IWM Options History — June 2017

In June 2017, IWM traded between $138.69 and $141.91. ATM implied volatility averaged 13.3%, placing in the 5.5% IV rank vs the trailing year. The 30-day expected move averaged 3.8%. IV traded above realized volatility by 1.0% (HV 20d: 12.2%). Max pain ranged from $137.00 to $141.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 2.08.

Notable Days

2017-06-09: Highest Volume — 1,000,452 contracts
2017-06-13: Largest IV drop — 9.6% change
2017-06-12: Highest IV Rank — 13.2%
2017-06-12: Largest Expected Move — 4.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$140.45	$138.69	$141.91	$138.69	$141.55
Max Pain	$139.39	$137.00	$141.00	$137.00	$141.00
ATM IV	13.3%	12.3%	14.4%	13.7%	12.5%
Expected Move	3.8%	3.5%	4.2%	4.0%	3.6%
HV 20d	12.2%	10.3%	13.9%	12.9%	10.9%
HV 60d	12.3%	11.6%	13.1%	12.8%	11.8%
IV Rank	5.5%	0.0%	13.2%	6.6%	1.9%
IV Percentile	5.9%	0.0%	21.4%	8.3%	0.8%
Term Structure	0.2%	-0.0%	0.5%	0.4%	0.0%
VWIV	14.5%	13.1%	16.5%	15.2%	13.7%
Skew 25d	3.4%	2.8%	3.9%	3.1%	3.6%
Skew 10d	6.9%	5.9%	8.4%	7.1%	8.4%
Call IV 25d	12.1%	11.1%	13.2%	12.5%	11.4%
Put IV 25d	15.5%	14.4%	17.0%	15.7%	15.0%
Bid-Ask Spread %	2.43	1.48	4.41	1.48	2.20
Gamma HHI	0.05	0.04	0.06	0.05	0.05
Net GEX	-645.0M	-1.02B	-133.3M	-596.7M	-616.4M
Net DEX	-63.5M	-6.28B	5.02B	-102.5M	1.42B
Net VEX	-69.3M	-74.1M	-64.4M	-72.1M	-66.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.08	1.68	2.87	1.80	1.76
Total Volume	517,246.545	316,996	1,000,452	606,673	336,648
Total OI	5,880,069.773	4,337,682	7,244,448	6,233,925	5,097,671

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
2017-06-01	$138.69	$137.00	13.7%	4.0%	12.9%	6.6%	15.2%	3.1%	0.4%	-596.7M	-102.5M	-72.1M	1.80	1.48	216,593	390,080	1,603,933	4,629,992
2017-06-02	$140.09	$137.00	13.3%	3.8%	13.4%	2.8%	14.4%	2.8%	0.5%	-277.4M	-3.51B	-70.2M	2.32	3.24	263,648	612,255	1,632,909	4,749,061
2017-06-05	$139.19	$138.00	13.9%	4.1%	13.5%	8.1%	15.3%	3.1%	-0.0%	-812.8M	-157.2M	-71.8M	1.85	1.87	162,871	300,658	1,616,468	4,785,207
2017-06-06	$139.09	$138.00	14.1%	4.1%	13.4%	10.4%	15.0%	3.5%	0.3%	-947.6M	712.7M	-73.7M	1.99	1.94	188,472	375,242	1,661,939	4,877,453
2017-06-07	$139.06	$138.00	14.1%	4.1%	13.4%	9.7%	14.4%	3.3%	0.1%	-1.00B	776.3M	-74.1M	2.50	1.92	168,229	419,968	1,717,320	4,973,893
2017-06-08	$141.01	$138.00	13.6%	4.0%	13.9%	5.6%	15.8%	3.1%	0.1%	-133.3M	-5.06B	-69.2M	2.24	1.93	243,619	545,535	1,772,353	5,040,045
2017-06-09	$141.35	$139.00	14.2%	4.2%	13.7%	11.1%	16.5%	3.4%	0.0%	-176.4M	-5.34B	-70.8M	2.87	3.87	258,385	742,067	1,809,579	5,171,505
2017-06-12	$141.08	$140.00	14.4%	4.2%	13.4%	13.2%	15.9%	3.8%	0.2%	-491.1M	-3.50B	-71.4M	2.13	2.05	138,315	294,286	1,777,692	5,108,549
2017-06-13	$141.91	$140.00	13.1%	3.8%	13.3%	0.4%	14.8%	3.4%	0.3%	-141.2M	-6.28B	-65.4M	1.79	2.25	200,695	358,358	1,809,668	5,168,977
2017-06-14	$141.08	$140.00	13.1%	3.8%	13.5%	0.6%	14.9%	3.8%	0.4%	-378.3M	-4.42B	-68.3M	1.89	3.92	151,784	287,473	1,859,442	5,263,404
2017-06-15	$140.18	$140.00	13.7%	4.0%	10.3%	6.6%	14.2%	3.7%	0.1%	-772.7M	-1.61B	-70.8M	1.68	1.83	184,282	310,079	1,860,926	5,337,796
2017-06-16	$139.96	$140.00	12.8%	3.7%	10.4%	0.0%	14.0%	3.8%	0.2%	-572.0M	-1.35B	-68.2M	1.80	4.41	164,744	296,336	1,857,946	5,386,502
2017-06-19	$141.24	$140.00	12.3%	3.5%	10.7%	0.0%	13.1%	3.3%	0.1%	-578.0M	1.26B	-64.4M	1.85	2.31	159,657	296,063	1,074,868	3,262,814
2017-06-20	$139.77	$140.00	13.1%	3.8%	11.3%	6.9%	14.0%	3.4%	0.2%	-954.1M	4.14B	-68.8M	2.15	2.05	124,086	267,060	1,155,427	3,374,734
2017-06-21	$139.45	$140.00	13.4%	3.8%	11.4%	9.1%	13.9%	3.5%	0.2%	-1.02B	5.02B	-69.9M	2.38	2.06	125,363	298,757	1,182,801	3,461,573
2017-06-22	$139.99	$140.00	13.1%	3.7%	11.4%	6.5%	13.8%	3.3%	0.3%	-934.1M	4.14B	-69.2M	1.96	1.97	128,651	252,174	1,215,904	3,549,698
2017-06-23	$140.87	$140.00	12.7%	3.6%	11.6%	3.3%	13.4%	3.2%	0.1%	-707.8M	2.32B	-67.8M	2.09	3.15	143,879	300,472	1,249,620	3,618,162
2017-06-26	$141.30	$140.00	12.5%	3.6%	11.5%	1.7%	14.0%	3.2%	0.0%	-670.7M	1.85B	-66.7M	2.74	2.14	84,696	232,300	1,207,285	3,604,623
2017-06-27	$140.06	$140.00	13.3%	3.8%	11.9%	8.6%	13.9%	3.5%	0.1%	-985.2M	4.63B	-69.6M	2.11	2.29	119,295	251,924	1,217,327	3,642,080
2017-06-28	$141.84	$140.00	12.5%	3.6%	12.4%	1.9%	13.5%	3.1%	0.1%	-536.7M	696.5M	-65.5M	1.90	2.24	154,123	293,114	1,230,852	3,711,750
2017-06-29	$141.06	$140.50	13.1%	3.7%	11.4%	6.9%	14.7%	3.9%	0.1%	-883.7M	2.99B	-68.9M	1.97	2.40	180,644	356,544	1,260,569	3,771,218
2017-06-30	$141.55	$141.00	12.5%	3.6%	10.9%	1.9%	13.7%	3.6%	0.0%	-616.4M	1.42B	-66.9M	1.76	2.20	121,794	214,854	1,277,628	3,820,043