IWM Options History — July 2019

In July 2019, IWM traded between $153.57 and $157.69. ATM implied volatility averaged 14.6%, placing in the 17.5% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded above realized volatility by 1.9% (HV 20d: 12.7%). Max pain ranged from $153.00 to $155.00. Net GEX was positive for 9 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 1.15.

Notable Days

2019-07-31: Highest Volume — 880,114 contracts
2019-07-25: Largest IV spike — 8.3% change
2019-07-31: Highest IV Rank — 24.4%
2019-07-31: Largest Expected Move — 4.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$155.64	$153.57	$157.69	$155.90	$157.69
Max Pain	$153.95	$153.00	$155.00	$154.00	$155.00
ATM IV	14.6%	13.2%	16.1%	15.2%	16.1%
Expected Move	4.2%	3.8%	4.8%	4.2%	4.8%
HV 20d	12.7%	11.6%	14.1%	14.1%	13.2%
HV 60d	16.2%	15.8%	16.6%	16.3%	16.2%
IV Rank	17.5%	11.2%	24.4%	20.3%	24.4%
IV Percentile	30.2%	16.7%	47.2%	38.1%	47.2%
Term Structure	0.0%	-0.2%	0.5%	0.1%	-0.2%
VWIV	15.2%	13.7%	18.0%	15.4%	16.8%
Skew 25d	4.1%	3.1%	4.7%	4.3%	4.7%
Skew 10d	7.8%	5.9%	8.8%	8.4%	8.8%
Call IV 25d	12.8%	11.7%	14.0%	13.5%	14.0%
Put IV 25d	16.8%	15.1%	18.7%	17.8%	18.7%
Bid-Ask Spread %	1.64	1.23	2.59	2.06	2.59
Gamma HHI	0.04	0.03	0.05	0.04	0.04
Net GEX	-39.2M	-554.9M	337.4M	227.0M	147.1M
Net DEX	1.27B	-944.7M	4.18B	-389.2M	-177.3M
Net VEX	-67.6M	-71.0M	-65.7M	-66.8M	-71.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.15	0.60	3.07	1.32	0.60
Total Volume	332,582.636	171,223	880,114	323,421	880,114
Total OI	4,051,414.045	3,475,267	4,513,018	3,719,637	4,258,154

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
2019-07-01	$155.90	$154.00	15.2%	4.2%	14.1%	20.3%	15.4%	4.3%	0.1%	227.0M	-389.2M	-66.8M	1.32	2.06	139,105	184,316	1,319,963	2,399,674
2019-07-02	$154.82	$154.00	14.6%	3.9%	11.8%	17.7%	14.0%	4.2%	0.1%	-58.8M	1.40B	-66.8M	1.49	2.50	116,826	174,495	1,375,297	2,461,879
2019-07-03	$156.17	$154.00	14.7%	3.9%	12.0%	18.0%	13.9%	4.0%	0.0%	234.1M	-346.7M	-68.7M	1.21	1.99	85,331	103,288	1,400,320	2,570,247
2019-07-05	$156.53	$153.00	14.3%	4.1%	12.0%	16.3%	15.7%	3.8%	0.0%	337.4M	-944.7M	-66.6M	1.40	1.44	86,948	121,356	1,410,797	2,610,772
2019-07-08	$155.24	$153.00	15.4%	4.4%	12.4%	21.3%	17.0%	4.5%	0.1%	-77.5M	1.49B	-66.6M	1.12	1.28	95,774	107,014	1,314,984	2,516,727
2019-07-09	$155.08	$154.00	15.6%	4.5%	12.4%	21.9%	18.0%	4.6%	-0.0%	-129.1M	1.84B	-68.1M	0.68	1.23	237,603	162,117	1,339,670	2,569,759
2019-07-10	$155.69	$154.00	14.6%	4.1%	12.3%	17.5%	15.4%	4.2%	-0.1%	314.3M	678.1M	-67.9M	0.97	1.37	127,338	123,241	1,522,617	2,658,722
2019-07-11	$154.67	$153.00	14.6%	4.1%	12.6%	17.4%	14.7%	4.2%	-0.2%	-232.9M	2.51B	-67.4M	1.04	1.37	185,034	193,234	1,566,934	2,710,134
2019-07-12	$156.39	$154.00	13.5%	4.0%	12.8%	12.4%	14.0%	3.7%	0.5%	290.4M	-468.0M	-65.9M	1.43	1.73	149,939	214,769	1,587,712	2,722,434
2019-07-15	$155.17	$154.00	14.4%	4.1%	13.0%	16.5%	15.1%	4.3%	0.2%	-115.1M	2.07B	-65.7M	1.71	1.41	83,949	143,412	1,403,772	2,721,824
2019-07-16	$155.47	$154.00	14.2%	4.1%	13.0%	15.5%	15.6%	4.1%	0.0%	-25.1M	1.57B	-65.8M	1.05	1.23	144,340	151,881	1,427,890	2,790,878
2019-07-17	$154.42	$154.00	14.7%	4.2%	12.7%	17.9%	14.7%	4.5%	-0.1%	-441.8M	3.48B	-67.5M	0.82	1.36	134,662	110,995	1,486,004	2,873,731
2019-07-18	$154.68	$154.00	14.2%	4.1%	12.7%	15.9%	14.2%	4.3%	0.4%	-372.7M	3.03B	-67.9M	0.74	1.38	182,136	134,417	1,498,757	2,906,988
2019-07-19	$154.40	$154.00	14.7%	4.2%	12.6%	17.9%	14.9%	4.4%	-0.1%	-554.9M	3.36B	-68.2M	0.93	1.52	129,798	121,144	1,576,526	2,936,492
2019-07-22	$153.57	$154.00	15.1%	4.4%	12.4%	19.8%	15.7%	4.2%	0.1%	-429.9M	4.18B	-67.0M	3.07	1.60	109,409	335,932	1,090,551	2,384,716
2019-07-23	$154.57	$154.00	14.1%	4.0%	11.6%	15.0%	13.9%	3.8%	0.1%	-312.3M	3.12B	-67.5M	0.99	1.68	85,904	85,319	1,143,266	2,653,455
2019-07-24	$157.36	$154.00	13.2%	3.8%	12.8%	11.2%	13.7%	3.1%	0.1%	167.4M	-824.9M	-65.9M	0.79	1.70	237,948	186,858	1,152,012	2,666,668
2019-07-25	$155.39	$154.00	14.3%	4.1%	13.8%	16.2%	14.6%	3.6%	0.1%	-132.7M	2.02B	-69.0M	1.14	1.69	173,017	198,078	1,222,640	2,731,743
2019-07-26	$157.33	$154.00	13.7%	3.9%	13.4%	13.3%	14.3%	3.2%	0.1%	278.3M	-786.5M	-68.6M	0.77	1.69	202,790	155,188	1,245,691	2,793,631
2019-07-29	$155.96	$154.00	14.7%	4.3%	13.1%	17.8%	15.7%	3.7%	-0.2%	-149.6M	1.67B	-69.0M	0.87	1.67	131,693	114,525	1,240,610	2,749,826
2019-07-30	$157.50	$155.00	15.4%	4.6%	13.5%	21.1%	17.3%	3.9%	-0.2%	174.5M	-451.8M	-69.7M	1.08	1.71	229,116	246,465	1,302,258	2,814,384
2019-07-31	$157.69	$155.00	16.1%	4.8%	13.2%	24.4%	16.8%	4.7%	-0.2%	147.1M	-177.3M	-71.0M	0.60	2.59	550,616	329,498	1,355,601	2,902,553