IWM Options History — September 2019

In September 2019, IWM traded between $146.88 and $157.93. ATM implied volatility averaged 18.1%, placing in the 31.2% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded below realized volatility by 1.9% (HV 20d: 20.0%). Max pain ranged from $151.00 to $154.00. Net GEX was positive for 6 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 1.36.

Notable Days

  • 2019-09-11: Highest Volume — 1,134,322 contracts
  • 2019-09-24: Largest IV spike — 16.7% change
  • 2019-09-03: Highest IV Rank — 48.9%
  • 2019-09-03: Largest Expected Move — 6.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$153.68$146.88$157.93$146.88$151.92
Max Pain$152.90$151.00$154.00$152.00$154.00
ATM IV18.1%16.5%21.8%21.8%18.6%
Expected Move5.2%4.7%6.6%6.6%5.3%
HV 20d20.0%14.8%23.7%22.7%17.2%
HV 60d18.7%18.0%19.1%18.0%19.1%
IV Rank31.2%24.4%48.9%48.9%31.5%
IV Percentile51.1%36.9%81.3%81.3%56.3%
Term Structure0.1%-0.2%0.4%-0.2%-0.0%
VWIV19.4%16.7%24.0%24.0%19.9%
Skew 25d5.2%4.2%7.3%7.3%5.9%
Skew 10d9.9%7.7%12.6%12.6%11.0%
Call IV 25d15.8%14.8%18.4%18.4%16.0%
Put IV 25d21.1%19.2%25.7%25.7%21.8%
Bid-Ask Spread %1.771.272.471.401.27
Gamma HHI0.050.040.070.070.05
Net GEX-296.0M-1.17B460.3M-1.13B-972.5M
Net DEX2.15B-5.71B11.67B11.67B7.24B
Net VEX-70.5M-76.1M-65.3M-70.1M-72.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.360.663.021.623.02
Total Volume449,404.1196,0431,134,322278,446221,895
Total OI4,890,372.754,180,5775,657,7154,462,8384,661,300

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-09-03$146.88$152.0021.8%6.6%22.7%48.9%24.0%7.3%-0.2%-1.13B11.67B-70.1M1.621.40106,385172,0611,326,6253,136,213
2019-09-04$147.89$151.0019.8%5.8%22.7%39.6%21.7%6.7%-0.0%-1.02B9.89B-69.5M2.131.3662,722133,3211,386,2693,195,044
2019-09-05$150.71$152.0018.0%5.1%23.7%31.5%19.6%6.1%0.0%-575.1M5.11B-68.2M1.522.13215,804328,4031,405,4843,232,477
2019-09-06$150.31$152.0017.1%5.0%22.7%27.4%19.8%5.1%0.2%-502.4M5.68B-69.0M1.442.00108,115155,6571,492,8443,307,689
2019-09-09$151.74$151.0018.1%5.2%22.7%31.8%19.5%5.7%-0.0%-410.6M3.64B-68.2M0.661.80250,406166,4141,379,2903,157,542
2019-09-10$153.53$151.0017.5%5.0%22.3%29.4%18.9%5.3%-0.1%-87.5M845.6M-68.9M0.782.10254,133197,6191,478,7223,222,472
2019-09-11$156.85$152.0016.9%4.8%23.3%26.3%19.7%4.5%0.1%425.9M-4.94B-67.4M1.702.07419,930714,3921,544,1413,305,856
2019-09-12$157.57$152.0016.7%4.7%20.9%25.5%18.1%4.3%-0.1%324.2M-5.43B-71.0M1.091.88229,665249,9541,648,9233,553,815
2019-09-13$157.58$153.0016.8%4.8%20.7%25.7%17.6%4.2%-0.1%419.6M-5.71B-71.4M0.771.63296,210229,2611,704,5463,645,162
2019-09-16$157.93$153.0017.4%5.0%19.6%28.6%18.1%4.5%0.0%460.3M-4.97B-70.5M0.991.90171,486169,4491,703,1753,556,465
2019-09-17$157.36$153.0017.9%5.1%19.4%31.1%20.2%4.5%-0.1%332.1M-3.86B-71.4M0.971.91256,048249,2011,720,0623,578,110
2019-09-18$156.42$154.0017.9%5.1%19.4%30.9%19.0%4.3%-0.1%178.0M-2.35B-69.6M1.372.47191,563262,4711,781,1623,667,098
2019-09-19$155.79$154.0016.5%4.7%19.5%24.4%16.7%4.3%0.2%-101.6M-1.03B-67.6M0.781.75282,755221,3491,817,3453,737,745
2019-09-20$155.24$154.0017.0%4.8%19.5%26.7%17.2%4.5%0.2%-380.6M292.3M-68.2M1.341.88290,919390,0001,894,1633,763,552
2019-09-23$155.75$154.0016.7%4.7%14.8%25.3%16.7%4.8%0.4%-2.6M1.14B-65.3M0.821.58126,986104,1131,381,4952,799,082
2019-09-24$152.36$154.0019.5%5.6%17.2%37.2%20.4%5.7%0.2%-582.9M6.28B-75.5M1.261.81265,877335,1311,563,8182,893,190
2019-09-25$154.22$154.0018.3%5.2%17.0%31.3%19.4%5.6%0.3%-273.5M3.60B-76.1M1.091.49139,661152,7941,627,2913,033,622
2019-09-26$152.56$154.0018.7%5.3%17.5%32.1%19.3%5.6%0.2%-852.4M6.59B-74.5M1.421.49169,358240,2581,638,4283,069,251
2019-09-27$151.01$154.0020.1%5.8%17.1%38.6%21.2%5.9%0.1%-1.17B9.26B-75.3M2.491.49130,747325,5691,648,4043,149,583
2019-09-30$151.92$154.0018.6%5.3%17.2%31.5%19.9%5.9%-0.0%-972.5M7.24B-72.3M3.021.2755,203166,6921,549,4893,111,811