IWM Options History — January 2019

In January 2019, IWM traded between $132.86 and $148.67. ATM implied volatility averaged 20.8%, placing in the 45.7% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded below realized volatility by 4.1% (HV 20d: 24.9%). Max pain ranged from $140.00 to $145.00. Net GEX was positive for 6 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 1.78.

Notable Days

2019-01-04: Highest Volume — 611,454 contracts
2019-01-22: Largest IV spike — 12.5% change
2019-01-03: Highest IV Rank — 71.5%
2019-01-03: Largest Expected Move — 7.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$143.35	$132.86	$148.67	$134.06	$148.67
Max Pain	$142.29	$140.00	$145.00	$141.00	$145.00
ATM IV	20.8%	17.3%	26.6%	25.7%	17.3%
Expected Move	6.1%	5.0%	7.6%	7.6%	5.0%
HV 20d	24.9%	17.2%	30.4%	29.1%	17.5%
HV 60d	24.8%	23.5%	25.8%	24.8%	23.6%
IV Rank	45.7%	29.6%	71.5%	67.7%	29.6%
IV Percentile	77.7%	60.7%	95.6%	94.4%	60.7%
Term Structure	0.0%	-0.5%	0.5%	0.0%	0.2%
VWIV	22.3%	18.7%	27.8%	27.8%	18.7%
Skew 25d	5.1%	4.3%	5.9%	5.7%	4.3%
Skew 10d	10.2%	9.0%	11.9%	10.7%	9.0%
Call IV 25d	18.5%	15.2%	23.7%	23.0%	15.2%
Put IV 25d	23.6%	19.5%	29.6%	28.7%	19.5%
Bid-Ask Spread %	1.93	1.70	2.26	2.26	2.09
Gamma HHI	0.06	0.04	0.17	0.06	0.05
Net GEX	-115.9M	-419.2M	185.0M	-362.0M	76.8M
Net DEX	1.75B	-4.27B	10.01B	9.13B	-1.70B
Net VEX	-56.4M	-61.9M	-47.9M	-48.1M	-59.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.78	0.80	3.56	2.14	2.23
Total Volume	366,587.571	105,892	611,454	336,605	349,093
Total OI	3,944,204	3,420,906	4,707,800	3,652,099	3,874,380

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
2019-01-02	$134.06	$141.00	25.7%	7.6%	29.1%	67.7%	27.8%	5.7%	0.0%	-362.0M	9.13B	-48.1M	2.14	2.26	107,277	229,328	1,416,777	2,235,322
2019-01-03	$132.86	$140.00	26.6%	7.6%	25.7%	71.5%	25.9%	5.9%	-0.0%	-419.2M	10.01B	-47.9M	1.76	2.16	88,560	155,555	1,451,990	2,285,195
2019-01-04	$137.17	$140.00	23.8%	6.9%	28.8%	59.2%	25.9%	5.2%	0.3%	-19.7M	5.79B	-49.6M	0.96	2.03	312,083	299,371	1,484,424	2,292,807
2019-01-07	$139.74	$140.00	23.0%	6.6%	29.9%	55.5%	25.3%	5.1%	0.1%	-48.0M	3.47B	-51.3M	0.80	1.89	139,664	111,468	1,488,018	2,259,005
2019-01-08	$141.58	$140.00	22.4%	6.5%	30.4%	52.8%	23.4%	5.2%	0.0%	-33.9M	1.98B	-53.5M	1.50	2.02	147,005	220,470	1,524,469	2,349,980
2019-01-09	$143.01	$140.00	21.6%	6.3%	30.1%	49.2%	23.2%	5.0%	0.4%	30.0M	382.1M	-54.7M	1.50	1.82	180,098	270,186	1,590,240	2,437,317
2019-01-10	$143.54	$140.00	21.7%	6.2%	30.1%	49.4%	24.2%	4.9%	0.1%	43.9M	-112.3M	-57.0M	1.95	1.83	150,639	294,450	1,649,038	2,529,905
2019-01-11	$143.86	$141.00	20.1%	5.8%	29.8%	42.2%	20.9%	4.7%	0.5%	185.0M	-395.0M	-56.5M	0.98	1.70	190,706	186,418	1,682,614	2,673,670
2019-01-14	$142.50	$143.00	20.7%	6.0%	29.3%	45.0%	21.7%	5.2%	-0.4%	-141.6M	2.28B	-55.1M	1.68	1.71	134,303	225,862	1,630,495	2,600,808
2019-01-15	$143.57	$143.00	19.2%	5.5%	28.5%	38.3%	20.0%	5.0%	0.0%	-72.6M	1.14B	-55.0M	0.95	2.01	140,008	133,443	1,668,944	2,686,024
2019-01-16	$144.43	$143.00	19.8%	5.7%	26.4%	40.7%	21.5%	4.9%	-0.5%	22.8M	-165.7M	-56.0M	1.64	1.95	177,624	292,149	1,704,272	2,748,236
2019-01-17	$145.64	$143.00	19.1%	5.5%	26.5%	37.7%	20.3%	5.0%	-0.0%	83.2M	-1.98B	-57.1M	1.77	2.04	164,751	291,873	1,743,817	2,844,989
2019-01-18	$147.18	$143.00	18.6%	5.4%	24.3%	35.8%	20.5%	4.7%	-0.2%	-95.5M	-4.27B	-56.3M	2.33	2.03	172,789	402,241	1,758,845	2,948,955
2019-01-22	$144.58	$143.00	21.0%	6.2%	24.6%	46.3%	22.5%	5.6%	-0.2%	-398.2M	3.20B	-61.6M	1.88	2.02	117,570	220,713	1,073,840	2,347,066
2019-01-23	$144.43	$143.00	21.0%	6.2%	22.3%	46.3%	24.2%	5.5%	-0.1%	-399.1M	3.39B	-61.2M	3.25	1.83	87,269	283,306	1,110,566	2,390,083
2019-01-24	$145.39	$144.00	19.8%	5.8%	20.7%	40.9%	20.8%	5.5%	0.1%	-270.2M	2.22B	-61.2M	2.46	1.83	65,379	160,663	1,135,701	2,491,152
2019-01-25	$147.51	$144.00	18.6%	5.4%	17.2%	35.4%	19.4%	4.6%	0.2%	-32.6M	-715.1M	-60.0M	1.62	1.79	163,733	265,528	1,156,237	2,507,766
2019-01-28	$146.38	$144.00	19.9%	5.9%	17.6%	41.5%	22.2%	5.1%	0.1%	-243.5M	1.66B	-60.9M	3.56	1.85	23,228	82,664	1,118,167	2,437,209
2019-01-29	$146.53	$144.00	19.6%	5.8%	17.5%	40.0%	19.6%	5.2%	0.1%	-264.8M	1.71B	-61.9M	1.57	1.75	100,304	157,978	1,138,298	2,552,797
2019-01-30	$147.64	$144.00	18.3%	5.4%	17.5%	34.2%	19.3%	4.6%	0.1%	-73.7M	-152.2M	-61.0M	0.82	1.89	221,648	180,942	1,212,191	2,596,675
2019-01-31	$148.67	$145.00	17.3%	5.0%	17.5%	29.6%	18.7%	4.3%	0.2%	76.8M	-1.70B	-59.3M	2.23	2.09	108,181	240,912	1,245,802	2,628,578