IWM Options History — April 2018

In April 2018, IWM traded between $148.38 and $157.70. ATM implied volatility averaged 16.0%, placing in the 36.6% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded below realized volatility by 5.0% (HV 20d: 21.0%). Max pain ranged from $155.00 to $156.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 2.09.

Notable Days

2018-04-02: Highest Volume — 906,734 contracts
2018-04-06: Largest IV spike — 11.5% change
2018-04-02: Highest IV Rank — 66.9%
2018-04-02: Largest Expected Move — 6.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$153.89	$148.38	$157.70	$148.38	$153.81
Max Pain	$155.14	$155.00	$156.00	$156.00	$155.00
ATM IV	16.0%	12.9%	20.9%	20.9%	13.7%
Expected Move	4.6%	3.7%	6.3%	6.3%	3.9%
HV 20d	21.0%	14.9%	23.2%	21.0%	14.9%
HV 60d	19.7%	18.9%	19.9%	18.9%	19.9%
IV Rank	36.6%	17.3%	66.9%	66.9%	22.6%
IV Percentile	77.9%	32.1%	98.0%	98.0%	57.5%
Term Structure	0.0%	-0.3%	0.4%	-0.1%	0.3%
VWIV	17.7%	13.6%	23.1%	23.1%	14.4%
Skew 25d	4.6%	3.5%	5.5%	5.5%	3.9%
Skew 10d	9.6%	7.0%	12.2%	10.5%	7.7%
Call IV 25d	14.1%	11.6%	18.7%	18.7%	12.2%
Put IV 25d	18.7%	15.0%	24.3%	24.3%	16.1%
Bid-Ask Spread %	2.84	1.99	5.76	3.03	2.65
Gamma HHI	0.05	0.04	0.06	0.05	0.05
Net GEX	-1.35B	-2.33B	-255.0M	-2.33B	-1.45B
Net DEX	6.82B	-3.00B	21.21B	21.21B	5.35B
Net VEX	-88.1M	-105.3M	-72.2M	-105.1M	-78.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.09	0.88	4.42	4.42	1.55
Total Volume	446,981.571	286,383	906,734	906,734	286,800
Total OI	6,087,689.095	5,083,400	6,860,270	6,044,859	5,163,028

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
2018-04-02	$148.38	$156.00	20.9%	6.3%	21.0%	66.9%	23.1%	5.5%	-0.1%	-2.33B	21.21B	-105.1M	4.42	3.03	167,147	739,587	1,200,298	4,844,561
2018-04-03	$150.18	$156.00	19.5%	5.8%	21.3%	58.1%	22.1%	5.1%	-0.1%	-2.18B	17.33B	-105.3M	3.19	2.84	165,791	528,447	1,262,375	4,945,700
2018-04-04	$152.53	$156.00	18.0%	5.4%	21.8%	48.8%	21.1%	4.7%	0.1%	-1.75B	12.40B	-103.3M	2.14	2.93	179,570	384,931	1,326,984	5,014,612
2018-04-05	$153.37	$155.00	16.7%	5.0%	21.6%	41.1%	18.9%	5.0%	0.2%	-1.56B	9.63B	-99.8M	1.98	2.67	130,548	258,556	1,394,040	5,036,260
2018-04-06	$150.43	$155.00	18.6%	5.5%	22.5%	53.0%	19.7%	5.4%	0.0%	-2.26B	16.36B	-104.0M	2.16	3.88	140,084	302,304	1,414,677	5,060,219
2018-04-09	$151.05	$155.00	18.4%	5.3%	21.5%	51.4%	19.4%	5.5%	0.2%	-2.08B	14.12B	-98.8M	1.62	2.50	124,421	202,029	1,363,875	4,934,900
2018-04-10	$153.69	$155.00	17.5%	5.0%	22.6%	45.8%	18.4%	4.9%	-0.2%	-1.56B	7.98B	-94.3M	1.52	2.37	155,182	236,523	1,388,793	4,952,677
2018-04-11	$153.70	$155.00	17.2%	4.9%	22.5%	44.1%	19.7%	5.0%	-0.1%	-1.52B	7.68B	-93.7M	1.67	2.09	134,025	224,405	1,397,682	4,982,267
2018-04-12	$155.15	$155.00	15.5%	4.5%	22.8%	33.8%	17.2%	4.3%	0.2%	-1.17B	3.94B	-88.8M	2.63	1.99	110,551	290,582	1,435,602	5,103,869
2018-04-13	$154.03	$155.00	15.4%	4.5%	22.9%	33.0%	17.0%	4.3%	0.2%	-1.44B	6.37B	-88.7M	1.27	2.65	163,981	208,966	1,447,675	5,055,916
2018-04-16	$155.50	$155.00	14.0%	4.0%	23.0%	24.1%	15.3%	4.1%	0.0%	-982.3M	2.24B	-79.1M	1.81	2.82	106,414	192,476	1,422,692	4,997,323
2018-04-17	$157.33	$155.00	12.9%	3.7%	23.2%	17.3%	14.3%	3.5%	-0.1%	-310.3M	-2.45B	-72.2M	1.89	2.48	147,829	280,074	1,445,622	5,022,824
2018-04-18	$157.70	$155.00	13.6%	3.9%	23.2%	21.7%	14.8%	3.6%	0.2%	-255.0M	-3.00B	-73.5M	0.88	2.40	310,414	272,799	1,490,787	5,090,159
2018-04-19	$156.73	$155.00	14.1%	4.0%	23.2%	24.8%	15.9%	4.1%	0.4%	-594.5M	-782.0M	-76.7M	2.26	2.80	145,510	328,615	1,616,136	5,150,638
2018-04-20	$155.45	$155.00	15.3%	4.4%	21.8%	32.0%	19.9%	4.9%	-0.3%	-1.21B	3.31B	-84.4M	2.82	5.76	170,280	479,819	1,636,404	5,223,866
2018-04-23	$155.16	$155.00	14.6%	4.2%	20.1%	28.2%	17.7%	4.7%	-0.0%	-968.0M	3.59B	-80.0M	2.65	2.49	125,678	333,044	1,212,577	3,870,823
2018-04-24	$153.90	$155.00	15.9%	4.6%	19.0%	35.9%	16.2%	4.8%	-0.3%	-1.17B	5.46B	-82.1M	2.07	2.88	131,766	273,256	1,248,765	3,877,167
2018-04-25	$153.99	$155.00	15.9%	4.6%	17.6%	35.8%	17.1%	4.6%	-0.2%	-1.24B	5.40B	-82.4M	1.73	2.76	131,206	227,505	1,282,934	3,945,845
2018-04-26	$154.99	$155.00	14.3%	4.1%	17.7%	26.4%	15.9%	4.3%	-0.1%	-1.08B	3.36B	-80.3M	1.72	2.62	113,600	195,515	1,312,590	3,956,898
2018-04-27	$154.68	$155.00	13.9%	4.0%	17.4%	23.9%	13.6%	4.0%	-0.0%	-1.14B	3.81B	-79.3M	1.85	3.07	100,403	185,980	1,334,847	3,976,564
2018-04-30	$153.81	$155.00	13.7%	3.9%	14.9%	22.6%	14.4%	3.9%	0.3%	-1.45B	5.35B	-78.3M	1.55	2.65	112,275	174,525	1,257,887	3,905,141