IWM Options History — October 2017

In October 2017, IWM traded between $148.13 and $150.27. ATM implied volatility averaged 12.4%, placing in the 17.3% IV rank vs the trailing year. The 30-day expected move averaged 3.6%. IV traded above realized volatility by 4.2% (HV 20d: 8.2%). Max pain ranged from $144.00 to $148.00. Net GEX was positive for 4 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 2.37.

Notable Days

2017-10-17: Highest Volume — 960,828 contracts
2017-10-23: Largest IV spike — 11.9% change
2017-10-25: Highest IV Rank — 25.9%
2017-10-25: Largest Expected Move — 4.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$149.41	$148.13	$150.27	$149.82	$149.43
Max Pain	$147.05	$144.00	$148.00	$144.00	$148.00
ATM IV	12.4%	11.2%	13.5%	12.4%	13.2%
Expected Move	3.6%	3.2%	4.1%	3.4%	4.0%
HV 20d	8.2%	6.7%	9.4%	9.4%	7.6%
HV 60d	9.8%	9.4%	10.1%	10.1%	9.8%
IV Rank	17.3%	8.5%	25.9%	17.8%	23.6%
IV Percentile	15.2%	4.0%	34.1%	12.3%	28.2%
Term Structure	0.2%	-0.5%	0.7%	0.3%	0.2%
VWIV	13.6%	12.0%	15.8%	12.9%	14.4%
Skew 25d	3.3%	2.8%	3.8%	2.9%	3.4%
Skew 10d	6.7%	5.3%	8.0%	5.6%	6.6%
Call IV 25d	11.2%	10.2%	12.3%	11.6%	12.1%
Put IV 25d	14.5%	13.1%	15.7%	14.5%	15.4%
Bid-Ask Spread %	2.22	1.88	2.79	2.22	1.91
Gamma HHI	0.06	0.04	0.32	0.06	0.04
Net GEX	-464.3M	-1.36B	1.70B	159.7M	-739.8M
Net DEX	-4.46B	-9.01B	3.23B	-8.94B	-746.7M
Net VEX	-84.5M	-93.6M	-77.8M	-77.8M	-89.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.37	1.31	6.69	2.04	2.75
Total Volume	577,503.273	343,250	960,828	747,004	674,498
Total OI	6,717,668.909	6,046,518	7,646,731	6,046,518	6,639,519

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
2017-10-02	$149.82	$144.00	12.4%	3.4%	9.4%	17.8%	12.9%	2.9%	0.3%	159.7M	-8.94B	-77.8M	2.04	2.22	245,863	501,141	1,568,112	4,478,406
2017-10-03	$150.18	$144.00	12.1%	3.2%	8.2%	15.3%	12.5%	2.8%	0.2%	59.4M	-9.01B	-78.7M	2.26	2.13	219,655	497,235	1,604,923	4,687,378
2017-10-04	$149.83	$144.00	12.2%	3.2%	8.5%	16.2%	12.0%	2.8%	0.3%	-47.7M	-8.21B	-79.8M	1.68	2.12	215,187	362,305	1,648,837	4,835,906
2017-10-05	$150.27	$146.00	11.9%	3.7%	8.1%	14.0%	14.5%	2.8%	0.4%	-190.3M	-8.25B	-81.9M	1.91	2.27	186,178	356,113	1,688,388	4,929,586
2017-10-06	$150.04	$146.00	12.4%	3.7%	8.3%	17.5%	14.4%	2.9%	0.4%	-326.3M	-7.88B	-83.0M	1.95	2.47	178,823	348,246	1,716,786	5,026,840
2017-10-09	$149.41	$147.00	12.8%	3.9%	8.3%	20.6%	15.8%	3.6%	0.6%	-374.8M	-5.95B	-85.1M	2.27	2.42	139,306	316,493	1,698,530	4,871,056
2017-10-10	$149.70	$147.00	12.7%	3.7%	8.2%	19.8%	14.1%	3.4%	0.2%	-360.7M	-6.63B	-82.7M	2.16	1.88	118,051	255,133	1,705,233	4,990,800
2017-10-11	$149.75	$147.00	12.3%	3.6%	8.3%	16.7%	13.6%	3.5%	0.2%	-355.7M	-6.80B	-83.6M	1.53	1.95	135,475	207,775	1,744,078	5,009,052
2017-10-12	$149.53	$147.00	12.0%	3.5%	8.3%	14.9%	13.0%	3.5%	0.2%	-366.8M	-6.56B	-82.5M	2.31	2.79	124,259	286,792	1,792,144	5,058,537
2017-10-13	$149.29	$147.00	12.0%	3.6%	8.4%	14.8%	13.0%	3.7%	0.7%	-669.1M	-5.90B	-82.2M	2.16	2.30	130,237	280,756	1,819,143	5,135,698
2017-10-16	$149.31	$148.00	12.0%	3.5%	8.3%	14.9%	13.8%	3.8%	-0.5%	-458.6M	-6.07B	-80.2M	4.43	2.06	110,108	487,912	1,752,392	5,072,876
2017-10-17	$148.74	$148.00	12.0%	3.5%	8.5%	14.5%	14.3%	3.5%	0.1%	-895.8M	-4.01B	-81.0M	6.69	2.36	125,003	835,825	1,770,978	5,262,698
2017-10-18	$149.59	$148.00	11.4%	3.3%	8.6%	9.9%	12.5%	3.3%	0.2%	-647.7M	-6.07B	-84.0M	2.22	2.18	153,972	341,719	1,785,229	5,575,825
2017-10-19	$149.15	$148.00	11.9%	3.4%	8.7%	13.6%	12.6%	3.5%	-0.1%	-965.7M	-4.21B	-86.7M	2.14	2.44	205,013	438,365	1,828,277	5,654,496
2017-10-20	$149.92	$148.00	11.2%	3.2%	8.7%	8.5%	12.0%	2.9%	-0.0%	1.70B	-7.75B	-81.6M	1.31	2.21	338,142	441,504	1,894,795	5,751,936
2017-10-23	$148.82	$148.00	12.5%	3.7%	9.3%	18.5%	13.3%	3.2%	0.3%	-998.0M	180.1M	-86.2M	2.82	2.18	160,442	451,683	1,509,281	4,649,525
2017-10-24	$149.10	$148.00	13.0%	3.8%	9.3%	22.0%	13.5%	3.4%	0.2%	-978.2M	75.6M	-88.6M	1.89	2.02	207,514	391,654	1,523,875	4,773,659
2017-10-25	$148.42	$148.00	13.5%	4.1%	6.7%	25.9%	14.6%	3.4%	0.1%	-1.36B	2.32B	-91.5M	2.40	2.18	235,249	563,647	1,590,879	4,852,884
2017-10-26	$148.82	$148.00	13.1%	3.9%	6.7%	22.6%	14.5%	3.5%	0.1%	-1.10B	1.14B	-92.3M	1.94	2.18	139,891	271,585	1,664,234	4,992,177
2017-10-27	$149.73	$148.00	12.1%	3.6%	7.0%	15.4%	13.8%	3.1%	0.3%	5.7M	-2.09B	-87.6M	1.31	2.24	220,561	289,182	1,706,111	5,027,590
2017-10-30	$148.13	$148.00	13.2%	3.9%	6.9%	23.1%	14.2%	3.4%	0.3%	-1.30B	3.23B	-93.6M	1.92	2.26	176,904	339,676	1,625,986	4,874,061
2017-10-31	$149.43	$148.00	13.2%	4.0%	7.6%	23.6%	14.4%	3.4%	0.2%	-739.8M	-746.7M	-89.1M	2.75	1.91	179,820	494,678	1,666,591	4,972,928