IWM Options History — August 2019

In August 2019, IWM traded between $145.21 and $154.50. ATM implied volatility averaged 20.6%, placing in the 43.7% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded below realized volatility by 0.7% (HV 20d: 21.3%). Max pain ranged from $152.00 to $155.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 2.19.

Notable Days

2019-08-05: Highest Volume — 836,232 contracts
2019-08-23: Largest IV spike — 20.6% change
2019-08-05: Highest IV Rank — 59.6%
2019-08-27: Largest Expected Move — 6.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$149.07	$145.21	$154.50	$154.50	$148.72
Max Pain	$153.91	$152.00	$155.00	$155.00	$152.00
ATM IV	20.6%	18.0%	23.9%	18.6%	20.2%
Expected Move	5.9%	5.2%	6.7%	5.6%	6.0%
HV 20d	21.3%	14.9%	24.7%	14.9%	24.3%
HV 60d	17.1%	16.0%	18.3%	16.0%	17.9%
IV Rank	43.7%	31.4%	59.6%	35.3%	41.4%
IV Percentile	74.5%	54.4%	93.7%	65.1%	71.0%
Term Structure	-0.2%	-0.7%	0.4%	-0.3%	0.4%
VWIV	21.5%	19.4%	23.8%	20.0%	23.8%
Skew 25d	6.4%	5.4%	7.0%	6.0%	6.5%
Skew 10d	11.7%	10.1%	13.7%	11.5%	11.3%
Call IV 25d	17.5%	15.2%	20.4%	15.8%	17.2%
Put IV 25d	23.8%	20.8%	27.0%	21.8%	23.6%
Bid-Ask Spread %	2.14	1.41	3.09	2.43	1.41
Gamma HHI	0.05	0.04	0.09	0.04	0.04
Net GEX	-1.02B	-1.56B	-563.9M	-810.4M	-775.9M
Net DEX	10.53B	6.04B	16.38B	6.04B	8.43B
Net VEX	-73.2M	-77.2M	-70.6M	-75.5M	-72.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.19	1.20	3.75	1.23	3.75
Total Volume	411,255.455	211,033	836,232	575,721	484,691
Total OI	4,535,668.727	4,016,754	4,935,508	4,428,998	4,716,541

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
2019-08-01	$154.50	$155.00	18.6%	5.6%	14.9%	35.3%	20.0%	6.0%	-0.3%	-810.4M	6.04B	-75.5M	1.23	2.43	258,298	317,423	1,382,809	3,046,189
2019-08-02	$152.50	$155.00	19.9%	6.0%	15.4%	41.2%	21.6%	6.6%	-0.4%	-1.15B	9.44B	-77.2M	3.29	1.75	151,215	497,079	1,402,731	3,144,259
2019-08-05	$148.33	$155.00	23.9%	6.6%	18.0%	59.6%	23.6%	6.6%	-0.6%	-1.24B	14.11B	-76.9M	2.85	2.44	217,374	618,858	1,306,920	3,115,807
2019-08-06	$149.26	$155.00	21.8%	6.2%	18.2%	50.1%	21.6%	6.9%	-0.4%	-1.19B	12.30B	-76.4M	1.78	2.35	101,775	181,004	1,408,018	3,122,288
2019-08-07	$149.67	$155.00	20.9%	5.9%	18.2%	46.2%	22.4%	6.7%	-0.2%	-1.20B	11.65B	-75.7M	3.33	2.32	91,331	303,698	1,459,675	3,162,622
2019-08-08	$152.53	$155.00	18.2%	5.2%	19.5%	33.8%	20.6%	6.4%	-0.0%	-815.5M	6.43B	-74.5M	1.27	1.78	142,771	181,552	1,494,642	3,185,426
2019-08-09	$151.01	$155.00	18.6%	5.4%	19.3%	34.9%	20.4%	6.0%	-0.1%	-1.10B	9.09B	-74.7M	2.88	1.81	77,837	223,848	1,554,772	3,231,212
2019-08-12	$148.81	$155.00	21.6%	6.1%	19.7%	47.8%	22.4%	6.8%	0.0%	-1.20B	12.25B	-73.5M	2.04	2.11	84,635	172,941	1,457,798	3,096,670
2019-08-13	$150.11	$155.00	19.4%	5.6%	20.0%	37.7%	20.2%	6.2%	0.2%	-1.15B	10.07B	-71.9M	2.35	2.11	92,873	218,042	1,479,258	3,153,298
2019-08-14	$146.42	$155.00	22.9%	6.6%	21.6%	53.9%	22.0%	6.5%	0.2%	-1.30B	15.98B	-72.9M	1.87	2.61	194,885	364,876	1,504,765	3,213,375
2019-08-15	$145.53	$154.00	22.8%	6.5%	21.6%	53.8%	23.6%	6.7%	-0.3%	-1.32B	16.38B	-72.1M	2.15	2.49	136,166	293,346	1,607,778	3,199,108
2019-08-16	$148.75	$154.00	19.9%	5.7%	23.3%	40.1%	20.2%	6.1%	-0.2%	-563.9M	10.55B	-72.0M	2.22	2.31	170,653	378,134	1,680,839	3,254,669
2019-08-19	$150.46	$154.00	18.2%	5.2%	23.7%	32.2%	19.4%	5.8%	0.1%	-649.7M	6.61B	-71.0M	3.41	1.97	71,354	243,550	1,167,721	2,849,033
2019-08-20	$149.47	$154.00	18.8%	5.4%	23.6%	35.1%	19.8%	5.7%	-0.0%	-879.7M	8.16B	-71.0M	1.46	1.85	86,747	126,400	1,188,098	2,979,416
2019-08-21	$150.39	$154.00	18.0%	5.2%	22.7%	31.4%	19.5%	5.4%	0.1%	-729.5M	6.72B	-70.6M	1.86	2.06	107,280	199,310	1,222,631	3,036,336
2019-08-22	$150.22	$153.00	19.0%	5.4%	22.4%	36.1%	19.5%	5.7%	-0.0%	-793.0M	7.28B	-72.2M	1.20	1.98	126,448	152,106	1,249,207	3,157,018
2019-08-23	$145.42	$153.00	22.9%	6.6%	24.2%	54.1%	23.6%	6.9%	-0.4%	-1.56B	14.90B	-72.6M	1.77	3.09	225,501	399,254	1,328,582	3,207,033
2019-08-26	$146.58	$152.00	22.5%	6.5%	24.5%	52.2%	23.4%	6.8%	-0.7%	-1.12B	12.20B	-72.2M	1.64	1.56	79,838	131,195	1,283,095	3,107,019
2019-08-27	$145.21	$152.00	23.1%	6.7%	24.1%	54.9%	23.3%	6.8%	-0.5%	-1.12B	13.78B	-71.3M	2.02	2.09	126,437	254,943	1,339,546	3,134,411
2019-08-28	$146.67	$152.00	22.1%	6.4%	24.6%	50.4%	22.5%	7.0%	-0.7%	-1.03B	11.44B	-71.6M	2.31	2.36	124,484	287,998	1,382,953	3,145,153
2019-08-29	$149.07	$152.00	19.7%	5.7%	24.7%	39.2%	20.6%	6.5%	-0.4%	-736.5M	7.86B	-71.4M	1.40	2.31	145,700	203,770	1,427,877	3,198,114
2019-08-30	$148.72	$152.00	20.2%	6.0%	24.3%	41.4%	23.8%	6.5%	0.4%	-775.9M	8.43B	-72.3M	3.75	1.41	101,952	382,739	1,484,914	3,231,627