IWM Options History — November 2017

In November 2017, IWM traded between $145.57 and $153.64. ATM implied volatility averaged 13.6%, placing in the 38.0% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded above realized volatility by 3.8% (HV 20d: 9.8%). Max pain ranged from $146.00 to $148.00. Net GEX was positive for 5 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 1.86.

Notable Days

  • 2017-11-09: Highest Volume — 1,208,091 contracts
  • 2017-11-07: Largest IV spike — 9.4% change
  • 2017-11-15: Highest IV Rank — 54.4%
  • 2017-11-15: Largest Expected Move — 4.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$149.02$145.57$153.64$148.29$153.64
Max Pain$147.19$146.00$148.00$148.00$148.00
ATM IV13.6%12.4%14.8%13.2%13.8%
Expected Move4.0%3.7%4.2%4.0%4.2%
HV 20d9.8%8.0%11.2%8.0%10.5%
HV 60d9.2%8.5%10.0%10.0%9.3%
IV Rank38.0%17.4%54.4%23.1%43.2%
IV Percentile38.8%15.9%58.7%27.0%47.6%
Term Structure0.1%-0.7%0.4%0.2%0.0%
VWIV14.5%12.8%15.9%14.4%15.5%
Skew 25d3.0%2.6%3.4%3.3%2.8%
Skew 10d6.0%5.0%7.1%6.4%5.5%
Call IV 25d12.5%11.3%13.5%12.1%13.1%
Put IV 25d15.5%14.4%16.9%15.4%15.9%
Bid-Ask Spread %2.881.869.763.202.80
Gamma HHI0.060.040.120.040.06
Net GEX-853.8M-2.19B658.5M-1.38B604.1M
Net DEX991.7M-11.07B12.32B3.22B-11.07B
Net VEX-92.3M-101.8M-83.1M-93.2M-85.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.860.533.331.572.65
Total Volume664,366.143377,7521,208,091801,249986,200
Total OI7,254,079.3816,305,9218,084,1646,832,6967,363,205

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-11-01$148.29$148.0013.2%4.0%8.0%23.1%14.4%3.3%0.2%-1.38B3.22B-93.2M1.573.20311,744489,5051,696,5265,136,170
2017-11-02$148.75$146.0013.0%3.9%8.1%22.2%14.0%3.2%0.3%-1.35B1.61B-92.2M1.602.34216,048345,9551,805,7795,273,522
2017-11-03$148.53$146.0012.6%3.7%8.1%18.8%12.8%3.1%0.3%-1.93B2.01B-91.8M1.492.34201,721301,4311,846,0025,357,217
2017-11-06$148.85$148.0012.4%3.7%8.0%17.4%13.9%3.0%0.4%-874.6M461.4M-89.7M2.002.28132,009263,7111,807,4485,146,090
2017-11-07$146.99$148.0013.6%4.0%9.1%36.3%15.1%3.0%0.4%-1.55B6.95B-93.9M2.932.25278,667817,2711,847,7905,219,109
2017-11-08$147.24$148.0013.7%4.0%9.1%38.8%15.3%3.0%0.4%-1.50B6.22B-95.2M2.302.21201,813464,6121,909,0435,430,994
2017-11-09$146.58$148.0013.8%4.0%9.2%43.0%15.4%3.0%0.3%-1.88B8.95B-97.8M3.332.98278,713929,3781,975,7545,564,150
2017-11-10$146.61$147.0013.7%4.0%9.2%41.8%14.5%3.0%0.2%-2.03B9.54B-101.8M1.812.29158,571286,3602,052,7975,894,285
2017-11-13$146.67$147.0013.9%4.0%9.2%44.1%14.7%3.2%0.4%-1.89B8.51B-98.3M2.711.96124,081335,7952,002,1715,763,576
2017-11-14$146.21$147.0014.7%4.2%9.2%53.3%15.0%3.1%0.2%-1.99B9.93B-97.3M1.472.02228,825336,4682,032,7435,815,735
2017-11-15$145.57$147.0014.8%4.2%8.9%54.4%15.9%3.4%0.4%-2.19B12.32B-100.6M2.223.98176,568392,8392,098,2545,825,739
2017-11-16$147.94$147.0013.9%4.0%10.8%44.2%14.6%3.1%0.4%-865.7M2.44B-95.7M1.345.48306,275409,9262,148,1805,856,269
2017-11-17$148.43$147.0013.5%3.8%10.7%38.8%13.9%2.8%0.2%-142.1M400.9M-91.8M1.181.99330,762389,0362,171,3655,912,799
2017-11-20$149.51$147.0013.9%3.9%10.7%44.3%14.6%3.3%-0.6%-424.7M-786.6M-91.7M1.151.93251,660289,6691,663,5164,642,405
2017-11-21$150.94$147.0013.4%3.7%11.2%37.8%13.8%2.8%-0.4%-9.9M-5.24B-87.2M0.882.53427,689378,3651,775,9344,746,279
2017-11-22$150.98$147.0013.5%3.8%11.1%39.1%13.7%2.8%-0.5%139.6M-5.49B-89.0M1.611.90144,851232,9011,951,4704,831,409
2017-11-24$150.95$147.0013.5%3.9%11.0%39.3%13.2%2.8%-0.7%184.8M-5.01B-90.3M0.539.76297,463156,4521,975,1334,909,615
2017-11-27$150.55$147.0013.4%4.0%10.9%37.7%14.5%2.9%0.1%-83.8M-3.68B-86.8M2.491.86140,666350,0901,995,1634,820,465
2017-11-28$152.79$147.0013.2%4.0%11.2%35.8%15.1%2.6%-0.1%566.7M-9.67B-83.1M2.112.22267,112563,5552,036,8814,890,536
2017-11-29$153.44$147.0014.0%4.1%11.0%44.6%15.6%2.8%-0.3%658.5M-10.79B-85.1M1.732.21276,919480,0132,119,8675,024,282
2017-11-30$153.64$148.0013.8%4.2%10.5%43.2%15.5%2.8%0.0%604.1M-11.07B-85.4M2.652.80269,874716,3262,220,1685,143,037