IWM Options History — March 2019

In March 2019, IWM traded between $150.03 and $158.32. ATM implied volatility averaged 16.3%, placing in the 25.2% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 2.1% (HV 20d: 14.2%). Max pain ranged from $152.00 to $155.00. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 2.05.

Notable Days

2019-03-22: Highest Volume — 651,654 contracts
2019-03-22: Largest IV spike — 22.8% change
2019-03-22: Highest IV Rank — 40.9%
2019-03-22: Largest Expected Move — 5.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$153.79	$150.03	$158.32	$158.32	$153.19
Max Pain	$154.29	$152.00	$155.00	$152.00	$155.00
ATM IV	16.3%	13.9%	19.8%	13.9%	16.5%
Expected Move	4.7%	3.7%	5.5%	3.7%	4.8%
HV 20d	14.2%	9.2%	17.9%	9.2%	17.7%
HV 60d	18.4%	15.7%	21.7%	21.7%	15.7%
IV Rank	25.2%	14.4%	40.9%	14.4%	26.0%
IV Percentile	57.3%	39.7%	74.2%	39.7%	60.3%
Term Structure	-0.1%	-0.6%	0.3%	-0.0%	0.2%
VWIV	17.8%	14.5%	19.8%	14.5%	16.7%
Skew 25d	4.5%	3.6%	5.8%	4.1%	4.3%
Skew 10d	8.8%	6.6%	11.3%	9.0%	8.3%
Call IV 25d	14.4%	12.1%	18.0%	12.1%	14.4%
Put IV 25d	18.9%	16.2%	22.3%	16.2%	18.6%
Bid-Ask Spread %	1.95	1.60	2.36	1.74	1.74
Gamma HHI	0.05	0.04	0.15	0.15	0.05
Net GEX	-694.1M	-1.27B	311.7M	311.7M	-608.2M
Net DEX	3.30B	-4.89B	10.60B	-4.89B	4.55B
Net VEX	-72.0M	-80.1M	-62.5M	-62.5M	-77.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.05	0.95	3.27	0.95	1.35
Total Volume	385,390.762	191,402	651,654	473,844	339,582
Total OI	4,283,754.905	3,520,687	4,836,589	4,344,196	4,398,828

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
2019-03-01	$158.32	$152.00	13.9%	3.7%	9.2%	14.4%	14.5%	4.1%	-0.0%	311.7M	-4.89B	-62.5M	0.95	1.74	242,853	230,991	1,274,164	3,070,032
2019-03-04	$156.82	$153.00	15.3%	4.4%	10.3%	20.7%	17.0%	5.1%	0.1%	-359.7M	-1.80B	-65.8M	2.55	1.65	79,587	202,883	1,221,754	2,958,741
2019-03-05	$156.36	$153.00	15.2%	4.3%	10.2%	20.2%	16.3%	5.2%	0.1%	-532.1M	-991.1M	-66.2M	2.38	1.65	56,701	134,701	1,252,386	3,028,272
2019-03-06	$153.11	$153.00	17.2%	5.3%	12.9%	29.4%	18.6%	5.6%	-0.2%	-982.3M	4.41B	-67.9M	3.27	1.80	146,742	479,377	1,265,385	3,096,111
2019-03-07	$151.92	$152.00	18.0%	5.4%	13.3%	32.8%	18.9%	5.8%	-0.2%	-1.17B	6.47B	-70.5M	2.32	1.91	160,135	371,400	1,319,452	3,200,138
2019-03-08	$151.33	$152.00	17.8%	5.0%	13.0%	32.0%	18.1%	5.6%	-0.0%	-1.27B	7.43B	-72.5M	2.41	1.87	113,314	273,538	1,377,026	3,275,388
2019-03-11	$154.06	$155.00	15.5%	4.6%	14.4%	21.6%	17.5%	5.1%	0.0%	-655.5M	1.49B	-68.8M	2.89	2.17	70,895	205,070	1,289,046	3,163,604
2019-03-12	$154.43	$155.00	15.0%	4.6%	14.1%	19.3%	18.3%	4.8%	0.3%	-607.4M	801.2M	-69.2M	1.92	2.17	91,237	175,006	1,311,132	3,243,742
2019-03-13	$155.15	$155.00	14.6%	4.4%	13.6%	17.3%	17.6%	4.2%	0.0%	-460.4M	-565.3M	-69.2M	2.05	2.36	89,655	184,229	1,342,057	3,310,915
2019-03-14	$154.56	$155.00	14.3%	4.3%	13.6%	16.4%	18.9%	3.9%	-0.2%	-659.6M	1.02B	-69.8M	2.31	1.98	78,354	180,765	1,367,777	3,388,709
2019-03-15	$154.61	$155.00	14.1%	4.3%	13.6%	15.3%	17.2%	3.6%	-0.0%	-632.8M	894.7M	-69.9M	1.67	2.25	122,536	205,142	1,395,820	3,440,769
2019-03-18	$155.85	$155.00	14.6%	4.4%	13.2%	17.3%	16.8%	3.7%	0.0%	-398.5M	1.52B	-69.4M	1.04	1.92	147,788	154,441	1,002,730	2,517,957
2019-03-19	$154.72	$155.00	15.8%	4.6%	13.2%	22.9%	17.9%	4.1%	-0.1%	-468.1M	3.01B	-72.3M	1.37	2.07	117,729	160,732	1,098,199	2,614,414
2019-03-20	$153.83	$155.00	15.9%	4.6%	13.3%	23.5%	17.8%	4.1%	-0.2%	-618.0M	3.99B	-72.7M	2.37	2.32	118,163	280,570	1,116,471	2,671,299
2019-03-21	$155.17	$155.00	16.1%	4.6%	13.6%	24.3%	18.1%	3.7%	-0.3%	-374.8M	1.94B	-73.0M	2.74	1.96	162,940	446,127	1,140,301	2,790,978
2019-03-22	$150.03	$155.00	19.8%	5.5%	17.5%	40.9%	19.3%	4.3%	-0.6%	-1.26B	10.60B	-80.1M	2.26	2.29	199,623	452,031	1,188,679	2,957,390
2019-03-25	$150.69	$155.00	19.3%	5.4%	17.6%	38.8%	19.8%	4.6%	-0.1%	-1.00B	8.69B	-79.1M	2.61	1.60	169,116	441,387	1,139,452	2,922,431
2019-03-26	$151.22	$155.00	18.3%	5.2%	17.7%	34.2%	18.0%	4.3%	-0.0%	-990.3M	7.78B	-78.7M	1.48	1.76	127,381	188,553	1,180,387	3,006,034
2019-03-27	$151.72	$155.00	17.8%	5.0%	17.8%	31.7%	18.9%	4.4%	0.0%	-970.7M	7.12B	-78.2M	2.03	1.87	110,755	224,811	1,226,982	3,027,976
2019-03-28	$152.54	$155.00	17.2%	4.9%	17.9%	29.4%	17.9%	4.4%	0.1%	-859.6M	5.78B	-78.7M	1.07	1.94	172,101	184,265	1,267,495	3,098,430
2019-03-29	$153.19	$155.00	16.5%	4.8%	17.7%	26.0%	16.7%	4.3%	0.2%	-608.2M	4.55B	-77.7M	1.35	1.74	144,297	195,285	1,288,749	3,110,079