IWM Options History — August 2018

In August 2018, IWM traded between $165.85 and $172.93. ATM implied volatility averaged 11.9%, placing in the 11.2% IV rank vs the trailing year. The 30-day expected move averaged 3.4%. IV traded above realized volatility by 0.7% (HV 20d: 11.2%). Max pain ranged from $165.00 to $168.00. Net GEX was positive for 4 of 23 trading days. Term structure was in contango for 20 of 23 days. Put/call ratio averaged 2.51.

Notable Days

2018-08-21: Highest Volume — 631,185 contracts
2018-08-15: Largest IV spike — 16.2% change
2018-08-01: Highest IV Rank — 23.5%
2018-08-01: Largest Expected Move — 4.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$169.13	$165.85	$172.93	$165.85	$172.93
Max Pain	$165.96	$165.00	$168.00	$168.00	$167.50
ATM IV	11.9%	10.7%	13.9%	13.9%	11.9%
Expected Move	3.4%	3.2%	4.1%	4.1%	3.3%
HV 20d	11.2%	9.2%	12.7%	11.9%	9.2%
HV 60d	10.6%	10.3%	11.2%	10.4%	10.5%
IV Rank	11.2%	4.1%	23.5%	23.5%	11.3%
IV Percentile	19.7%	2.4%	61.1%	61.1%	20.6%
Term Structure	0.2%	-0.2%	0.6%	-0.2%	0.1%
VWIV	13.4%	11.8%	16.4%	16.2%	12.5%
Skew 25d	3.8%	3.0%	5.1%	4.8%	3.4%
Skew 10d	7.8%	6.0%	10.7%	9.5%	8.7%
Call IV 25d	10.5%	9.5%	12.0%	12.0%	10.9%
Put IV 25d	14.3%	12.7%	16.8%	16.8%	14.3%
Bid-Ask Spread %	1.85	1.41	4.46	1.79	1.83
Gamma HHI	0.04	0.03	0.06	0.05	0.04
Net GEX	-618.2M	-1.67B	89.3M	-1.50B	42.5M
Net DEX	-1.55B	-6.68B	4.83B	4.83B	-6.68B
Net VEX	-68.5M	-77.6M	-62.6M	-77.6M	-63.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.51	1.44	3.54	3.54	2.66
Total Volume	376,580.87	260,847	631,185	405,905	260,847
Total OI	4,998,764.087	4,238,252	5,571,972	5,065,501	4,958,902

Daily Data (23 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
2018-08-01	$165.85	$168.00	13.9%	4.1%	11.9%	23.5%	16.2%	4.8%	-0.2%	-1.50B	4.83B	-77.6M	3.54	1.79	89,466	316,439	1,281,955	3,783,546
2018-08-02	$166.93	$168.00	12.7%	3.6%	11.7%	16.1%	14.0%	4.4%	-0.1%	-1.47B	2.57B	-75.8M	2.40	1.60	118,115	283,032	1,301,453	3,917,627
2018-08-03	$166.24	$167.50	12.7%	3.6%	11.3%	16.0%	12.8%	4.2%	-0.0%	-1.67B	3.97B	-76.5M	1.46	1.65	132,222	193,110	1,307,880	3,912,943
2018-08-06	$167.22	$165.00	12.0%	3.6%	11.2%	12.1%	14.4%	3.9%	0.3%	-1.03B	659.3M	-71.0M	2.87	2.02	74,048	212,295	1,275,645	3,808,818
2018-08-07	$167.77	$165.00	11.1%	3.4%	11.1%	6.1%	12.2%	3.4%	0.4%	-788.5M	-825.4M	-69.8M	2.01	4.46	103,344	207,428	1,295,843	3,873,218
2018-08-08	$167.85	$165.00	10.7%	3.3%	11.0%	4.1%	13.6%	3.2%	0.5%	-730.0M	-1.20B	-67.4M	3.22	1.84	118,962	382,554	1,332,015	3,884,179
2018-08-09	$168.23	$165.00	10.9%	3.3%	11.0%	5.2%	13.9%	3.2%	0.4%	-442.0M	-1.19B	-71.4M	2.87	1.87	78,550	225,502	1,374,017	3,954,339
2018-08-10	$167.86	$165.00	11.5%	3.5%	11.0%	8.9%	13.4%	3.7%	0.4%	-742.6M	-312.9M	-71.2M	3.17	2.36	95,882	304,319	1,375,546	3,985,485
2018-08-13	$166.75	$165.00	12.4%	3.6%	11.0%	14.7%	14.2%	4.3%	0.1%	-1.27B	2.38B	-70.9M	3.04	1.70	100,788	306,878	1,335,949	3,936,862
2018-08-14	$168.24	$165.00	11.6%	3.4%	11.3%	9.6%	12.1%	4.1%	0.3%	-616.4M	-1.23B	-67.4M	2.27	1.60	98,852	224,293	1,343,851	3,961,806
2018-08-15	$166.00	$165.00	13.5%	3.9%	12.2%	21.2%	16.4%	5.1%	0.2%	-1.62B	4.52B	-74.3M	3.15	1.61	112,517	354,254	1,365,684	4,022,729
2018-08-16	$167.57	$165.00	12.2%	3.5%	12.5%	13.4%	14.7%	4.3%	0.1%	-815.3M	584.5M	-69.8M	3.32	1.41	92,555	307,579	1,384,880	4,060,847
2018-08-17	$168.27	$165.00	11.5%	3.4%	12.6%	9.0%	13.5%	4.0%	0.6%	-430.4M	-1.03B	-67.9M	2.16	1.59	119,698	258,469	1,400,863	4,171,109
2018-08-20	$168.93	$165.00	11.7%	3.4%	12.7%	10.0%	13.7%	4.0%	0.3%	-380.9M	-1.63B	-66.0M	2.66	1.53	95,972	255,115	1,102,446	3,135,806
2018-08-21	$170.94	$165.00	11.4%	3.3%	12.6%	8.3%	12.7%	3.3%	0.4%	10.5M	-4.91B	-63.0M	2.29	1.58	191,751	439,434	1,141,401	3,190,131
2018-08-22	$171.33	$166.00	11.3%	3.2%	12.6%	7.8%	13.1%	3.2%	0.6%	51.6M	-5.36B	-63.9M	2.00	1.84	143,664	287,218	1,211,577	3,300,377
2018-08-23	$170.86	$166.00	11.5%	3.3%	12.5%	8.7%	13.7%	3.5%	0.4%	-152.7M	-4.18B	-65.8M	1.86	1.68	107,199	199,618	1,225,614	3,403,062
2018-08-24	$171.74	$166.00	11.2%	3.2%	10.3%	7.0%	11.8%	3.0%	0.3%	89.3M	-5.67B	-65.7M	1.44	1.62	136,781	197,148	1,237,963	3,446,650
2018-08-27	$171.72	$167.00	11.8%	3.3%	9.8%	10.7%	12.3%	3.2%	0.3%	-175.5M	-5.19B	-62.6M	1.48	1.64	187,362	277,811	1,202,679	3,386,558
2018-08-28	$171.99	$167.00	11.8%	3.3%	9.4%	10.7%	12.2%	3.2%	0.1%	-173.0M	-4.74B	-65.1M	2.77	1.56	94,529	261,421	1,252,588	3,475,032
2018-08-29	$172.72	$167.00	11.7%	3.3%	9.3%	9.9%	12.4%	3.4%	0.3%	-109.0M	-6.15B	-63.8M	2.49	1.70	83,399	207,255	1,277,422	3,503,801
2018-08-30	$172.16	$167.00	12.4%	3.4%	9.4%	14.2%	12.5%	3.3%	0.1%	-282.2M	-4.89B	-64.8M	2.58	2.05	90,309	233,376	1,294,601	3,575,875
2018-08-31	$172.93	$167.50	11.9%	3.3%	9.2%	11.3%	12.5%	3.4%	0.1%	42.5M	-6.68B	-63.2M	2.66	1.83	71,184	189,663	1,306,703	3,652,199