IWM Options History — August 2017

In August 2017, IWM traded between $134.91 and $141.82. ATM implied volatility averaged 14.3%, placing in the 24.6% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded above realized volatility by 3.6% (HV 20d: 10.6%). Max pain ranged from $140.00 to $141.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 23 of 23 days. Put/call ratio averaged 2.25.

Notable Days

2017-08-31: Highest Volume — 1,088,510 contracts
2017-08-17: Largest IV spike — 13.7% change
2017-08-11: Highest IV Rank — 40.8%
2017-08-11: Largest Expected Move — 4.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$137.92	$134.91	$141.82	$141.82	$139.59
Max Pain	$140.09	$140.00	$141.00	$141.00	$140.00
ATM IV	14.3%	11.8%	16.2%	11.8%	12.7%
Expected Move	4.0%	3.2%	4.7%	3.2%	3.4%
HV 20d	10.6%	8.8%	11.5%	10.9%	11.5%
HV 60d	11.5%	11.0%	12.1%	11.6%	11.2%
IV Rank	24.6%	4.3%	40.8%	4.3%	12.1%
IV Percentile	32.3%	2.8%	65.9%	2.8%	9.5%
Term Structure	0.3%	0.0%	0.8%	0.2%	0.8%
VWIV	15.0%	12.5%	17.6%	12.5%	13.3%
Skew 25d	4.2%	3.4%	5.9%	4.2%	4.3%
Skew 10d	8.7%	6.6%	12.5%	9.0%	9.0%
Call IV 25d	12.6%	10.5%	14.6%	10.5%	11.1%
Put IV 25d	16.7%	14.5%	20.0%	14.7%	15.4%
Bid-Ask Spread %	1.90	1.38	3.45	2.02	1.59
Gamma HHI	0.07	0.05	0.20	0.06	0.05
Net GEX	-1.98B	-3.06B	-1.07B	-1.28B	-1.07B
Net DEX	11.58B	3.77B	20.54B	3.77B	3.88B
Net VEX	-83.5M	-89.0M	-76.8M	-76.8M	-84.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.25	1.42	3.56	2.07	3.56
Total Volume	590,421.696	303,345	1,088,510	509,685	1,088,510
Total OI	5,899,150.348	5,307,351	6,563,640	5,307,351	6,230,195

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
2017-08-01	$141.82	$141.00	11.8%	3.2%	10.9%	4.3%	12.5%	4.2%	0.2%	-1.28B	3.77B	-76.8M	2.07	2.02	165,856	343,829	1,159,753	4,147,598
2017-08-02	$140.31	$141.00	12.7%	3.5%	11.5%	11.5%	13.3%	4.4%	0.2%	-1.73B	7.30B	-79.8M	2.71	2.10	189,172	512,249	1,221,195	4,235,691
2017-08-03	$139.44	$140.00	13.2%	4.0%	9.5%	15.6%	15.6%	4.2%	0.2%	-1.99B	9.75B	-83.2M	2.42	1.85	145,129	351,250	1,277,018	4,336,652
2017-08-04	$140.16	$140.00	12.5%	3.8%	8.8%	10.4%	14.9%	3.4%	0.0%	-1.84B	7.61B	-82.1M	2.21	1.67	121,484	268,477	1,296,083	4,443,805
2017-08-07	$140.51	$140.00	12.5%	3.7%	8.8%	10.3%	13.8%	3.4%	0.4%	-1.64B	6.22B	-79.2M	1.85	1.38	106,621	196,724	1,240,284	4,370,217
2017-08-08	$140.07	$140.00	13.2%	4.0%	8.9%	16.2%	15.0%	3.6%	0.7%	-1.77B	7.55B	-80.2M	1.98	2.15	170,920	338,271	1,264,891	4,418,219
2017-08-09	$138.59	$140.00	14.3%	4.2%	8.9%	24.7%	15.8%	4.5%	0.4%	-2.32B	12.37B	-84.1M	2.31	1.93	209,196	482,269	1,285,593	4,515,302
2017-08-10	$136.54	$140.00	16.2%	4.7%	10.2%	40.3%	17.3%	5.3%	0.1%	-2.49B	17.99B	-87.2M	2.78	2.46	250,455	695,863	1,354,982	4,624,154
2017-08-11	$136.68	$140.00	16.2%	4.7%	10.0%	40.8%	17.6%	5.9%	0.1%	-2.53B	17.41B	-89.0M	2.88	2.57	220,379	635,645	1,439,934	4,725,513
2017-08-14	$138.34	$140.00	14.7%	4.3%	11.1%	28.1%	15.2%	4.6%	0.2%	-2.06B	11.34B	-83.8M	1.59	1.74	210,741	335,596	1,425,034	4,686,961
2017-08-15	$137.70	$140.00	13.6%	3.9%	11.2%	19.2%	14.3%	3.6%	0.8%	-2.23B	12.89B	-82.0M	2.56	1.80	119,765	306,015	1,470,981	4,729,822
2017-08-16	$137.31	$140.00	14.0%	4.0%	10.4%	22.1%	14.5%	4.2%	0.3%	-2.31B	13.79B	-81.7M	2.15	2.04	136,227	292,712	1,500,275	4,761,325
2017-08-17	$135.40	$140.00	15.9%	4.5%	11.2%	37.8%	16.5%	4.7%	0.1%	-2.51B	19.71B	-83.0M	2.95	3.45	209,158	617,085	1,542,969	4,844,421
2017-08-18	$135.11	$140.00	15.9%	4.5%	11.1%	38.1%	16.6%	4.3%	0.4%	-3.06B	20.54B	-83.8M	2.59	2.04	260,425	674,304	1,596,950	4,966,690
2017-08-21	$134.91	$140.00	16.2%	4.6%	11.1%	40.6%	16.9%	4.0%	0.1%	-2.06B	16.76B	-84.1M	1.42	1.59	182,871	259,797	1,187,864	4,279,643
2017-08-22	$136.34	$140.00	14.9%	4.2%	11.3%	30.3%	15.9%	3.6%	0.6%	-1.89B	12.95B	-83.9M	1.94	1.61	197,557	383,103	1,247,538	4,307,587
2017-08-23	$136.35	$140.00	15.1%	4.2%	11.3%	31.6%	15.7%	3.6%	0.7%	-1.92B	13.23B	-84.8M	2.55	1.57	148,879	379,070	1,299,576	4,394,003
2017-08-24	$136.56	$140.00	15.2%	4.2%	11.2%	32.0%	14.9%	3.7%	0.1%	-1.93B	12.61B	-86.1M	1.70	1.45	190,818	324,524	1,331,391	4,528,292
2017-08-25	$136.99	$140.00	14.4%	3.9%	11.4%	26.1%	14.1%	3.5%	0.6%	-2.06B	11.30B	-86.0M	1.46	1.87	190,625	279,152	1,398,161	4,589,305
2017-08-28	$137.35	$140.00	14.7%	3.9%	11.5%	28.5%	13.9%	4.1%	0.1%	-1.71B	10.13B	-85.4M	1.97	1.55	128,501	253,506	1,392,250	4,479,989
2017-08-29	$137.68	$140.00	14.3%	4.0%	11.5%	25.2%	14.8%	4.5%	0.6%	-1.60B	9.48B	-85.0M	2.50	1.52	163,719	408,651	1,428,059	4,546,092
2017-08-30	$138.33	$140.00	13.8%	3.5%	11.2%	20.7%	13.0%	4.3%	0.1%	-1.43B	7.70B	-85.6M	1.65	1.84	163,961	270,638	1,482,355	4,675,846
2017-08-31	$139.59	$140.00	12.7%	3.4%	11.5%	12.1%	13.3%	4.3%	0.8%	-1.07B	3.88B	-84.0M	3.56	1.59	238,778	849,732	1,510,202	4,719,993