IWM Options History — March 2018

In March 2018, IWM traded between $149.75 and $159.35. ATM implied volatility averaged 16.1%, placing in the 37.3% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded below realized volatility by 2.1% (HV 20d: 18.2%). Max pain ranged from $154.00 to $159.00. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 2.72.

Notable Days

2018-03-23: Highest Volume — 866,251 contracts
2018-03-22: Largest IV spike — 27.6% change
2018-03-23: Highest IV Rank — 73.9%
2018-03-23: Largest Expected Move — 6.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$154.93	$149.75	$159.35	$149.75	$152.05
Max Pain	$156.38	$154.00	$159.00	$154.00	$157.00
ATM IV	16.1%	12.7%	22.0%	18.6%	17.9%
Expected Move	4.7%	3.8%	6.4%	5.6%	5.2%
HV 20d	18.2%	15.2%	23.4%	22.2%	20.3%
HV 60d	16.6%	15.5%	18.3%	15.5%	18.3%
IV Rank	37.3%	16.4%	73.9%	53.0%	48.6%
IV Percentile	78.0%	29.8%	98.4%	96.8%	94.4%
Term Structure	0.2%	-0.4%	0.6%	0.0%	0.1%
VWIV	18.2%	13.6%	24.2%	20.8%	20.0%
Skew 25d	4.8%	3.1%	6.6%	6.0%	4.8%
Skew 10d	9.8%	6.8%	13.3%	11.6%	9.5%
Call IV 25d	14.4%	11.5%	19.6%	16.6%	16.0%
Put IV 25d	19.2%	15.1%	26.3%	22.6%	20.8%
Bid-Ask Spread %	4.39	2.19	8.44	4.96	6.15
Gamma HHI	0.05	0.04	0.06	0.05	0.05
Net GEX	-1.12B	-2.15B	56.5M	-1.82B	-2.02B
Net DEX	5.39B	-7.78B	19.11B	16.44B	13.87B
Net VEX	-94.2M	-106.2M	-81.3M	-103.3M	-103.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.72	1.62	4.21	2.72	3.58
Total Volume	638,529.048	329,787	866,251	855,213	588,754
Total OI	6,439,094.524	5,174,129	7,484,419	6,652,581	6,296,491

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
2018-03-01	$149.75	$154.00	18.6%	5.6%	22.2%	53.0%	20.8%	6.0%	0.0%	-1.82B	16.44B	-103.3M	2.72	4.96	230,102	625,111	1,733,493	4,919,088
2018-03-02	$152.65	$154.00	16.2%	4.8%	23.4%	37.9%	19.2%	5.3%	-0.1%	-1.33B	8.99B	-99.1M	1.97	8.44	235,418	464,531	1,774,168	5,024,765
2018-03-05	$153.72	$155.00	15.5%	4.6%	22.4%	33.8%	17.2%	5.1%	0.4%	-1.06B	5.62B	-95.9M	1.63	6.04	194,804	318,167	1,740,049	4,896,291
2018-03-06	$155.25	$155.00	15.2%	4.5%	18.5%	31.5%	18.4%	4.6%	0.3%	-664.9M	1.45B	-92.5M	2.58	3.00	146,244	376,914	1,770,468	4,921,171
2018-03-07	$156.74	$155.00	15.3%	4.5%	18.6%	32.2%	17.6%	4.5%	0.2%	-403.2M	-1.96B	-90.2M	2.74	3.06	160,383	438,957	1,776,051	4,997,411
2018-03-08	$156.20	$155.00	15.2%	4.6%	18.7%	31.7%	18.1%	4.7%	0.3%	-600.0M	-373.6M	-91.9M	1.83	2.56	222,546	406,954	1,789,786	5,115,259
2018-03-09	$158.91	$155.00	13.4%	3.9%	15.7%	20.6%	16.0%	3.1%	0.2%	56.5M	-7.78B	-81.3M	1.62	3.47	303,967	491,427	1,802,179	5,171,674
2018-03-12	$159.35	$155.00	13.6%	4.0%	15.6%	21.6%	16.1%	3.3%	0.3%	-120.3M	-6.50B	-83.2M	2.53	2.73	145,807	368,220	1,749,601	5,179,437
2018-03-13	$158.44	$156.00	14.2%	4.2%	15.9%	25.5%	17.5%	3.6%	0.5%	-334.2M	-5.11B	-84.3M	2.87	7.14	146,755	420,516	1,775,234	5,306,477
2018-03-14	$157.70	$156.00	14.6%	4.3%	16.2%	27.9%	16.8%	3.7%	0.3%	-643.1M	-2.17B	-89.4M	2.52	2.40	153,632	386,914	1,774,798	5,409,062
2018-03-15	$156.88	$157.00	14.3%	4.2%	15.3%	26.2%	17.5%	4.1%	0.5%	-806.1M	270.1M	-91.0M	3.72	3.03	134,694	500,455	1,812,569	5,507,081
2018-03-16	$157.99	$157.00	12.7%	3.8%	15.2%	16.4%	15.1%	3.6%	0.6%	-855.7M	-3.46B	-85.8M	1.80	4.43	244,307	439,137	1,811,657	5,672,762
2018-03-19	$156.50	$157.00	14.9%	4.3%	15.6%	30.2%	16.1%	5.2%	0.1%	-1.08B	5.23B	-90.3M	4.00	3.13	163,671	654,203	1,098,729	4,075,400
2018-03-20	$156.31	$158.00	14.5%	4.2%	15.2%	27.7%	18.0%	5.1%	0.3%	-1.28B	6.35B	-92.4M	3.08	3.00	80,835	248,952	1,156,764	4,340,250
2018-03-21	$157.21	$158.00	14.3%	4.1%	15.3%	25.9%	13.6%	4.9%	0.5%	-1.09B	4.38B	-89.6M	2.02	5.55	144,796	291,878	1,166,943	4,370,465
2018-03-22	$153.58	$159.00	18.2%	5.2%	17.6%	50.3%	19.3%	6.2%	-0.3%	-1.81B	12.43B	-99.2M	2.34	4.06	215,730	505,544	1,183,253	4,479,672
2018-03-23	$150.18	$158.00	22.0%	6.4%	18.9%	73.9%	24.2%	6.6%	-0.4%	-2.03B	19.11B	-106.2M	3.31	8.15	201,057	665,194	1,236,023	4,571,248
2018-03-26	$153.29	$158.00	17.9%	5.2%	20.2%	48.4%	19.5%	5.0%	0.1%	-1.62B	11.92B	-101.3M	2.20	2.19	187,846	413,261	1,217,616	4,584,045
2018-03-27	$150.41	$158.00	20.0%	5.9%	20.8%	61.7%	21.4%	5.8%	-0.2%	-1.96B	16.95B	-103.1M	4.21	4.20	156,686	659,899	1,262,949	4,633,886
2018-03-28	$150.39	$157.00	19.5%	5.7%	20.1%	58.4%	20.8%	5.6%	0.1%	-2.15B	17.60B	-105.1M	3.88	4.49	138,355	536,487	1,281,053	4,835,667
2018-03-29	$152.05	$157.00	17.9%	5.2%	20.3%	48.6%	20.0%	4.8%	0.1%	-2.02B	13.87B	-103.0M	3.58	6.15	128,496	460,258	1,316,080	4,980,411