IWM Options History — June 2018

In June 2018, IWM traded between $163.70 and $170.17. 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 3.7% (HV 20d: 9.1%). Max pain ranged from $158.00 to $168.00. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 2.42.

Notable Days

  • 2018-06-28: Highest Volume — 838,593 contracts
  • 2018-06-25: Largest IV spike — 18.6% change
  • 2018-06-28: Highest IV Rank — 40.3%
  • 2018-06-27: Largest Expected Move — 4.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$166.48$163.70$170.17$164.06$163.70
Max Pain$164.45$158.00$168.00$158.00$167.50
ATM IV12.8%10.8%16.6%12.2%15.5%
Expected Move3.7%3.1%4.7%3.5%4.4%
HV 20d9.1%7.8%11.4%9.4%10.6%
HV 60d13.9%11.4%15.7%15.7%11.4%
IV Rank16.8%4.4%40.3%13.3%33.7%
IV Percentile33.8%2.4%88.9%20.6%82.5%
Term Structure0.1%-0.1%0.5%-0.1%0.2%
VWIV14.4%11.7%19.9%13.5%16.5%
Skew 25d4.2%3.2%6.1%3.4%4.7%
Skew 10d8.4%6.1%12.2%7.0%9.3%
Call IV 25d11.3%9.7%14.5%10.9%13.5%
Put IV 25d15.5%12.9%20.3%14.3%18.3%
Bid-Ask Spread %2.221.782.621.782.47
Gamma HHI0.060.040.110.080.06
Net GEX-100.2M-1.88B625.9M452.8M-1.88B
Net DEX-4.09B-10.54B8.74B-6.86B8.74B
Net VEX-69.5M-88.7M-59.1M-64.7M-88.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.421.236.932.042.68
Total Volume454,369.619274,776838,593341,768463,213
Total OI4,992,1714,098,6165,759,1225,075,5365,410,442

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-06-01$164.06$158.0012.2%3.5%9.4%13.3%13.5%3.4%-0.1%452.8M-6.86B-64.7M2.041.78112,449229,3191,349,0323,726,504
2018-06-04$164.40$160.0011.9%3.5%8.6%11.2%13.6%3.6%0.2%238.9M-7.07B-61.6M2.642.1275,580199,1961,321,9143,602,627
2018-06-05$165.53$161.0011.6%3.4%8.4%9.3%13.2%3.5%0.2%503.4M-8.91B-60.2M1.752.62123,881217,3721,342,1823,637,964
2018-06-06$166.70$162.0011.4%3.3%8.6%8.3%12.5%3.6%0.2%615.3M-10.54B-59.7M1.232.55205,533252,9041,369,1823,718,557
2018-06-07$166.36$162.0011.4%3.4%8.6%8.0%12.8%3.6%0.1%495.7M-9.64B-61.6M1.592.27143,275228,4931,415,6123,829,339
2018-06-08$166.55$162.0011.3%3.3%8.6%7.7%14.1%3.5%0.1%592.0M-10.02B-60.1M2.962.23108,979322,6901,440,7323,872,139
2018-06-11$166.89$163.0010.9%3.2%8.6%5.0%12.9%3.5%0.3%421.5M-9.59B-59.1M1.972.23117,782232,1601,420,0893,867,362
2018-06-12$167.27$163.0010.8%3.2%8.4%4.4%12.5%3.3%0.5%503.4M-9.95B-62.7M1.882.06153,838288,9631,456,3633,929,284
2018-06-13$166.97$164.0010.9%3.2%8.4%5.4%12.6%3.4%0.3%307.3M-8.93B-63.9M1.602.53195,510313,0501,478,4934,032,616
2018-06-14$167.68$165.0010.8%3.1%7.9%4.8%12.0%3.2%0.0%578.5M-10.19B-65.1M2.092.08128,029267,8581,580,6394,119,453
2018-06-15$167.68$165.0011.2%3.2%7.8%6.8%11.7%3.4%0.1%625.9M-9.93B-65.8M1.602.11172,316276,4701,603,7394,155,383
2018-06-18$168.46$165.0011.7%3.4%7.9%9.9%12.7%3.8%0.1%52.1M-3.92B-66.3M2.462.25129,635318,6021,118,1482,980,468
2018-06-19$168.67$165.0012.5%3.6%7.9%14.8%14.2%4.4%0.0%-5.6M-3.45B-69.4M2.731.98104,416285,3181,161,7533,071,358
2018-06-20$170.17$165.0012.4%3.6%7.8%14.6%13.8%4.2%-0.0%362.3M-5.83B-65.4M1.671.88209,615350,5111,178,0943,112,304
2018-06-21$167.92$166.5014.3%4.1%9.6%26.4%15.7%5.1%-0.0%-433.2M-1.18B-75.4M1.622.19194,812314,7301,244,7363,211,099
2018-06-22$167.49$168.0013.7%3.9%9.7%22.7%15.4%5.1%0.1%-758.1M-144.1M-75.4M2.212.11141,719313,0291,300,5743,346,367
2018-06-25$165.21$168.0016.3%4.7%11.1%38.4%17.8%6.1%0.0%-1.06B4.69B-82.3M2.622.52176,486462,7771,234,8133,380,129
2018-06-26$166.36$168.0014.8%4.2%11.3%29.1%17.5%5.7%0.2%-856.3M2.33B-82.0M3.222.0285,395275,3751,313,7203,505,832
2018-06-27$164.09$168.0016.5%4.7%11.4%39.8%17.7%6.0%0.1%-1.31B6.78B-83.4M3.352.28117,551394,3381,329,7533,581,932
2018-06-28$163.85$167.5016.6%4.7%11.0%40.3%19.9%5.5%0.2%-1.55B7.77B-87.1M6.932.34105,765732,8281,375,2293,709,635
2018-06-29$163.70$167.5015.5%4.4%10.6%33.7%16.5%4.7%0.2%-1.88B8.74B-88.7M2.682.47125,889337,3241,390,1254,020,317