IWM Options History — May 2018

In May 2018, IWM traded between $153.71 and $163.97. ATM implied volatility averaged 12.8%, placing in the 16.8% IV rank vs the trailing year. The 30-day expected move averaged 3.7%. IV traded above realized volatility by 2.3% (HV 20d: 10.4%). Max pain ranged from $153.00 to $158.00. Net GEX was positive for 9 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 2.40.

Notable Days

2018-05-30: Highest Volume — 843,114 contracts
2018-05-29: Largest IV spike — 18.4% change
2018-05-03: Highest IV Rank — 26.4%
2018-05-29: Largest Expected Move — 4.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$159.68	$153.71	$163.97	$154.03	$162.70
Max Pain	$155.20	$153.00	$158.00	$155.00	$158.00
ATM IV	12.8%	11.5%	14.3%	13.9%	13.1%
Expected Move	3.7%	3.4%	4.3%	4.1%	3.8%
HV 20d	10.4%	8.1%	14.4%	14.4%	9.9%
HV 60d	16.9%	15.5%	19.4%	19.4%	15.7%
IV Rank	16.8%	9.1%	26.4%	23.5%	18.9%
IV Percentile	32.9%	7.5%	69.4%	60.7%	43.3%
Term Structure	0.2%	-0.1%	0.7%	0.2%	0.1%
VWIV	14.4%	12.6%	18.4%	15.9%	14.7%
Skew 25d	3.4%	2.4%	4.7%	3.8%	4.1%
Skew 10d	6.7%	4.6%	9.0%	7.6%	8.1%
Call IV 25d	11.5%	10.6%	12.7%	12.2%	11.7%
Put IV 25d	14.9%	13.0%	17.2%	16.0%	15.8%
Bid-Ask Spread %	1.84	1.36	2.49	2.49	1.85
Gamma HHI	0.06	0.04	0.19	0.06	0.04
Net GEX	-112.6M	-1.49B	1.26B	-1.41B	-250.7M
Net DEX	-3.66B	-9.63B	5.17B	4.64B	-4.07B
Net VEX	-66.8M	-75.8M	-61.4M	-75.8M	-67.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.40	1.01	4.85	3.22	3.33
Total Volume	446,912.864	296,955	843,114	497,922	605,167
Total OI	5,274,771.227	4,383,085	6,300,121	5,188,792	4,882,124

Daily Data (22 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
2018-05-01	$154.03	$155.00	13.9%	4.1%	14.4%	23.5%	15.9%	3.8%	0.2%	-1.41B	4.64B	-75.8M	3.22	2.49	117,959	379,963	1,273,346	3,915,446
2018-05-02	$154.78	$155.00	13.5%	4.0%	13.4%	21.5%	14.8%	3.7%	0.2%	-1.05B	2.64B	-73.6M	2.44	2.27	104,425	255,202	1,299,139	4,029,597
2018-05-03	$153.71	$153.00	14.3%	4.2%	13.6%	26.4%	18.4%	4.0%	0.2%	-1.49B	5.17B	-75.8M	4.85	1.98	116,390	565,011	1,307,186	4,040,887
2018-05-04	$155.84	$153.00	13.2%	4.0%	12.3%	19.2%	15.6%	3.5%	0.3%	-632.1M	894.4M	-73.7M	1.84	1.78	129,963	239,768	1,320,171	4,141,731
2018-05-07	$157.20	$153.00	13.4%	4.0%	12.5%	20.5%	15.0%	3.5%	0.3%	-338.7M	-1.98B	-67.5M	1.66	2.08	127,803	212,453	1,271,759	4,083,972
2018-05-08	$157.73	$153.00	13.3%	3.9%	11.2%	19.8%	15.5%	3.4%	0.2%	-180.0M	-3.06B	-66.0M	2.07	1.69	113,239	234,146	1,296,850	4,139,233
2018-05-09	$158.75	$153.00	12.6%	3.7%	11.3%	15.6%	14.6%	3.1%	0.3%	163.0M	-5.04B	-63.1M	1.44	1.94	163,425	235,648	1,313,630	4,179,685
2018-05-10	$159.46	$153.00	12.0%	3.6%	11.0%	12.2%	13.6%	2.5%	0.7%	380.2M	-6.40B	-62.0M	1.81	1.70	146,313	265,387	1,334,937	4,246,221
2018-05-11	$159.84	$154.00	11.5%	3.4%	10.5%	9.1%	13.5%	2.4%	0.7%	607.2M	-7.01B	-61.6M	2.16	1.82	117,918	255,223	1,395,849	4,319,729
2018-05-14	$159.42	$154.00	12.4%	3.6%	10.2%	14.7%	14.3%	2.7%	-0.0%	117.5M	-5.03B	-64.2M	1.77	1.66	156,659	276,574	1,372,322	4,275,547
2018-05-15	$159.12	$155.00	12.8%	3.7%	9.5%	16.8%	13.8%	3.1%	0.1%	-12.6M	-4.28B	-63.5M	1.69	1.54	162,195	273,781	1,417,617	4,389,103
2018-05-16	$160.76	$155.00	12.3%	3.5%	10.1%	14.0%	13.7%	2.9%	0.1%	450.2M	-7.33B	-62.6M	2.13	1.54	179,591	382,179	1,471,164	4,508,527
2018-05-17	$161.73	$155.00	12.1%	3.5%	9.9%	12.8%	12.6%	2.7%	0.3%	734.1M	-9.04B	-62.6M	1.01	1.57	297,733	301,640	1,522,445	4,592,732
2018-05-18	$162.10	$155.00	12.3%	3.5%	9.2%	14.0%	13.3%	3.0%	0.1%	1.26B	-9.63B	-65.5M	1.43	1.36	175,151	251,095	1,597,238	4,702,883
2018-05-21	$162.72	$156.00	12.2%	3.5%	9.1%	13.4%	12.8%	3.0%	-0.0%	282.2M	-6.43B	-62.4M	1.71	2.06	157,629	269,658	1,248,140	3,134,945
2018-05-22	$161.93	$156.00	12.5%	3.6%	8.6%	15.2%	13.2%	3.4%	0.1%	-28.5M	-4.62B	-66.4M	2.67	2.14	118,315	315,770	1,278,612	3,211,524
2018-05-23	$161.76	$157.00	12.2%	3.5%	8.7%	13.2%	13.8%	3.4%	0.1%	-232.2M	-3.77B	-67.3M	3.28	1.77	69,812	228,937	1,283,543	3,331,709
2018-05-24	$161.99	$157.50	12.1%	3.4%	8.6%	12.5%	13.9%	3.4%	0.2%	-315.5M	-3.64B	-68.3M	2.71	2.21	89,149	241,628	1,290,918	3,415,287
2018-05-25	$161.77	$158.00	12.0%	3.4%	8.5%	12.0%	12.6%	3.6%	0.2%	-366.9M	-3.09B	-68.8M	2.35	1.67	88,620	208,335	1,314,603	3,432,343
2018-05-29	$161.61	$158.00	14.2%	4.3%	8.1%	25.7%	17.2%	4.7%	0.0%	-427.5M	-2.47B	-69.8M	2.83	1.79	93,749	265,366	1,276,349	3,417,339
2018-05-30	$163.97	$158.00	13.0%	3.8%	9.1%	18.3%	14.3%	3.9%	-0.1%	259.0M	-7.07B	-61.4M	4.34	1.48	157,762	685,352	1,290,681	3,477,904
2018-05-31	$162.70	$158.00	13.1%	3.8%	9.9%	18.9%	14.7%	4.1%	0.1%	-250.7M	-4.07B	-67.1M	3.33	1.85	139,831	465,336	1,311,651	3,570,473