IWM Options History — July 2018

In July 2018, IWM traded between $164.38 and $169.13. ATM implied volatility averaged 13.3%, placing in the 20.1% IV rank vs the trailing year. The 30-day expected move averaged 3.9%. IV traded above realized volatility by 2.2% (HV 20d: 11.1%). Max pain ranged from $165.00 to $168.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 2.50.

Notable Days

2018-07-27: Highest Volume — 610,077 contracts
2018-07-27: Largest IV spike — 15.5% change
2018-07-02: Highest IV Rank — 34.3%
2018-07-02: Largest Expected Move — 4.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$167.20	$164.38	$169.13	$164.48	$166.08
Max Pain	$166.86	$165.00	$168.00	$167.00	$168.00
ATM IV	13.3%	11.8%	15.6%	15.6%	14.0%
Expected Move	3.9%	3.4%	4.5%	4.5%	4.1%
HV 20d	11.1%	8.8%	11.9%	10.7%	11.9%
HV 60d	10.1%	9.6%	10.7%	10.6%	10.5%
IV Rank	20.1%	10.8%	34.3%	34.3%	24.0%
IV Percentile	46.8%	15.5%	83.3%	83.3%	63.1%
Term Structure	0.2%	-0.3%	0.5%	0.1%	-0.2%
VWIV	15.0%	13.1%	17.6%	17.0%	16.2%
Skew 25d	4.4%	3.6%	5.2%	5.1%	4.9%
Skew 10d	8.7%	6.8%	9.9%	9.7%	9.8%
Call IV 25d	11.5%	10.3%	13.7%	13.7%	11.9%
Put IV 25d	15.9%	14.0%	18.9%	18.9%	16.8%
Bid-Ask Spread %	1.67	1.42	2.14	1.82	1.61
Gamma HHI	0.05	0.04	0.10	0.05	0.05
Net GEX	-1.03B	-2.18B	-181.2M	-1.57B	-1.46B
Net DEX	1.07B	-4.00B	8.19B	6.81B	4.54B
Net VEX	-78.6M	-86.6M	-72.6M	-86.0M	-78.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.50	1.85	3.37	2.43	2.05
Total Volume	419,636.381	286,775	610,077	487,652	481,618
Total OI	5,299,384.048	4,669,772	5,951,100	5,006,051	5,035,263

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
2018-07-02	$164.48	$167.00	15.6%	4.5%	10.7%	34.3%	17.0%	5.1%	0.1%	-1.57B	6.81B	-86.0M	2.43	1.82	142,183	345,469	1,264,185	3,741,866
2018-07-03	$164.96	$166.00	15.6%	4.5%	10.5%	34.2%	16.1%	5.2%	0.1%	-1.31B	4.78B	-86.6M	2.28	2.14	87,549	199,226	1,316,131	3,820,376
2018-07-05	$166.40	$165.00	14.8%	4.4%	10.7%	29.1%	17.1%	5.0%	0.1%	-940.6M	1.54B	-81.4M	3.20	1.85	79,307	253,453	1,329,782	3,843,092
2018-07-06	$167.99	$165.00	13.4%	3.9%	11.1%	20.4%	15.8%	4.4%	0.3%	-525.5M	-1.92B	-77.5M	2.10	1.52	151,493	318,318	1,359,195	3,936,876
2018-07-09	$169.13	$165.00	12.8%	3.8%	11.4%	17.1%	15.7%	4.2%	0.3%	-181.2M	-4.00B	-72.6M	3.31	1.42	128,130	423,656	1,334,093	3,814,951
2018-07-10	$168.24	$165.00	13.5%	4.0%	11.6%	21.0%	15.1%	4.2%	0.3%	-580.4M	-1.79B	-77.5M	2.09	1.54	171,020	357,468	1,373,151	3,927,668
2018-07-11	$167.37	$167.00	13.6%	4.0%	11.7%	21.8%	14.8%	4.5%	0.5%	-963.4M	635.4M	-80.8M	2.14	1.68	145,110	310,600	1,429,902	4,079,207
2018-07-12	$167.88	$167.00	13.3%	3.9%	11.7%	19.9%	15.6%	4.2%	0.3%	-795.5M	-395.5M	-82.5M	2.19	1.54	122,556	267,799	1,480,597	4,204,517
2018-07-13	$167.57	$167.00	12.7%	3.6%	11.6%	16.2%	13.4%	4.0%	0.1%	-950.0M	-102.8M	-79.6M	1.85	1.66	109,012	201,314	1,497,566	4,219,433
2018-07-16	$166.60	$167.00	13.0%	3.7%	11.8%	18.2%	14.7%	4.2%	0.3%	-1.33B	2.38B	-79.9M	2.54	1.48	90,798	231,031	1,441,756	4,154,906
2018-07-17	$167.64	$167.00	12.0%	3.5%	11.9%	12.1%	13.4%	3.8%	0.4%	-860.3M	-810.2M	-74.2M	3.37	1.72	98,051	330,272	1,457,346	4,211,282
2018-07-18	$167.95	$167.00	11.8%	3.4%	11.9%	10.8%	13.2%	3.6%	0.2%	-734.5M	-1.48B	-73.8M	2.64	1.43	83,467	220,520	1,465,940	4,284,811
2018-07-19	$168.97	$167.00	12.2%	3.5%	11.7%	12.9%	14.4%	3.8%	0.1%	-314.2M	-3.19B	-76.1M	2.25	1.54	143,279	322,988	1,484,358	4,346,792
2018-07-20	$168.86	$167.00	11.8%	3.4%	10.7%	11.0%	14.2%	3.8%	0.2%	-785.8M	-2.99B	-74.9M	3.07	1.94	105,909	325,579	1,495,639	4,455,461
2018-07-23	$168.69	$167.00	12.3%	3.5%	10.6%	14.1%	13.7%	4.0%	0.2%	-827.7M	-868.4M	-74.5M	3.01	1.61	72,703	218,678	1,163,461	3,506,311
2018-07-24	$166.81	$168.00	13.4%	3.9%	10.2%	20.8%	14.3%	4.5%	0.1%	-1.38B	3.06B	-78.4M	2.06	1.55	183,154	376,733	1,193,760	3,590,072
2018-07-25	$167.30	$168.00	12.7%	3.6%	10.0%	16.0%	13.2%	4.3%	0.1%	-1.35B	2.24B	-78.6M	2.62	1.63	97,177	254,932	1,246,986	3,712,263
2018-07-26	$168.53	$168.00	12.3%	3.5%	8.8%	13.7%	13.1%	4.3%	0.2%	-864.7M	-703.7M	-75.1M	2.05	1.64	113,730	232,618	1,250,669	3,775,654
2018-07-27	$165.44	$168.00	14.2%	4.1%	11.2%	25.4%	16.0%	4.8%	-0.0%	-2.18B	6.62B	-81.1M	1.96	2.05	206,310	403,767	1,274,874	3,834,444
2018-07-30	$164.38	$168.00	14.9%	4.4%	11.5%	30.1%	17.6%	5.2%	-0.3%	-1.72B	8.19B	-80.2M	3.31	1.60	94,077	311,310	1,208,364	3,724,065
2018-07-31	$166.08	$168.00	14.0%	4.1%	11.9%	24.0%	16.2%	4.9%	-0.2%	-1.46B	4.54B	-78.5M	2.05	1.61	157,663	323,955	1,245,459	3,789,804