IWM Options History — December 2017

In December 2017, IWM traded between $150.02 and $154.17. ATM implied volatility averaged 13.4%, placing in the 38.0% IV rank vs the trailing year. The 30-day expected move averaged 3.8%. IV traded above realized volatility by 2.2% (HV 20d: 11.2%). Max pain ranged from $148.00 to $152.00. Net GEX was positive for 12 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 1.75.

Notable Days

  • 2017-12-01: Highest Volume — 1,457,035 contracts
  • 2017-12-15: Largest IV drop — 7.1% change
  • 2017-12-04: Highest IV Rank — 60.3%
  • 2017-12-01: Largest Expected Move — 4.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$152.26$150.02$154.17$152.78$152.51
Max Pain$149.80$148.00$152.00$148.00$152.00
ATM IV13.4%12.1%15.3%14.5%12.7%
Expected Move3.8%3.4%4.6%4.6%3.5%
HV 20d11.2%10.6%12.2%10.8%10.9%
HV 60d9.8%9.4%10.7%9.4%9.8%
IV Rank38.0%23.3%60.3%51.1%29.9%
IV Percentile35.8%13.1%71.0%57.5%24.6%
Term Structure0.1%-0.3%0.4%-0.3%0.1%
VWIV14.0%12.1%16.9%16.9%12.5%
Skew 25d3.0%2.3%3.8%3.5%3.4%
Skew 10d5.9%4.4%7.5%6.9%6.6%
Call IV 25d12.4%10.9%14.0%13.7%11.3%
Put IV 25d15.4%13.9%17.8%17.2%14.7%
Bid-Ask Spread %2.771.813.542.762.53
Gamma HHI0.060.040.100.050.05
Net GEX-35.4M-1.09B963.9M203.2M-436.6M
Net DEX-2.41B-7.31B2.24B-6.87B1.77B
Net VEX-86.8M-100.6M-77.3M-94.3M-82.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.750.864.002.081.53
Total Volume625,369.15381,2161,457,0351,457,035464,950
Total OI7,315,508.56,095,0988,586,9397,635,2856,457,617

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-12-01$152.78$148.0014.5%4.6%10.8%51.1%16.9%3.5%-0.3%203.2M-6.87B-94.3M2.082.76473,585983,4502,275,0075,360,278
2017-12-04$152.49$148.0015.3%4.3%10.8%60.3%15.1%3.8%-0.0%158.5M-5.37B-97.4M1.273.06419,870533,2952,319,2395,381,052
2017-12-05$151.12$148.0015.0%4.3%11.4%56.8%15.3%3.6%0.1%-469.0M-1.06B-99.1M1.552.61251,678390,3672,449,5295,524,434
2017-12-06$150.21$148.0015.3%4.4%10.6%59.8%15.2%3.7%-0.0%-1.01B2.24B-100.6M2.103.03179,267376,2642,473,7755,650,299
2017-12-07$151.37$149.0014.3%4.2%10.8%49.1%15.2%3.1%0.3%-535.6M-1.94B-98.0M1.892.65158,737299,5312,477,9625,720,554
2017-12-08$151.40$149.0013.8%4.0%10.6%42.5%15.7%3.1%-0.0%-239.2M-2.45B-94.8M2.353.10142,646334,7032,504,4965,796,332
2017-12-11$151.19$149.0013.2%3.8%10.7%35.5%14.4%3.0%0.1%-450.5M-2.52B-88.4M1.773.20158,195280,5172,435,4675,667,435
2017-12-12$150.92$149.0013.0%3.7%10.7%33.8%13.4%2.9%-0.0%-496.4M-1.88B-86.1M1.222.09235,514286,3462,497,8845,737,297
2017-12-13$151.74$149.0012.9%3.6%10.7%32.8%12.7%2.8%-0.2%202.6M-5.12B-84.6M0.862.30355,890306,3272,571,9945,778,867
2017-12-14$150.02$150.0013.4%3.8%11.5%38.6%14.1%3.1%-0.0%-1.09B1.50B-87.3M1.412.02324,116457,8822,664,7195,835,469
2017-12-15$152.22$150.0012.5%3.5%11.2%27.6%13.0%2.4%-0.3%544.6M-7.31B-84.1M0.952.37505,772479,0152,704,0565,882,883
2017-12-18$154.17$150.0012.6%3.6%11.9%28.6%13.3%2.3%0.2%712.0M-5.79B-77.3M1.023.11263,186267,2791,807,9454,299,844
2017-12-19$152.93$150.0013.3%3.8%12.2%36.8%14.1%2.7%0.1%253.8M-1.98B-83.2M1.402.99271,161379,9341,871,7014,376,835
2017-12-20$153.34$150.0013.1%3.7%11.8%34.4%13.7%2.6%0.0%510.9M-2.63B-84.1M1.063.27235,694250,9561,944,0884,513,090
2017-12-21$153.50$151.0012.7%3.6%11.8%30.1%13.1%2.3%0.3%963.9M-2.58B-80.6M0.922.46229,219210,4421,823,6054,548,729
2017-12-22$153.10$151.0012.6%3.6%11.9%28.4%13.4%2.4%0.4%89.4M-1.38B-81.3M1.563.18155,852243,8091,871,4494,583,631
2017-12-26$153.22$151.0012.8%3.6%11.8%31.5%13.8%3.1%0.1%191.3M-1.59B-77.3M3.143.5491,979289,2371,693,7664,401,332
2017-12-27$153.23$152.0012.6%3.6%10.6%29.5%13.0%3.1%0.2%115.9M-1.36B-77.3M2.863.37147,578422,1541,702,4424,428,844
2017-12-28$153.66$152.0012.1%3.4%10.6%23.3%12.1%3.0%0.2%74.4M-1.80B-78.3M4.001.81130,148520,8381,713,1974,563,027
2017-12-29$152.51$152.0012.7%3.5%10.9%29.9%12.5%3.4%0.1%-436.6M1.77B-82.2M1.532.53183,885281,0651,730,6424,726,975