IWM Options History — September 2018

In September 2018, IWM traded between $167.90 and $172.28. ATM implied volatility averaged 12.1%, placing in the 11.7% IV rank vs the trailing year. The 30-day expected move averaged 3.5%. IV traded above realized volatility by 3.3% (HV 20d: 8.8%). Max pain ranged from $167.00 to $172.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 17 of 19 days. Put/call ratio averaged 2.52.

Notable Days

  • 2018-09-24: Highest Volume — 462,413 contracts
  • 2018-09-17: Largest IV spike — 12.8% change
  • 2018-09-07: Highest IV Rank — 19.0%
  • 2018-09-07: Largest Expected Move — 3.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$170.31$167.90$172.28$172.28$168.33
Max Pain$170.42$167.00$172.00$168.00$172.00
ATM IV12.1%11.2%13.2%12.4%12.0%
Expected Move3.5%3.2%3.8%3.5%3.4%
HV 20d8.8%7.1%9.8%9.2%9.2%
HV 60d10.4%10.0%10.7%10.6%10.1%
IV Rank11.7%5.7%19.0%14.6%8.2%
IV Percentile25.9%5.6%50.0%34.1%20.2%
Term Structure0.2%-0.2%0.6%0.1%0.2%
VWIV13.2%12.2%15.0%13.6%12.6%
Skew 25d3.9%3.4%4.5%3.8%3.7%
Skew 10d7.5%6.6%9.2%7.4%7.1%
Call IV 25d10.7%9.8%11.5%11.3%10.5%
Put IV 25d14.6%13.3%15.7%15.0%14.2%
Bid-Ask Spread %2.051.652.901.761.97
Gamma HHI0.050.040.070.040.07
Net GEX-913.0M-1.60B-239.4M-239.4M-1.37B
Net DEX-163.9M-4.86B6.97B-4.86B5.90B
Net VEX-62.9M-67.5M-59.2M-62.5M-65.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.521.374.072.171.87
Total Volume351,870.737235,711462,413331,967341,516
Total OI4,774,4573,907,4615,436,6274,765,6794,325,218

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-09-04$172.28$168.0012.4%3.5%9.2%14.6%13.6%3.8%0.1%-239.4M-4.86B-62.5M2.171.76104,597227,3701,253,6073,512,072
2018-09-05$171.95$167.0012.4%3.4%9.3%14.1%14.2%3.9%0.1%-327.8M-4.10B-63.5M3.191.65102,078325,9121,260,4893,553,128
2018-09-06$170.84$170.0012.8%3.8%9.7%17.2%14.0%4.2%0.1%-724.2M-1.66B-65.6M2.142.13111,710239,4961,273,5153,575,077
2018-09-07$170.25$170.0013.2%3.8%9.8%19.0%14.7%4.2%0.1%-1.14B-510.3M-66.8M2.502.1581,328203,2611,310,2583,610,025
2018-09-10$170.87$170.0012.6%3.7%9.8%15.5%15.0%4.2%0.2%-641.2M-2.28B-62.3M2.492.0267,556168,1551,255,7503,537,496
2018-09-11$171.04$170.0012.2%3.6%9.4%13.0%13.6%4.0%0.2%-718.2M-2.36B-62.4M2.762.0284,403233,3091,269,2433,569,440
2018-09-12$170.94$170.0011.8%3.5%9.0%10.9%13.1%3.9%0.3%-662.8M-2.62B-61.5M3.232.1793,146300,9761,301,6393,611,649
2018-09-13$170.34$170.0011.9%3.5%7.4%11.5%12.3%3.7%0.5%-867.7M-1.58B-61.1M1.901.94123,016233,7661,327,2523,665,958
2018-09-14$171.48$170.0011.2%3.3%7.1%6.7%12.4%3.5%0.6%-333.0M-4.09B-59.2M2.141.9288,465189,4081,354,8913,714,306
2018-09-17$169.45$170.0012.6%3.6%8.4%15.6%12.2%4.0%-0.2%-1.07B604.7M-60.7M1.372.28181,274249,1091,295,9073,648,600
2018-09-18$170.52$171.0011.5%3.3%8.5%8.7%13.7%3.9%0.4%-810.7M-1.76B-59.6M2.631.8775,950199,7721,362,9423,758,911
2018-09-19$169.42$171.0012.2%3.5%7.7%13.0%13.7%4.5%-0.1%-1.29B1.75B-62.3M3.191.9798,025313,0461,368,6233,807,788
2018-09-20$171.10$171.0011.2%3.2%8.5%6.9%12.3%3.4%0.2%-789.1M-2.88B-60.7M2.752.0394,719260,9241,392,6863,930,816
2018-09-21$170.52$171.0011.2%3.2%8.6%7.2%12.6%3.4%0.4%-1.16B-1.10B-62.1M2.041.96112,519229,8321,401,0464,035,581
2018-09-24$169.73$171.0012.2%3.5%8.5%13.4%13.1%3.9%0.1%-1.19B3.51B-63.0M2.681.90125,698336,715959,8702,947,591
2018-09-25$170.34$172.0011.6%3.3%8.6%5.7%12.5%3.7%0.2%-993.2M2.22B-62.2M4.072.1487,839357,3571,017,6433,027,699
2018-09-26$168.59$172.0012.4%3.6%9.2%10.9%13.0%3.8%0.1%-1.42B5.72B-65.4M2.962.9083,270246,7731,028,8333,165,612
2018-09-27$167.90$172.0012.4%3.6%9.1%11.1%12.9%3.8%0.2%-1.60B6.97B-67.5M1.752.21113,773199,4811,052,6093,230,913
2018-09-28$168.33$172.0012.0%3.4%9.2%8.2%12.6%3.7%0.2%-1.37B5.90B-65.8M1.871.97118,988222,5281,088,6153,236,603