IWM Options History — November 2019

In November 2019, IWM traded between $157.81 and $162.71. ATM implied volatility averaged 14.1%, placing in the 5.1% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded above realized volatility by 3.2% (HV 20d: 10.9%). Max pain ranged from $154.00 to $158.00. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 1.30.

Notable Days

  • 2019-11-25: Highest Volume — 555,623 contracts
  • 2019-11-15: Largest IV drop — 7.5% change
  • 2019-11-14: Highest IV Rank — 9.9%
  • 2019-11-14: Largest Expected Move — 4.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$159.24$157.81$162.71$157.81$161.96
Max Pain$155.65$154.00$158.00$154.00$158.00
ATM IV14.1%12.8%15.2%13.8%13.4%
Expected Move4.2%3.7%4.5%3.8%3.9%
HV 20d10.9%9.0%14.4%14.3%11.2%
HV 60d16.1%14.2%18.4%18.4%14.2%
IV Rank5.1%0.0%9.9%3.2%3.4%
IV Percentile8.0%0.0%23.8%1.2%1.6%
Term Structure0.2%-0.2%0.7%0.5%0.1%
VWIV15.4%13.1%17.6%13.6%14.6%
Skew 25d3.9%2.9%4.9%2.9%3.8%
Skew 10d7.5%5.7%9.0%5.7%6.6%
Call IV 25d12.5%11.4%13.2%12.7%11.9%
Put IV 25d16.4%14.7%17.6%15.6%15.7%
Bid-Ask Spread %1.611.282.291.281.47
Gamma HHI0.050.040.090.060.06
Net GEX360.6M-167.9M994.6M557.8M601.8M
Net DEX-2.65B-6.20B1.32B-3.31B-4.40B
Net VEX-59.9M-62.7M-56.7M-62.7M-59.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.300.552.320.891.67
Total Volume278,534.9117,437555,623367,992140,883
Total OI4,329,965.63,715,6874,744,5244,486,7044,451,214

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-11-01$157.81$154.0013.8%3.8%14.3%3.2%13.6%2.9%0.5%557.8M-3.31B-62.7M0.891.28194,848173,1441,514,3982,972,306
2019-11-04$158.83$155.0014.1%4.3%14.4%4.6%17.1%3.5%0.4%473.2M-4.09B-61.1M1.481.76118,712175,1011,450,6472,904,557
2019-11-05$159.25$155.0014.2%4.4%12.3%5.1%16.7%3.7%0.5%502.6M-4.50B-60.8M1.081.86163,411176,2391,462,6852,927,396
2019-11-06$158.24$155.0014.4%4.4%12.9%5.9%16.7%3.9%0.4%273.5M-2.58B-62.0M1.221.8298,409120,2761,430,0732,975,556
2019-11-07$158.25$155.0014.6%4.4%12.9%7.0%16.4%3.8%0.5%263.5M-2.54B-62.1M1.022.29140,776143,9491,441,0233,033,597
2019-11-08$158.90$155.0014.0%4.3%11.0%3.9%14.4%3.3%0.7%290.8M-3.67B-61.0M1.671.7489,321149,2411,516,7773,096,724
2019-11-11$158.53$155.0014.5%4.3%10.3%6.4%15.8%4.0%0.4%282.3M-2.65B-60.0M1.611.7545,04572,3921,418,1123,048,186
2019-11-12$158.74$155.0014.6%4.3%9.8%7.0%15.1%3.6%0.3%343.4M-3.00B-59.0M0.551.69169,72493,3491,434,7773,072,160
2019-11-13$158.25$155.0014.9%4.4%10.0%8.9%17.2%3.9%0.5%244.1M-2.28B-59.2M2.321.7681,711189,3541,479,6103,110,091
2019-11-14$158.22$155.0015.2%4.5%9.4%9.9%17.6%4.1%0.4%191.3M-1.99B-60.5M2.191.7157,809126,3801,504,3353,166,302
2019-11-15$158.85$155.0014.0%4.1%9.3%4.1%14.8%3.9%0.5%450.2M-3.13B-58.8M1.091.82168,462183,4471,521,2263,223,298
2019-11-18$158.47$156.0014.4%4.2%9.0%5.8%15.0%4.4%-0.1%-1.5M23.4M-58.1M1.451.5176,718111,0951,154,3892,561,298
2019-11-19$159.33$156.0014.2%4.1%9.1%5.1%16.3%4.6%-0.1%185.2M-1.09B-59.2M1.891.44100,263189,5531,195,1902,630,933
2019-11-20$158.72$156.0014.9%4.3%9.3%8.4%15.3%4.9%-0.2%41.7M-47.1M-60.2M0.821.53216,767178,5881,264,8102,715,184
2019-11-21$157.85$156.0014.8%4.3%9.6%8.2%15.6%4.9%-0.2%-167.9M1.32B-61.3M1.061.3791,58996,8131,376,2992,758,294
2019-11-22$158.33$156.0013.9%4.0%9.4%3.4%13.6%4.4%-0.1%120.1M434.7M-59.4M1.171.5181,33795,1381,414,2252,777,798
2019-11-25$161.72$157.0013.4%3.9%11.6%1.0%14.1%3.8%-0.2%688.3M-4.61B-56.7M0.861.34298,194257,4291,304,5242,678,913
2019-11-26$161.78$157.0012.9%3.7%11.6%0.0%14.2%3.7%0.2%877.7M-4.74B-58.6M1.141.35216,277246,5731,439,3872,778,591
2019-11-27$162.71$157.0012.8%3.7%11.6%0.0%13.1%3.4%-0.0%994.6M-6.20B-58.1M0.911.29126,802115,5791,455,1332,939,294
2019-11-29$161.96$158.0013.4%3.9%11.2%3.4%14.6%3.8%0.1%601.8M-4.40B-59.4M1.671.4752,72288,1611,459,5892,991,625