IWM Options History — December 2018

In December 2018, IWM traded between $126.53 and $154.02. ATM implied volatility averaged 25.6%, placing in the 77.0% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded above realized volatility by 0.1% (HV 20d: 25.4%). Max pain ranged from $141.00 to $156.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 1.43.

Notable Days

  • 2018-12-19: Highest Volume — 740,048 contracts
  • 2018-12-04: Largest IV spike — 23.8% change
  • 2018-12-21: Highest IV Rank — 100.0%
  • 2018-12-24: Largest Expected Move — 9.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$139.05$126.53$154.02$154.02$133.74
Max Pain$151.25$141.00$156.00$155.00$141.00
ATM IV25.6%17.5%32.9%17.5%27.4%
Expected Move7.6%5.6%9.8%5.6%8.3%
HV 20d25.4%19.5%30.6%19.5%29.4%
HV 60d22.2%19.3%24.8%19.3%24.8%
IV Rank77.0%37.2%100.0%37.2%75.2%
IV Percentile96.0%76.6%100.0%76.6%97.2%
Term Structure-0.2%-0.7%0.4%0.2%-0.2%
VWIV26.7%20.0%34.3%20.0%29.6%
Skew 25d5.3%3.5%7.8%3.5%6.1%
Skew 10d10.3%6.6%14.4%6.6%11.5%
Call IV 25d23.2%15.9%29.0%15.9%24.3%
Put IV 25d28.5%19.4%36.8%19.4%30.4%
Bid-Ask Spread %3.132.254.302.952.25
Gamma HHI0.060.040.090.040.06
Net GEX-694.4M-973.2M-217.0M-217.0M-372.9M
Net DEX15.93B4.34B22.28B4.34B10.43B
Net VEX-52.9M-60.9M-43.9M-60.9M-49.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.430.661.981.151.81
Total Volume473,066.45195,688740,048351,146263,399
Total OI4,859,053.34,061,5595,629,2804,706,2414,284,468

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-12-03$154.02$155.0017.5%5.6%19.5%37.2%20.0%3.5%0.2%-217.0M4.34B-60.9M1.152.95163,537187,6091,960,4332,745,808
2018-12-04$147.44$155.0021.6%7.0%24.9%60.2%24.1%4.7%-0.0%-830.8M13.78B-60.0M1.702.83203,571345,4632,000,4212,783,102
2018-12-05$147.41$155.0022.0%7.3%24.9%62.1%25.1%4.8%-0.0%-826.0M13.74B-58.9M1.723.55215,424369,8452,000,4212,783,102
2018-12-06$146.85$156.0022.7%6.5%23.6%66.4%23.8%4.3%0.1%-924.5M14.91B-59.9M1.503.78193,437289,7022,030,4392,863,819
2018-12-07$146.12$156.0023.0%6.7%23.6%67.8%23.3%4.5%0.1%-905.1M15.54B-59.5M1.653.2573,847121,8412,091,4382,890,179
2018-12-10$143.69$156.0024.6%7.0%23.8%76.8%24.7%5.2%-0.2%-852.4M16.55B-56.1M1.442.49211,862305,9482,002,7432,763,267
2018-12-11$143.71$155.0023.5%6.7%23.2%70.8%23.5%4.9%-0.1%-833.5M16.43B-55.7M0.683.00270,273184,3492,107,3622,815,380
2018-12-12$145.42$155.0022.3%6.5%23.7%64.1%22.7%4.6%0.4%-680.3M14.51B-56.9M1.032.81182,354187,6762,210,8142,855,232
2018-12-13$142.89$155.0022.5%6.5%24.3%64.8%24.7%4.3%0.4%-872.1M17.68B-55.1M1.322.74165,254218,1882,290,3042,871,355
2018-12-14$140.11$155.0023.9%6.9%24.7%72.7%24.8%4.2%0.4%-973.2M20.89B-53.1M1.512.76167,275251,7682,332,6032,945,893
2018-12-17$136.33$155.0027.1%7.8%25.7%90.3%27.1%5.1%-0.7%-839.8M22.28B-49.1M1.253.69208,880260,8372,263,6622,869,213
2018-12-18$137.19$153.0026.5%7.6%25.3%86.9%25.7%4.9%-0.6%-809.3M19.50B-51.6M0.843.14325,049273,7602,396,6902,812,161
2018-12-19$133.67$150.0027.0%7.7%26.1%90.0%27.9%5.3%-0.3%-726.5M20.96B-48.2M1.934.23252,251487,7972,602,9392,744,159
2018-12-20$131.72$150.0028.5%8.2%25.7%98.4%28.3%5.6%-0.5%-749.5M20.69B-47.5M1.894.30230,618436,6882,729,5962,732,887
2018-12-21$128.58$147.0029.3%8.4%26.4%100.0%29.5%6.6%-0.5%-624.3M22.20B-44.9M1.983.19227,739450,6662,850,9102,778,370
2018-12-24$126.53$145.0032.9%9.8%25.5%100.0%34.3%7.8%-0.5%-544.4M17.03B-43.9M1.692.87148,629251,6401,731,5442,330,015
2018-12-26$131.58$145.0029.7%8.9%30.6%85.8%32.3%6.7%-0.7%-473.9M13.07B-48.3M1.852.77160,988298,3331,791,3242,349,136
2018-12-27$131.17$144.0030.4%9.2%28.5%89.1%31.2%7.1%-0.7%-452.6M12.94B-48.5M1.073.13185,544198,9301,848,7682,379,460
2018-12-28$132.81$142.0028.9%8.6%29.3%81.9%30.7%6.5%-0.4%-380.9M11.25B-50.7M0.662.79295,664194,6941,911,2122,430,437
2018-12-31$133.74$141.0027.4%8.3%29.4%75.2%29.6%6.1%-0.2%-372.9M10.43B-49.5M1.812.2593,596169,8031,872,4402,412,028