IWM Options History — May 2017

In May 2017, IWM traded between $135.30 and $139.70. ATM implied volatility averaged 14.1%, placing in the 9.1% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded above realized volatility by 2.1% (HV 20d: 12.0%). Max pain ranged from $135.00 to $137.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 2.29.

Notable Days

2017-05-17: Highest Volume — 1,061,696 contracts
2017-05-17: Largest IV spike — 22.6% change
2017-05-17: Highest IV Rank — 35.7%
2017-05-17: Largest Expected Move — 4.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$137.70	$135.30	$139.70	$139.70	$136.38
Max Pain	$136.66	$135.00	$137.00	$137.00	$137.00
ATM IV	14.1%	13.0%	16.9%	13.6%	14.8%
Expected Move	4.1%	3.7%	4.8%	3.9%	4.2%
HV 20d	12.0%	10.8%	13.9%	12.9%	11.4%
HV 60d	13.0%	12.4%	13.7%	13.3%	12.4%
IV Rank	9.1%	0.0%	35.7%	3.5%	16.5%
IV Percentile	13.5%	0.0%	68.7%	3.2%	24.6%
Term Structure	0.4%	-0.2%	1.0%	0.3%	-0.1%
VWIV	15.2%	13.9%	17.8%	14.4%	15.4%
Skew 25d	3.0%	2.4%	4.2%	2.6%	3.3%
Skew 10d	6.1%	4.8%	8.4%	5.3%	6.9%
Call IV 25d	12.9%	12.1%	15.2%	12.6%	13.2%
Put IV 25d	15.9%	14.5%	19.2%	15.2%	16.5%
Bid-Ask Spread %	1.67	1.28	2.41	2.24	1.64
Gamma HHI	0.05	0.04	0.06	0.04	0.06
Net GEX	-1.21B	-2.01B	-819.1M	-828.8M	-1.57B
Net DEX	3.27B	-871.7M	11.12B	-773.1M	6.56B
Net VEX	-75.1M	-79.6M	-70.3M	-75.4M	-75.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.29	1.67	4.63	3.74	1.91
Total Volume	542,671.636	336,767	1,061,696	707,130	522,125
Total OI	6,289,183.227	5,554,180	7,063,232	6,060,213	6,151,386

Daily Data (22 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
2017-05-01	$139.70	$137.00	13.6%	3.9%	12.9%	3.5%	14.4%	2.6%	0.3%	-828.8M	-773.1M	-75.4M	3.74	2.24	149,064	558,066	1,545,018	4,515,195
2017-05-02	$138.88	$137.00	13.4%	3.9%	12.0%	1.5%	14.3%	2.4%	0.4%	-1.09B	1.04B	-76.6M	4.63	2.27	101,990	471,970	1,576,742	4,578,974
2017-05-03	$138.31	$137.00	13.5%	4.0%	12.0%	2.2%	15.3%	2.4%	0.3%	-1.35B	2.84B	-78.1M	2.53	2.25	145,286	367,601	1,593,494	4,663,286
2017-05-04	$138.05	$135.00	13.6%	4.1%	11.6%	3.4%	14.9%	2.6%	0.3%	-1.28B	2.98B	-76.3M	1.84	1.47	196,367	362,305	1,622,287	4,645,859
2017-05-05	$138.76	$135.00	13.3%	4.1%	11.6%	0.4%	14.8%	2.7%	0.4%	-901.3M	582.7M	-74.7M	1.68	1.49	184,352	309,466	1,698,853	4,651,553
2017-05-08	$138.10	$136.00	13.2%	4.0%	11.7%	0.0%	15.0%	2.6%	0.8%	-1.12B	2.10B	-75.0M	1.67	1.46	132,874	222,222	1,673,243	4,627,331
2017-05-09	$137.96	$136.00	13.4%	4.1%	11.8%	1.6%	14.6%	2.6%	0.7%	-1.24B	2.58B	-73.8M	2.36	1.36	102,220	241,369	1,688,663	4,676,438
2017-05-10	$139.23	$136.00	13.0%	3.9%	12.0%	0.0%	14.6%	2.4%	0.8%	-819.1M	-871.7M	-71.1M	2.04	1.28	110,784	225,983	1,701,313	4,747,787
2017-05-11	$138.46	$137.00	13.5%	4.1%	11.2%	4.4%	14.9%	2.6%	0.9%	-1.19B	1.49B	-72.8M	1.90	1.37	205,778	391,089	1,704,926	4,786,239
2017-05-12	$137.50	$137.00	14.0%	4.2%	11.1%	8.6%	15.6%	2.7%	1.0%	-1.59B	4.39B	-76.2M	2.04	1.28	140,530	287,380	1,768,991	4,864,384
2017-05-15	$138.56	$137.00	14.0%	4.1%	11.3%	9.0%	15.2%	2.8%	0.3%	-948.2M	352.5M	-70.3M	1.82	1.35	186,557	339,762	1,696,268	4,733,230
2017-05-16	$138.59	$137.00	13.8%	4.0%	10.8%	7.0%	14.6%	2.7%	0.4%	-1.07B	232.2M	-71.7M	1.82	1.37	154,992	282,083	1,751,648	4,825,370
2017-05-17	$135.30	$137.00	16.9%	4.8%	13.9%	35.7%	17.7%	4.0%	-0.2%	-2.01B	11.12B	-78.3M	2.58	1.84	296,452	765,244	1,788,738	4,906,335
2017-05-18	$135.63	$137.00	16.1%	4.6%	13.2%	28.4%	17.8%	4.2%	0.5%	-1.91B	9.65B	-79.6M	2.82	1.51	267,118	754,207	1,888,414	5,070,832
2017-05-19	$135.98	$137.00	15.5%	4.4%	13.2%	23.0%	16.2%	3.9%	0.3%	-1.40B	7.53B	-78.2M	2.03	2.02	238,271	484,206	1,913,536	5,149,696
2017-05-22	$137.02	$137.00	14.7%	4.2%	12.8%	15.5%	15.9%	3.8%	0.3%	-1.05B	4.11B	-75.6M	2.05	1.79	136,330	279,216	1,444,825	4,109,355
2017-05-23	$137.30	$137.00	14.3%	4.1%	12.2%	11.7%	15.3%	3.4%	0.6%	-997.7M	3.26B	-75.3M	2.30	1.57	148,267	340,283	1,483,712	4,231,049
2017-05-24	$137.58	$136.50	13.7%	3.8%	12.0%	6.7%	13.9%	3.2%	0.2%	-953.3M	2.51B	-74.3M	2.35	1.70	155,036	363,607	1,500,008	4,334,451
2017-05-25	$137.86	$137.00	13.5%	3.8%	12.1%	4.6%	14.1%	2.8%	0.4%	-918.8M	2.08B	-74.5M	1.70	2.41	156,947	266,317	1,524,721	4,440,502
2017-05-26	$137.50	$137.00	13.5%	3.7%	11.5%	4.8%	14.3%	2.8%	0.6%	-1.01B	3.19B	-74.6M	2.56	1.60	122,575	314,148	1,547,898	4,550,386
2017-05-30	$136.85	$137.00	14.2%	4.0%	11.5%	10.9%	14.7%	2.9%	0.2%	-1.37B	5.04B	-73.5M	1.90	1.58	158,221	300,116	1,494,888	4,494,207
2017-05-31	$136.38	$137.00	14.8%	4.2%	11.4%	16.5%	15.4%	3.3%	-0.1%	-1.57B	6.56B	-75.9M	1.91	1.64	179,713	342,412	1,561,049	4,590,337