IWM Options History — February 2018

In February 2018, IWM traded between $145.79 and $156.80. ATM implied volatility averaged 18.4%, placing in the 55.1% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded below realized volatility by 1.1% (HV 20d: 19.5%). Max pain ranged from $154.00 to $156.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 8 of 19 days. Put/call ratio averaged 2.11.

Notable Days

  • 2018-02-06: Highest Volume — 1,305,980 contracts
  • 2018-02-05: Largest IV spike — 49.0% change
  • 2018-02-05: Highest IV Rank — 100.0%
  • 2018-02-08: Largest Expected Move — 7.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$151.25$145.79$156.80$156.80$150.55
Max Pain$154.74$154.00$156.00$156.00$154.00
ATM IV18.4%14.5%26.2%14.6%17.7%
Expected Move5.3%4.1%7.3%4.3%5.3%
HV 20d19.5%10.8%22.2%10.8%22.2%
HV 60d14.4%10.7%15.5%10.7%15.5%
IV Rank55.1%27.2%100.0%52.4%47.3%
IV Percentile91.6%69.8%100.0%71.0%96.0%
Term Structure-0.1%-0.8%0.4%0.3%0.3%
VWIV19.5%15.7%27.4%15.9%18.5%
Skew 25d5.5%3.2%9.4%3.2%5.6%
Skew 10d11.5%6.5%19.7%6.5%10.7%
Call IV 25d16.4%13.0%23.2%13.5%16.0%
Put IV 25d21.8%16.7%32.3%16.7%21.6%
Bid-Ask Spread %6.342.9916.082.994.39
Gamma HHI0.050.040.050.040.05
Net GEX-1.63B-2.35B-798.0M-1.26B-1.67B
Net DEX13.82B2.77B28.11B3.60B14.05B
Net VEX-100.2M-108.6M-89.5M-93.4M-101.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.111.523.381.871.58
Total Volume703,399.474396,7191,305,980497,708589,489
Total OI6,643,483.3165,978,0607,560,6636,372,9226,547,054

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-02-01$156.80$156.0014.6%4.3%10.8%52.4%15.9%3.2%0.3%-1.26B3.60B-93.4M1.872.99173,575324,1331,659,8664,713,056
2018-02-02$153.63$156.0017.6%5.0%13.2%86.4%17.3%4.2%-0.0%-2.16B12.39B-99.1M1.605.15424,908679,9401,688,3484,731,704
2018-02-05$148.36$156.0026.2%7.2%17.9%100.0%25.6%7.5%-0.6%-1.84B22.56B-106.1M3.0714.35282,305865,4831,552,8984,694,147
2018-02-06$149.57$156.0023.7%6.5%18.3%84.3%24.0%6.0%-0.8%-1.97B20.52B-108.2M3.3810.26297,8971,008,0831,633,5074,900,000
2018-02-07$149.94$156.0018.9%5.4%18.3%54.8%20.4%5.4%-0.0%-2.24B19.83B-101.9M2.454.26196,740481,0731,710,3214,965,663
2018-02-08$145.79$155.0025.7%7.3%20.6%96.3%26.6%9.4%-0.0%-2.08B28.11B-107.0M1.7610.66272,763480,4191,758,5444,977,166
2018-02-09$147.13$155.0024.4%6.9%19.8%88.4%27.4%9.3%-0.7%-2.22B25.60B-108.6M2.6316.08285,466751,1681,846,2615,152,772
2018-02-12$148.08$155.0017.7%5.0%19.9%47.3%19.9%5.2%0.2%-2.35B22.65B-100.3M1.524.13211,571321,4761,811,7525,249,086
2018-02-13$148.53$155.0018.5%5.3%19.9%52.0%20.3%5.4%0.4%-2.13B20.72B-100.5M1.716.77210,167358,3301,864,6685,249,915
2018-02-14$151.35$154.0016.6%4.8%21.1%40.5%17.9%4.8%0.1%-1.78B12.61B-98.0M2.063.81204,517421,2191,950,4975,365,847
2018-02-15$152.54$154.0016.4%4.7%21.3%38.9%17.9%4.6%0.4%-1.41B9.23B-100.2M2.183.29227,360494,9991,974,6635,410,877
2018-02-16$153.48$154.0015.4%4.4%20.8%33.2%15.8%4.4%0.2%-960.3M5.96B-98.3M1.958.62289,046564,2402,016,9395,543,724
2018-02-20$152.10$154.0017.2%5.0%20.8%44.0%19.0%5.2%-0.1%-1.36B9.48B-99.9M1.533.04205,431315,3331,510,2724,467,788
2018-02-21$152.37$154.0017.0%4.9%20.8%43.0%17.4%5.3%0.0%-1.21B8.79B-99.7M2.223.23171,436380,1481,567,7254,532,210
2018-02-22$152.02$154.0016.9%4.9%20.7%42.4%17.5%5.3%-0.2%-1.37B10.02B-99.9M2.493.16113,719283,0001,612,4484,631,768
2018-02-23$153.84$154.0014.8%4.2%21.3%29.1%15.8%4.7%-0.1%-930.0M5.74B-96.1M2.325.41133,699310,6021,625,3234,692,256
2018-02-26$154.91$154.0014.5%4.1%21.5%27.2%15.7%4.2%-0.1%-798.0M2.77B-89.5M2.027.20175,844355,2991,597,8694,640,230
2018-02-27$152.85$154.0016.3%4.8%21.8%38.8%17.1%4.6%-0.2%-1.25B7.99B-95.9M1.693.62187,269316,4431,660,2004,718,819
2018-02-28$150.55$154.0017.7%5.3%22.2%47.3%18.5%5.6%0.3%-1.67B14.05B-101.3M1.584.39228,161361,3281,724,5314,822,523