3%3.8%13.0%0.8%14.1%2.8%-0.1%-630.7M-940.0M-72.6M4.102.18224,208918,8401,616,4414,401,910