IWM Options History — July 2017

In July 2017, IWM traded between $138.95 and $143.93. ATM implied volatility averaged 12.4%, placing in the 5.4% IV rank vs the trailing year. The 30-day expected move averaged 3.6%. IV traded above realized volatility by 0.5% (HV 20d: 11.9%). Max pain ranged from $139.00 to $141.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 2.22.

Notable Days

  • 2017-07-17: Highest Volume — 830,650 contracts
  • 2017-07-06: Largest IV spike — 16.5% change
  • 2017-07-06: Highest IV Rank — 22.1%
  • 2017-07-06: Largest Expected Move — 4.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$141.82$138.95$143.93$142.10$141.75
Max Pain$140.13$139.00$141.00$140.50$141.00
ATM IV12.4%11.3%14.8%12.8%12.4%
Expected Move3.6%3.1%4.3%3.7%3.5%
HV 20d11.9%10.6%12.9%10.6%11.0%
HV 60d11.9%11.5%12.6%11.8%11.6%
IV Rank5.4%0.0%22.1%4.7%9.3%
IV Percentile4.8%0.0%33.7%2.4%4.4%
Term Structure0.3%0.1%0.6%0.2%0.1%
VWIV13.8%12.0%16.9%13.8%12.3%
Skew 25d3.5%3.0%4.2%3.5%4.0%
Skew 10d7.3%5.9%8.4%8.0%8.1%
Call IV 25d11.1%10.2%13.1%11.7%10.9%
Put IV 25d14.6%13.4%17.3%15.2%14.9%
Bid-Ask Spread %2.331.646.636.632.17
Gamma HHI0.050.040.060.040.06
Net GEX-653.1M-1.29B-15.8M-431.4M-1.21B
Net DEX1.46B-1.60B6.41B592.3M3.97B
Net VEX-67.6M-77.1M-61.0M-65.4M-77.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.221.234.891.512.04
Total Volume461,204.8268,207830,650268,207355,536
Total OI4,952,206.74,448,9065,667,2974,448,9065,222,591

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-07-03$142.10$140.5012.8%3.7%10.6%4.7%13.8%3.5%0.2%-431.4M592.3M-65.4M1.516.63106,904161,3031,112,9733,335,933
2017-07-05$141.64$141.0012.7%3.7%10.7%3.3%13.5%3.1%0.2%-543.7M637.6M-61.0M1.232.86187,831231,8291,118,9573,376,088
2017-07-06$138.95$139.0014.8%4.3%12.9%22.1%15.1%4.2%0.1%-1.29B6.41B-68.6M1.252.05189,162237,0991,074,9893,389,354
2017-07-07$140.45$140.0013.4%4.0%12.5%9.7%14.9%3.8%0.1%-808.4M3.10B-66.7M2.312.03140,644324,3501,158,5013,461,500
2017-07-10$140.11$140.0013.6%4.0%12.4%11.3%15.5%3.9%0.2%-855.1M3.55B-66.5M1.581.95134,060211,2841,115,6953,486,469
2017-07-11$140.18$140.0013.7%4.0%12.4%12.3%16.0%3.9%0.3%-818.7M3.34B-67.0M2.352.11149,693352,1291,148,7543,543,159
2017-07-12$141.51$140.0012.6%3.6%12.7%2.7%14.5%3.1%0.1%-420.4M742.2M-65.5M2.091.95143,712299,8751,171,4253,587,141
2017-07-13$141.34$140.0012.4%3.7%12.6%1.0%14.8%3.5%0.5%-497.9M1.00B-63.8M3.131.95134,188420,3791,184,3213,679,034
2017-07-14$141.95$140.0011.9%3.5%12.4%0.0%13.9%3.2%0.2%-230.6M-205.5M-63.6M1.921.92172,960332,3411,205,4253,803,374
2017-07-17$141.99$140.0012.0%3.5%12.4%1.5%16.9%3.4%0.2%-369.3M145.8M-62.3M4.891.98140,991689,6591,169,1663,775,479
2017-07-18$141.69$140.0011.7%3.3%12.0%0.0%13.5%3.5%0.5%-616.5M1.30B-66.6M2.561.85135,715347,9811,182,5774,059,117
2017-07-19$143.03$140.0011.3%3.2%11.7%0.0%12.7%3.2%0.1%-15.8M-1.50B-63.8M1.531.64176,755270,2431,210,9544,183,517
2017-07-20$143.25$140.0011.7%3.3%11.7%3.5%12.5%3.0%0.3%-18.9M-1.60B-64.9M1.741.91170,154295,3951,242,5544,287,672
2017-07-21$142.54$140.0011.7%3.3%11.8%3.6%13.1%3.4%0.6%-789.2M279.8M-68.8M3.551.98137,063486,8521,282,0494,385,248
2017-07-24$142.66$140.0011.8%3.3%11.7%4.0%12.9%3.4%0.4%-763.7M1.41B-71.2M2.081.90110,614229,8551,031,0553,755,685
2017-07-25$143.93$140.0011.3%3.1%12.0%0.1%12.0%3.1%0.4%-442.3M-1.06B-66.9M1.662.14165,718275,0311,064,5393,816,765
2017-07-26$143.28$140.0011.4%3.2%11.6%1.2%12.3%3.4%0.4%-727.2M339.9M-70.1M1.932.14104,323201,5361,099,3813,918,103
2017-07-27$142.10$140.5012.4%3.5%11.3%9.7%13.6%3.9%0.4%-1.04B3.08B-75.0M2.712.89152,123412,3451,141,7543,955,981
2017-07-28$141.95$140.5012.2%3.4%11.1%7.3%13.3%4.1%0.5%-1.17B3.69B-76.5M2.302.53132,384304,0801,184,6114,122,244
2017-07-31$141.75$141.0012.4%3.5%11.0%9.3%12.3%4.0%0.1%-1.21B3.97B-77.1M2.042.17116,827238,7091,144,9054,077,686