IWM Options History — November 2018

In November 2018, IWM traded between $146.53 and $157.15. ATM implied volatility averaged 21.1%, placing in the 57.2% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded below realized volatility by 1.6% (HV 20d: 22.6%). Max pain ranged from $155.00 to $158.50. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 1.66.

Notable Days

2018-11-09: Highest Volume — 664,672 contracts
2018-11-07: Largest IV drop — 16.8% change
2018-11-20: Highest IV Rank — 71.8%
2018-11-01: Largest Expected Move — 6.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$151.72	$146.53	$157.15	$153.50	$152.71
Max Pain	$157.07	$155.00	$158.50	$158.50	$155.00
ATM IV	21.1%	17.9%	23.7%	21.9%	19.4%
Expected Move	6.2%	5.3%	6.8%	6.8%	6.2%
HV 20d	22.6%	19.3%	24.8%	24.8%	19.3%
HV 60d	17.6%	16.8%	19.1%	16.8%	19.1%
IV Rank	57.2%	39.8%	71.8%	61.7%	47.7%
IV Percentile	91.5%	83.7%	97.2%	95.2%	83.7%
Term Structure	-0.2%	-0.9%	0.3%	0.1%	0.2%
VWIV	22.4%	19.7%	26.7%	25.0%	21.6%
Skew 25d	5.1%	3.9%	6.1%	5.9%	3.9%
Skew 10d	10.0%	7.6%	12.4%	11.6%	7.6%
Call IV 25d	18.7%	15.6%	21.1%	19.1%	17.4%
Put IV 25d	23.8%	20.5%	26.6%	25.0%	21.4%
Bid-Ask Spread %	2.35	1.97	3.47	2.08	2.63
Gamma HHI	0.05	0.03	0.07	0.04	0.04
Net GEX	-707.7M	-1.20B	-189.9M	-554.2M	-319.4M
Net DEX	10.81B	3.13B	17.37B	10.13B	6.13B
Net VEX	-71.6M	-84.0M	-61.6M	-83.9M	-64.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.66	0.98	2.65	1.11	1.36
Total Volume	418,377.095	263,611	664,672	422,221	405,582
Total OI	5,417,014.048	4,562,781	6,077,080	6,013,819	4,851,785

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
2018-11-01	$153.50	$158.50	21.9%	6.8%	24.8%	61.7%	25.0%	5.9%	0.1%	-554.2M	10.13B	-83.9M	1.11	2.08	199,735	222,486	2,450,680	3,563,139
2018-11-02	$153.82	$158.00	21.7%	6.8%	24.8%	60.5%	26.7%	5.8%	0.2%	-558.8M	9.68B	-84.0M	2.11	2.05	198,011	418,023	2,465,792	3,611,288
2018-11-05	$153.67	$158.00	22.1%	6.2%	24.7%	62.9%	22.9%	6.1%	-0.1%	-650.1M	10.25B	-81.3M	1.49	2.12	140,725	210,153	2,322,861	3,396,571
2018-11-06	$154.24	$158.00	21.7%	6.2%	24.8%	60.4%	22.1%	6.0%	-0.0%	-602.2M	9.16B	-81.0M	1.67	2.25	131,388	219,684	2,365,141	3,427,498
2018-11-07	$157.15	$158.00	18.0%	5.3%	23.9%	40.4%	20.5%	4.8%	0.3%	-189.9M	3.13B	-77.6M	1.05	2.23	232,558	243,154	2,411,251	3,482,628
2018-11-08	$156.55	$158.00	17.9%	5.3%	23.1%	39.8%	19.7%	5.0%	0.3%	-321.0M	4.61B	-77.5M	1.39	1.97	153,205	212,753	2,466,540	3,555,130
2018-11-09	$154.39	$158.00	19.4%	5.8%	23.6%	48.2%	22.8%	5.6%	0.3%	-784.0M	9.65B	-77.2M	2.65	2.19	182,185	482,487	2,496,188	3,576,676
2018-11-12	$151.59	$158.00	22.0%	6.3%	24.2%	62.3%	22.4%	6.0%	-0.2%	-1.05B	15.06B	-74.7M	1.47	2.28	162,371	238,532	2,350,057	3,515,130
2018-11-13	$150.70	$158.00	22.3%	6.4%	22.5%	63.8%	22.6%	5.8%	-0.0%	-1.12B	16.45B	-72.0M	1.60	2.39	117,564	188,189	2,372,809	3,485,147
2018-11-14	$150.06	$158.00	22.4%	6.4%	22.5%	64.4%	22.1%	5.6%	0.0%	-1.20B	17.37B	-70.3M	1.86	2.35	174,811	324,833	2,401,055	3,476,874
2018-11-15	$151.43	$158.00	21.7%	6.3%	22.1%	60.8%	21.4%	5.4%	0.3%	-1.02B	13.75B	-69.6M	0.98	2.65	262,065	257,022	2,456,584	3,445,789
2018-11-16	$152.22	$158.00	20.5%	5.9%	21.8%	53.9%	19.9%	5.1%	0.3%	-612.8M	12.38B	-69.5M	1.63	2.22	177,134	289,302	2,546,880	3,439,601
2018-11-19	$148.83	$157.00	21.8%	6.2%	23.2%	60.9%	21.1%	5.3%	-0.8%	-889.7M	12.53B	-67.0M	1.92	2.58	163,861	314,709	1,853,677	2,782,800
2018-11-20	$146.53	$156.00	23.7%	6.8%	23.6%	71.8%	23.5%	5.5%	-0.9%	-1.03B	15.38B	-65.6M	1.59	2.78	195,381	310,268	1,904,208	2,848,944
2018-11-21	$148.18	$156.00	22.0%	6.3%	21.8%	62.0%	22.2%	4.8%	-0.8%	-938.6M	12.95B	-65.9M	2.43	2.52	116,767	283,597	1,967,891	2,864,393
2018-11-23	$147.89	$156.00	22.1%	6.4%	21.4%	62.8%	23.6%	4.7%	-0.8%	-998.9M	13.09B	-65.5M	2.38	3.47	80,643	192,092	2,008,422	2,892,680
2018-11-26	$149.87	$156.00	21.0%	6.3%	21.4%	56.7%	21.6%	4.3%	-0.5%	-608.6M	9.98B	-63.4M	1.32	2.00	121,288	159,995	1,905,126	2,657,655
2018-11-27	$148.55	$156.00	20.9%	6.3%	21.0%	56.2%	22.6%	4.1%	-0.7%	-730.6M	11.59B	-61.6M	1.60	2.14	101,209	162,402	1,945,849	2,698,668
2018-11-28	$152.14	$155.00	20.3%	6.3%	20.5%	53.1%	22.6%	4.1%	-0.5%	-352.0M	6.84B	-65.1M	1.29	2.31	202,475	261,690	1,982,537	2,726,120
2018-11-29	$152.03	$155.00	20.0%	6.2%	20.4%	51.2%	23.1%	4.3%	-0.6%	-334.6M	6.81B	-65.4M	1.93	2.15	94,201	181,389	2,026,816	2,758,415
2018-11-30	$152.71	$155.00	19.4%	6.2%	19.3%	47.7%	21.6%	3.9%	0.2%	-319.4M	6.13B	-64.8M	1.36	2.63	171,533	234,049	2,042,531	2,809,254