IWM Options History — October 2019 In October 2019, IWM traded between $146.71 and $156.89. ATM implied volatility averaged 17.8%, placing in the 23.4% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 0.8% (HV 20d: 17.0%). Max pain ranged from $151.00 to $155.00. Net GEX was positive for 5 of 23 trading days. Term structure was in contango for 8 of 23 days. Put/call ratio averaged 1.45.
Notable Days 2019-10-02 : Highest Volume — 622,638 contracts2019-10-08 : Largest IV spike — 12.4% change2019-10-08 : Highest IV Rank — 47.9%2019-10-02 : Largest Expected Move — 6.6%Monthly Statistics Metric Avg Min Max Open Close Price $151.69 $146.71 $156.89 $148.64 $155.08 Max Pain $152.96 $151.00 $155.00 $154.00 $154.00 ATM IV 17.8% 14.3% 22.6% 20.7% 15.0% Expected Move 5.0% 3.9% 6.6% 5.9% 4.2% HV 20d 17.0% 12.9% 19.3% 18.5% 13.6% HV 60d 19.7% 18.4% 20.5% 19.6% 18.5% IV Rank 23.4% 5.4% 47.9% 37.9% 9.3% IV Percentile 43.9% 4.8% 87.3% 72.6% 17.9% Term Structure -0.0% -0.5% 0.6% -0.1% 0.4% VWIV 18.3% 13.7% 23.9% 21.1% 16.4% Skew 25d 5.0% 3.4% 6.3% 5.9% 3.7% Skew 10d 9.1% 6.4% 11.0% 11.0% 6.9% Call IV 25d 15.5% 12.6% 19.5% 17.8% 13.5% Put IV 25d 20.5% 16.4% 25.6% 23.8% 17.2% Bid-Ask Spread % 1.41 1.07 2.06 1.43 1.31 Gamma HHI 0.05 0.03 0.10 0.05 0.04 Net GEX -413.5M -1.11B 423.0M -1.11B -172.7M Net DEX 4.80B -1.97B 12.47B 10.81B 1.14B Net VEX -66.1M -69.9M -60.8M -68.4M -64.5M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.45 0.39 2.67 1.43 2.13 Total Volume 330,434.913 98,089 622,638 564,596 337,130 Total OI 4,316,648.478 3,780,592 4,807,653 4,025,790 4,352,050
Daily Data (23 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 2019-10-01 $148.64 $154.00 20.7% 5.9% 18.5% 37.9% 21.1% 5.9% -0.1% -1.11B 10.81B -68.4M 1.43 1.43 232,201 332,395 1,249,111 2,776,679 2019-10-02 $147.06 $153.00 22.3% 6.6% 18.7% 46.4% 23.7% 5.9% -0.3% -1.08B 12.47B -69.0M 2.67 1.52 169,650 452,988 1,361,360 2,822,152 2019-10-03 $147.39 $155.00 21.5% 6.1% 17.3% 42.1% 22.2% 5.9% -0.2% -1.09B 11.89B -69.7M 1.99 1.37 148,019 295,207 1,391,932 2,932,726 2019-10-04 $148.92 $154.00 19.8% 5.6% 17.8% 33.5% 19.3% 5.9% -0.2% -867.4M 9.43B -69.6M 1.22 1.39 138,728 169,307 1,442,528 2,948,899 2019-10-07 $149.17 $153.00 20.1% 5.7% 17.4% 35.2% 19.8% 6.2% -0.1% -844.6M 8.64B -68.4M 2.09 1.34 108,755 227,392 1,363,265 2,858,064 2019-10-08 $146.71 $153.00 22.6% 6.3% 17.6% 47.9% 23.9% 6.3% -0.5% -1.07B 12.18B -69.9M 1.67 1.75 163,257 272,363 1,412,293 2,947,302 2019-10-09 $147.11 $153.00 21.5% 6.1% 15.4% 42.4% 20.4% 6.2% -0.2% -1.04B 11.25B -69.8M 1.50 1.97 87,774 131,443 1,485,805 2,973,502 2019-10-10 $147.75 $153.00 21.1% 5.9% 15.4% 40.1% 20.4% 6.2% -0.5% -998.4M 10.12B -69.3M 1.28 1.51 145,912 187,279 1,522,141 3,021,683 2019-10-11 $150.96 $153.00 18.9% 5.4% 17.7% 29.2% 21.2% 6.0% -0.1% -222.1M 4.33B -69.6M 1.11 2.06 293,646 327,255 1,593,469 3,087,170 2019-10-14 $149.58 $152.00 18.4% 5.3% 17.8% 26.4% 18.9% 5.8% 0.3% -860.8M 7.47B -66.6M 1.04 1.07 96,560 99,970 1,490,611 3,041,250 2019-10-15 $151.33 $152.00 16.6% 4.8% 18.5% 17.0% 18.0% 5.1% -0.0% -534.7M 4.43B -64.5M 1.56 1.19 130,033 202,812 1,519,116 3,054,933 2019-10-16 $151.54 $151.00 16.3% 4.7% 18.5% 15.8% 16.9% 5.1% 0.6% -514.2M 4.04B -65.1M 1.23 1.75 83,807 103,013 1,542,466 3,090,069 2019-10-17 $153.26 $152.00 15.9% 4.6% 19.0% 13.9% 16.0% 4.7% 0.1% -13.3M 862.8M -64.4M 0.71 1.37 199,376 141,265 1,562,958 3,127,582 2019-10-18 $152.79 $152.00 16.1% 4.6% 19.0% 14.6% 17.4% 4.5% 0.3% -27.1M 1.70B -64.8M 0.84 1.48 154,536 130,003 1,623,569 3,184,084 2019-10-21 $154.19 $152.00 16.4% 4.6% 19.3% 16.1% 15.6% 4.3% -0.3% -23.5M 924.3M -63.8M 0.39 1.22 216,068 83,710 1,237,505 2,543,087 2019-10-22 $154.21 $153.00 16.3% 4.6% 17.5% 15.7% 18.5% 4.4% -0.2% 44.7M 779.9M -64.0M 2.44 1.35 88,649 216,472 1,352,430 2,582,698 2019-10-23 $154.19 $153.00 16.2% 4.5% 17.0% 15.1% 16.4% 4.4% -0.3% -26.0M 1.13B -64.5M 1.42 1.24 40,460 57,629 1,375,294 2,681,682 2019-10-24 $154.12 $153.00 15.4% 4.3% 16.5% 11.3% 15.7% 4.0% -0.2% -70.3M 1.39B -64.3M 2.38 1.17 64,665 154,054 1,380,477 2,710,845 2019-10-25 $155.17 $153.00 14.3% 3.9% 16.1% 5.4% 14.3% 3.6% -0.0% 423.0M -343.1M -63.2M 1.54 1.18 95,400 147,086 1,409,336 2,756,929 2019-10-28 $156.35 $153.00 14.3% 3.9% 16.2% 5.5% 13.7% 3.8% 0.3% 125.0M -1.12B -60.8M 0.73 1.24 239,685 175,221 1,314,383 2,690,818 2019-10-29 $156.89 $153.00 14.9% 4.2% 13.6% 8.5% 14.9% 3.5% 0.4% 286.1M -1.97B -63.8M 0.83 1.28 110,571 92,161 1,463,713 2,759,316 2019-10-30 $156.42 $154.00 14.8% 4.1% 12.9% 8.0% 15.8% 3.4% 0.2% 183.3M -1.23B -63.4M 1.22 1.25 115,136 140,960 1,440,145 2,805,488 2019-10-31 $155.08 $154.00 15.0% 4.2% 13.6% 9.3% 16.4% 3.7% 0.4% -172.7M 1.14B -64.5M 2.13 1.31 107,757 229,373 1,484,472 2,867,578
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