IWM Options History — September 2017

In September 2017, IWM traded between $139.04 and $148.20. ATM implied volatility averaged 11.5%, placing in the 7.1% IV rank vs the trailing year. The 30-day expected move averaged 3.3%. IV traded above realized volatility by 2.3% (HV 20d: 9.1%). Max pain ranged from $139.00 to $144.00. Net GEX was positive for 5 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 2.42.

Notable Days

  • 2017-09-27: Highest Volume — 1,404,689 contracts
  • 2017-09-05: Largest IV spike — 15.2% change
  • 2017-09-05: Highest IV Rank — 23.7%
  • 2017-09-05: Largest Expected Move — 4.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$142.83$139.04$148.20$140.50$148.20
Max Pain$140.50$139.00$144.00$140.00$144.00
ATM IV11.5%10.1%14.1%12.3%12.0%
Expected Move3.3%2.9%4.2%3.0%3.3%
HV 20d9.1%7.0%12.0%11.6%9.1%
HV 60d10.8%10.1%11.1%10.9%10.1%
IV Rank7.1%0.0%23.7%8.3%14.3%
IV Percentile5.9%0.0%30.2%4.4%9.1%
Term Structure0.4%0.1%0.9%0.2%0.3%
VWIV12.9%11.3%17.2%11.8%12.3%
Skew 25d3.6%2.5%4.9%3.8%2.6%
Skew 10d7.7%5.0%10.4%7.7%5.0%
Call IV 25d10.2%8.9%12.2%10.5%10.9%
Put IV 25d13.8%12.0%17.1%14.2%13.5%
Bid-Ask Spread %2.271.683.541.682.60
Gamma HHI0.060.040.090.090.07
Net GEX-439.8M-1.71B295.6M-312.0M295.6M
Net DEX-767.7M-7.61B7.45B1.04B-7.61B
Net VEX-80.9M-89.4M-74.9M-82.9M-80.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.421.193.691.952.26
Total Volume638,046.85395,1011,404,689614,968620,665
Total OI6,222,358.055,296,9027,077,2206,365,4166,535,250

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-09-01$140.50$140.0012.3%3.0%11.6%8.3%11.8%3.8%0.2%-312.0M1.04B-82.9M1.951.68208,491406,4771,548,5044,816,912
2017-09-05$139.22$139.0014.1%4.2%12.0%23.7%16.2%4.9%0.1%-1.22B5.72B-85.7M2.971.97170,154504,9101,555,0974,631,042
2017-09-06$139.44$139.0013.4%4.1%12.0%17.6%17.2%4.7%0.1%-1.35B5.22B-86.8M3.161.91126,516399,6431,604,2754,741,437
2017-09-07$139.04$139.0013.2%4.0%11.4%15.9%16.4%4.6%0.3%-1.51B6.75B-86.9M3.111.99145,131450,7331,618,5974,844,352
2017-09-08$139.16$139.0013.4%4.0%9.9%17.3%15.2%4.6%0.3%-1.71B7.45B-89.4M2.242.20185,539414,9181,615,0475,047,928
2017-09-11$140.70$139.0011.8%3.5%10.5%4.0%13.7%4.5%0.4%-891.0M1.45B-81.9M3.511.76138,375485,1801,590,2795,018,267
2017-09-12$141.49$139.0011.2%3.5%9.9%0.0%13.8%4.7%0.9%-684.8M-376.6M-83.0M3.691.94150,293553,8271,602,7445,212,116
2017-09-13$141.92$139.0010.8%3.3%9.7%0.0%12.9%3.8%0.6%-459.6M-2.13B-79.6M1.661.98226,287375,7351,636,3995,140,515
2017-09-14$141.75$140.0010.9%3.2%9.6%1.0%12.2%3.7%0.3%-469.0M-2.38B-79.1M2.382.47130,829311,1481,721,8445,278,128
2017-09-15$142.34$140.0010.1%3.1%7.6%0.0%11.5%3.1%0.8%107.0M-4.60B-76.0M1.401.92276,088386,0091,748,1785,329,042
2017-09-18$143.33$140.0010.1%2.9%7.6%0.0%11.5%3.1%0.4%-163.9M-1.93B-74.9M2.352.90216,305507,9991,271,5354,025,367
2017-09-19$143.26$140.0010.1%2.9%7.5%0.2%11.4%3.2%0.4%-307.2M-997.4M-76.9M2.602.08129,925337,9121,296,4274,110,707
2017-09-20$143.85$141.0010.3%2.9%7.0%1.6%11.3%3.1%0.3%-201.3M-1.79B-77.7M2.903.54137,240398,3591,334,5714,176,464
2017-09-21$143.69$141.0010.4%3.0%7.1%2.5%11.7%3.3%0.3%-371.5M-1.44B-78.6M2.292.31120,275274,8261,380,3864,305,691
2017-09-22$144.35$141.0010.1%2.9%7.1%0.1%11.4%3.3%0.3%46.7M-2.67B-78.6M2.742.47170,350467,4051,422,9564,395,248
2017-09-25$144.46$142.0010.8%3.0%7.1%5.4%11.9%3.7%0.4%-81.6M-1.47B-80.8M2.282.37217,121494,0711,406,2534,305,843
2017-09-26$144.66$142.5011.2%3.1%7.1%8.1%11.6%2.8%0.4%-51.9M-1.22B-81.5M2.062.01173,948358,5001,377,4234,425,255
2017-09-27$147.50$142.5011.7%3.3%9.3%12.2%12.5%2.5%0.1%248.7M-6.79B-74.9M1.192.96641,318763,3711,412,5284,539,143
2017-09-28$147.77$143.0011.4%3.2%9.3%9.9%11.8%2.8%0.3%289.8M-7.57B-81.8M1.592.27264,715420,3491,649,2954,776,116
2017-09-29$148.20$144.0012.0%3.3%9.1%14.3%12.3%2.6%0.3%295.6M-7.61B-80.7M2.262.60190,206430,4591,631,5874,903,663