IWM Options History — May 2019

In May 2019, IWM traded between $145.92 and $160.78. ATM implied volatility averaged 18.7%, placing in the 36.2% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 1.1% (HV 20d: 17.6%). Max pain ranged from $155.00 to $156.00. Net GEX was positive for 1 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 1.97.

Notable Days

2019-05-23: Highest Volume — 584,948 contracts
2019-05-07: Largest IV spike — 29.4% change
2019-05-13: Highest IV Rank — 51.5%
2019-05-13: Largest Expected Move — 6.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$153.60	$145.92	$160.78	$157.14	$145.92
Max Pain	$155.14	$155.00	$156.00	$156.00	$155.00
ATM IV	18.7%	14.8%	22.1%	15.7%	21.0%
Expected Move	5.4%	4.2%	6.3%	4.6%	6.2%
HV 20d	17.6%	11.6%	20.7%	11.7%	20.7%
HV 60d	15.6%	13.5%	17.0%	13.5%	16.6%
IV Rank	36.2%	18.4%	51.5%	22.3%	46.2%
IV Percentile	69.7%	47.2%	87.3%	58.7%	79.0%
Term Structure	-0.2%	-0.4%	0.2%	0.1%	-0.2%
VWIV	19.3%	15.1%	22.5%	16.8%	21.9%
Skew 25d	5.6%	3.7%	7.0%	4.5%	5.1%
Skew 10d	10.3%	7.2%	13.4%	8.9%	8.9%
Call IV 25d	16.1%	13.3%	18.9%	13.8%	18.5%
Put IV 25d	21.7%	17.0%	25.5%	18.3%	23.7%
Bid-Ask Spread %	1.95	1.41	2.68	1.90	1.82
Gamma HHI	0.05	0.03	0.07	0.04	0.06
Net GEX	-816.8M	-1.24B	229.8M	-460.2M	-1.21B
Net DEX	6.46B	-3.58B	15.08B	1.49B	15.08B
Net VEX	-73.8M	-81.1M	-69.6M	-75.3M	-70.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.97	1.11	3.22	2.03	2.46
Total Volume	319,128.818	141,377	584,948	278,561	402,640
Total OI	4,234,224.273	3,627,714	4,657,862	4,189,234	4,209,108

Daily Data (22 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
2019-05-01	$157.14	$156.00	15.7%	4.6%	11.7%	22.3%	16.8%	4.5%	0.1%	-460.2M	1.49B	-75.3M	2.03	1.90	91,989	186,572	1,218,746	2,970,488
2019-05-02	$157.14	$156.00	16.2%	4.7%	11.6%	24.6%	19.3%	4.8%	0.1%	-526.5M	1.94B	-76.0M	2.31	1.75	96,354	223,037	1,228,556	3,006,105
2019-05-03	$160.39	$156.00	14.8%	4.2%	13.6%	18.4%	15.1%	3.7%	0.2%	229.8M	-3.58B	-72.5M	1.27	1.71	170,706	217,462	1,258,001	3,080,380
2019-05-06	$160.78	$155.00	16.4%	4.7%	13.2%	25.7%	16.3%	5.0%	0.0%	-6.7M	-3.20B	-73.9M	1.11	1.98	173,825	192,765	1,248,527	2,969,105
2019-05-07	$157.01	$155.00	21.2%	5.9%	15.8%	47.5%	21.3%	7.0%	-0.4%	-561.4M	3.06B	-80.8M	1.93	2.26	163,132	314,818	1,265,568	3,058,065
2019-05-08	$156.93	$155.00	20.1%	5.6%	15.5%	42.5%	19.5%	6.9%	-0.3%	-560.1M	3.02B	-81.1M	2.01	2.26	81,416	163,828	1,331,864	3,112,648
2019-05-09	$156.42	$155.00	20.6%	5.8%	14.9%	44.8%	20.5%	7.0%	-0.4%	-685.7M	4.01B	-80.9M	1.54	2.66	158,783	244,839	1,353,350	3,172,861
2019-05-10	$156.19	$155.00	18.1%	5.2%	14.9%	33.5%	18.8%	5.9%	-0.1%	-675.0M	3.76B	-77.4M	1.67	2.68	146,470	245,197	1,416,177	3,208,686
2019-05-13	$151.40	$155.00	22.1%	6.3%	18.4%	51.5%	22.5%	6.6%	-0.2%	-1.11B	10.76B	-75.7M	2.33	2.46	117,058	272,978	1,337,577	3,067,843
2019-05-14	$153.44	$155.00	19.6%	5.7%	19.1%	40.3%	20.7%	6.2%	0.1%	-1.01B	7.79B	-75.6M	1.49	1.84	133,578	198,436	1,382,743	3,148,712
2019-05-15	$154.19	$155.00	18.3%	5.2%	19.2%	34.4%	19.4%	5.7%	-0.2%	-945.1M	6.49B	-73.5M	2.40	2.11	53,210	127,505	1,407,411	3,163,753
2019-05-16	$154.82	$155.00	17.4%	5.0%	19.1%	30.2%	18.8%	5.3%	0.0%	-852.6M	5.19B	-73.0M	2.18	1.92	75,260	164,179	1,411,697	3,192,917
2019-05-17	$153.04	$155.00	18.2%	5.2%	19.5%	33.9%	18.1%	5.3%	-0.1%	-1.22B	8.65B	-72.5M	1.63	1.89	119,401	194,449	1,426,464	3,231,398
2019-05-20	$151.88	$155.00	18.9%	5.4%	19.6%	36.7%	18.7%	5.9%	-0.2%	-862.9M	8.08B	-70.5M	1.79	1.75	97,192	173,500	1,117,680	2,510,034
2019-05-21	$153.75	$155.00	17.5%	5.0%	19.2%	30.6%	17.6%	5.5%	-0.3%	-737.2M	5.85B	-70.7M	1.37	1.41	64,208	87,662	1,164,291	2,592,031
2019-05-22	$152.54	$155.00	17.6%	5.0%	19.2%	31.1%	18.3%	5.5%	-0.4%	-907.0M	7.45B	-70.2M	2.22	1.81	46,019	101,993	1,181,995	2,621,247
2019-05-23	$149.17	$155.00	20.1%	5.8%	20.4%	42.2%	20.1%	5.8%	-0.3%	-1.19B	11.60B	-69.6M	3.22	2.03	138,646	446,302	1,189,836	2,651,257
2019-05-24	$150.72	$155.00	18.7%	5.4%	20.5%	35.9%	19.5%	5.5%	-0.4%	-1.15B	9.77B	-72.2M	2.83	1.57	65,986	186,511	1,250,112	2,856,766
2019-05-28	$149.83	$155.00	19.9%	5.8%	20.4%	41.3%	20.3%	5.8%	-0.3%	-1.10B	10.46B	-71.1M	1.59	1.66	54,501	86,876	1,195,898	2,792,026
2019-05-29	$148.58	$155.00	19.9%	5.9%	20.4%	41.4%	20.9%	5.5%	-0.0%	-1.19B	11.96B	-69.6M	2.17	1.62	107,376	232,728	1,220,719	2,811,142
2019-05-30	$147.90	$155.00	19.7%	5.7%	20.4%	40.4%	20.3%	5.3%	-0.3%	-1.24B	12.56B	-71.0M	1.78	1.75	144,144	257,303	1,262,088	2,857,062
2019-05-31	$145.92	$155.00	21.0%	6.2%	20.7%	46.2%	21.9%	5.1%	-0.2%	-1.21B	15.08B	-70.8M	2.46	1.82	116,275	286,365	1,306,026	2,903,082