IWM Options History — January 2018

In January 2018, IWM traded between $153.74 and $159.93. ATM implied volatility averaged 12.9%, placing in the 32.9% IV rank vs the trailing year. The 30-day expected move averaged 3.8%. IV traded above realized volatility by 2.5% (HV 20d: 10.4%). Max pain ranged from $152.00 to $156.00. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 1.69.

Notable Days

2018-01-16: Highest Volume — 1,102,115 contracts
2018-01-16: Largest IV spike — 11.5% change
2018-01-30: Highest IV Rank — 64.1%
2018-01-30: Largest Expected Move — 4.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$156.95	$153.74	$159.93	$153.74	$156.45
Max Pain	$154.33	$152.00	$156.00	$152.00	$156.00
ATM IV	12.9%	11.4%	15.7%	12.0%	15.3%
Expected Move	3.8%	3.2%	4.6%	3.4%	4.5%
HV 20d	10.4%	9.6%	11.3%	11.1%	10.8%
HV 60d	10.4%	9.9%	10.9%	10.0%	10.7%
IV Rank	32.9%	15.5%	64.1%	22.0%	59.9%
IV Percentile	35.2%	6.7%	85.7%	11.1%	81.7%
Term Structure	0.2%	-0.3%	0.4%	0.2%	0.1%
VWIV	14.0%	11.3%	17.6%	12.1%	16.3%
Skew 25d	2.6%	1.6%	3.6%	3.4%	3.6%
Skew 10d	5.5%	3.4%	8.5%	7.3%	8.5%
Call IV 25d	12.1%	10.5%	14.6%	10.6%	14.1%
Put IV 25d	14.7%	13.0%	18.1%	14.0%	17.8%
Bid-Ask Spread %	2.70	2.06	4.06	2.06	2.38
Gamma HHI	0.06	0.04	0.14	0.06	0.04
Net GEX	-28.3M	-1.42B	1.01B	-11.1M	-1.42B
Net DEX	-3.94B	-10.46B	4.71B	-1.48B	4.71B
Net VEX	-78.9M	-95.9M	-70.6M	-77.5M	-95.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.69	0.92	2.51	2.05	1.63
Total Volume	637,139.286	369,493	1,102,115	369,493	735,582
Total OI	6,278,505.571	5,279,202	7,411,054	5,865,080	6,270,551

Daily Data (21 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
2018-01-02	$153.74	$152.00	12.0%	3.4%	11.1%	22.0%	12.1%	3.4%	0.2%	-11.1M	-1.48B	-77.5M	2.05	2.06	120,982	248,511	1,581,640	4,283,440
2018-01-03	$154.05	$152.00	11.6%	3.2%	11.1%	17.4%	11.3%	2.9%	0.2%	133.8M	-2.57B	-74.6M	1.55	2.06	193,654	300,070	1,597,917	4,342,722
2018-01-04	$154.50	$152.00	11.4%	3.5%	10.5%	15.5%	13.1%	2.6%	0.3%	224.1M	-3.02B	-78.2M	1.58	2.17	166,833	262,971	1,672,967	4,503,054
2018-01-05	$154.85	$152.00	11.5%	3.4%	10.2%	16.6%	12.2%	2.4%	0.2%	504.4M	-4.62B	-75.4M	1.57	4.06	170,926	268,245	1,673,966	4,547,997
2018-01-08	$155.04	$153.00	11.6%	3.4%	9.9%	17.0%	12.4%	2.3%	0.2%	323.5M	-4.70B	-73.4M	2.12	2.83	146,161	309,794	1,636,394	4,561,923
2018-01-09	$154.93	$153.00	11.9%	3.5%	9.9%	20.6%	13.0%	2.1%	0.3%	174.6M	-4.41B	-72.4M	2.38	2.56	176,895	421,403	1,661,870	4,697,007
2018-01-10	$154.80	$153.00	11.7%	3.5%	9.9%	18.7%	13.1%	2.0%	0.3%	92.9M	-3.40B	-76.6M	1.87	3.14	192,430	360,359	1,701,321	4,853,604
2018-01-11	$157.41	$154.00	11.9%	3.5%	11.3%	20.5%	13.1%	1.7%	0.4%	816.9M	-10.00B	-70.6M	1.50	2.52	396,608	596,267	1,711,148	4,963,299
2018-01-12	$158.00	$154.00	12.0%	3.5%	11.2%	21.8%	12.8%	1.6%	0.2%	1.01B	-10.46B	-73.8M	1.44	2.59	349,394	503,351	1,790,540	5,158,732
2018-01-16	$156.40	$155.00	13.4%	3.8%	11.0%	37.7%	14.1%	2.5%	-0.3%	170.1M	-5.64B	-77.3M	1.47	2.47	446,107	656,008	1,786,155	5,101,439
2018-01-17	$157.41	$155.00	13.5%	3.9%	10.1%	39.4%	14.3%	2.5%	-0.3%	224.3M	-7.74B	-76.3M	1.84	2.85	263,322	485,623	1,816,517	5,272,121
2018-01-18	$156.49	$155.00	13.8%	4.0%	9.6%	42.6%	14.5%	2.9%	-0.3%	-370.7M	-4.44B	-82.4M	2.51	2.85	172,149	432,738	1,837,264	5,459,407
2018-01-19	$158.56	$155.00	12.6%	3.6%	9.9%	29.5%	13.7%	2.9%	0.3%	434.3M	-9.75B	-76.0M	0.92	3.09	437,755	402,126	1,865,259	5,545,795
2018-01-22	$159.45	$155.00	12.9%	3.7%	10.0%	32.6%	14.2%	2.6%	0.2%	-283.2M	-3.43B	-75.0M	1.54	2.62	190,419	293,542	1,251,415	4,027,787
2018-01-23	$159.93	$155.00	13.1%	3.8%	10.0%	35.1%	14.1%	2.8%	0.4%	-108.8M	-4.56B	-75.7M	1.38	2.67	186,564	256,792	1,328,390	4,131,713
2018-01-24	$159.06	$156.00	13.6%	4.0%	10.3%	40.9%	14.8%	2.6%	0.3%	-372.1M	-2.83B	-78.9M	1.36	2.65	231,440	314,764	1,372,103	4,186,129
2018-01-25	$158.99	$156.00	13.8%	4.0%	10.3%	42.4%	15.6%	2.6%	0.4%	-501.4M	-1.31B	-84.8M	1.85	3.12	240,381	444,235	1,441,917	4,261,459
2018-01-26	$159.61	$156.00	13.6%	3.9%	10.3%	40.7%	14.6%	2.4%	0.3%	-130.3M	-3.88B	-82.9M	1.36	2.52	292,644	398,557	1,541,976	4,437,549
2018-01-29	$158.88	$156.00	15.0%	4.4%	10.5%	56.7%	16.3%	2.9%	0.4%	-525.2M	-1.36B	-87.0M	1.84	3.13	221,590	408,193	1,497,609	4,359,342
2018-01-30	$157.37	$156.00	15.7%	4.6%	10.8%	64.1%	17.6%	3.5%	0.3%	-976.0M	2.06B	-91.5M	1.79	2.42	245,626	438,914	1,580,964	4,536,215
2018-01-31	$156.45	$156.00	15.3%	4.5%	10.8%	59.9%	16.3%	3.6%	0.1%	-1.42B	4.71B	-95.9M	1.63	2.38	280,039	455,543	1,645,654	4,624,897