IWM Options History — October 2018

In October 2018, IWM traded between $145.48 and $165.88. ATM implied volatility averaged 20.1%, placing in the 58.6% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 3.7% (HV 20d: 16.4%). Max pain ranged from $159.00 to $171.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 7 of 23 days. Put/call ratio averaged 1.54.

Notable Days

2018-10-11: Highest Volume — 1,180,343 contracts
2018-10-10: Largest IV spike — 21.8% change
2018-10-26: Highest IV Rank — 100.0%
2018-10-29: Largest Expected Move — 9.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$155.88	$145.48	$165.88	$165.86	$150.63
Max Pain	$165.00	$159.00	$171.00	$171.00	$159.00
ATM IV	20.1%	13.3%	28.8%	13.4%	23.8%
Expected Move	6.0%	3.8%	9.4%	3.9%	7.5%
HV 20d	16.4%	10.1%	23.7%	10.1%	23.7%
HV 60d	13.0%	10.4%	16.2%	10.4%	16.2%
IV Rank	58.6%	16.3%	100.0%	17.5%	72.4%
IV Percentile	90.5%	52.0%	100.0%	57.1%	97.6%
Term Structure	-0.2%	-1.3%	0.7%	0.6%	-0.2%
VWIV	21.2%	13.7%	31.4%	14.3%	27.3%
Skew 25d	5.4%	3.4%	7.3%	4.3%	6.2%
Skew 10d	10.8%	6.7%	14.3%	8.2%	12.1%
Call IV 25d	17.8%	11.9%	25.1%	11.9%	20.8%
Put IV 25d	23.2%	15.4%	32.5%	16.2%	27.0%
Bid-Ask Spread %	2.44	1.59	3.63	2.18	2.00
Gamma HHI	0.06	0.05	0.08	0.07	0.05
Net GEX	-1.29B	-1.75B	-807.2M	-1.67B	-807.2M
Net DEX	16.59B	8.03B	24.21B	9.39B	14.65B
Net VEX	-74.4M	-81.1M	-68.6M	-68.9M	-78.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.54	0.55	3.32	1.88	1.85
Total Volume	680,858.043	413,858	1,180,343	534,844	639,565
Total OI	5,131,005.043	3,938,722	5,995,489	3,938,722	5,735,986

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
2018-10-01	$165.86	$171.00	13.4%	3.9%	10.1%	17.5%	14.3%	4.3%	0.6%	-1.67B	9.39B	-68.9M	1.88	2.18	185,468	349,376	987,598	2,951,124
2018-10-02	$164.50	$171.00	14.2%	4.2%	10.3%	22.4%	14.8%	4.0%	0.5%	-1.72B	11.33B	-68.6M	1.49	1.80	307,318	457,740	1,089,626	3,017,817
2018-10-03	$165.88	$170.00	13.3%	3.8%	11.0%	16.3%	13.7%	3.4%	0.7%	-1.26B	8.03B	-69.7M	0.80	1.59	437,545	350,897	1,245,602	3,064,590
2018-10-04	$163.33	$170.00	15.1%	4.6%	11.9%	28.5%	16.8%	4.7%	0.7%	-1.62B	12.40B	-73.1M	1.39	2.82	342,244	475,392	1,473,095	3,101,166
2018-10-05	$162.03	$168.00	16.7%	4.9%	12.1%	38.3%	18.1%	5.0%	0.2%	-1.75B	14.77B	-75.3M	1.54	2.94	303,587	468,118	1,524,030	3,200,988
2018-10-08	$162.18	$168.00	16.5%	4.8%	12.0%	36.9%	16.8%	5.0%	0.1%	-1.51B	12.93B	-72.0M	1.22	2.45	207,236	251,868	1,467,693	3,105,115
2018-10-09	$161.33	$167.00	16.6%	4.8%	11.9%	37.6%	16.4%	5.0%	0.1%	-1.48B	13.50B	-71.0M	1.09	1.89	200,389	219,318	1,548,891	3,068,633
2018-10-10	$156.92	$167.00	20.2%	5.7%	14.8%	61.0%	20.2%	6.0%	-0.1%	-1.48B	19.80B	-70.2M	1.99	2.72	314,071	623,743	1,610,595	3,094,505
2018-10-11	$154.28	$165.00	22.8%	6.4%	15.4%	77.8%	22.2%	7.1%	-0.7%	-1.40B	22.46B	-70.0M	3.32	3.56	272,990	907,353	1,717,565	3,169,813
2018-10-12	$153.38	$165.00	21.1%	6.0%	14.8%	67.1%	20.9%	6.1%	-0.1%	-1.56B	24.21B	-71.3M	1.58	3.63	295,618	465,870	1,858,898	3,424,694
2018-10-15	$154.92	$165.00	20.0%	5.7%	15.6%	59.6%	20.3%	5.4%	-0.9%	-1.48B	19.78B	-73.5M	0.55	2.43	502,409	277,973	1,844,489	3,371,925
2018-10-16	$158.56	$165.00	17.8%	5.1%	18.1%	45.3%	18.4%	4.5%	-0.4%	-1.15B	12.10B	-79.7M	0.92	2.09	372,314	342,231	2,175,621	3,395,491
2018-10-17	$157.94	$165.00	18.6%	5.3%	18.1%	50.8%	19.1%	4.6%	-0.7%	-1.08B	12.81B	-81.0M	0.84	2.48	304,677	256,379	2,363,117	3,511,395
2018-10-18	$155.23	$165.00	20.7%	6.0%	18.0%	64.1%	21.4%	5.0%	-1.0%	-1.25B	18.15B	-81.1M	2.15	2.78	154,580	332,831	2,368,927	3,537,215
2018-10-19	$153.28	$165.00	21.4%	6.2%	18.2%	68.7%	20.9%	4.9%	-1.3%	-1.28B	21.90B	-78.4M	1.52	2.58	278,754	422,786	2,408,179	3,587,310
2018-10-22	$153.28	$164.00	20.7%	6.2%	18.3%	64.0%	21.3%	5.1%	-0.1%	-982.0M	15.32B	-76.8M	1.16	1.97	220,669	255,742	1,951,048	3,086,747
2018-10-23	$152.13	$163.00	21.4%	6.5%	18.0%	68.6%	22.5%	5.5%	-0.1%	-1.07B	16.91B	-75.8M	1.40	2.36	284,728	398,065	2,044,992	3,142,728
2018-10-24	$147.78	$162.00	23.5%	7.2%	19.8%	82.2%	26.3%	6.3%	-0.3%	-1.12B	22.05B	-70.6M	3.17	2.45	211,549	669,718	2,155,815	3,164,966
2018-10-25	$149.39	$161.00	23.6%	7.3%	20.7%	82.9%	25.1%	5.6%	-0.4%	-1.13B	19.36B	-76.1M	1.85	2.19	239,904	442,739	2,228,734	3,347,092
2018-10-26	$147.46	$160.00	26.8%	8.4%	20.6%	100.0%	29.4%	6.6%	-0.7%	-1.10B	21.33B	-76.5M	1.59	2.57	302,449	479,536	2,328,151	3,377,878
2018-10-29	$145.48	$160.00	28.8%	9.4%	20.5%	100.0%	30.6%	7.3%	-0.7%	-957.6M	22.19B	-73.8M	0.82	2.20	230,696	189,442	2,205,087	3,346,763
2018-10-30	$149.48	$159.00	26.2%	8.5%	23.7%	85.5%	31.4%	7.1%	-0.4%	-828.1M	16.30B	-79.0M	1.24	2.41	185,010	228,848	2,295,694	3,315,728
2018-10-31	$150.63	$159.00	23.8%	7.5%	23.7%	72.4%	27.3%	6.2%	-0.2%	-807.2M	14.65B	-78.3M	1.85	2.00	224,204	415,361	2,364,396	3,371,590