IWM Options History — December 2019 In December 2019, IWM traded between $159.56 and $166.57. ATM implied volatility averaged 13.7%, placing in the 6.9% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded above realized volatility by 3.0% (HV 20d: 10.7%). Max pain ranged from $157.00 to $162.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 1.25.
Notable Days 2019-12-12 : Highest Volume — 478,860 contracts2019-12-27 : Largest IV spike — 10.6% change2019-12-03 : Highest IV Rank — 18.5%2019-12-03 : Largest Expected Move — 5.1%Monthly Statistics Metric Avg Min Max Open Close Price $163.84 $159.56 $166.57 $160.29 $166.15 Max Pain $159.05 $157.00 $162.00 $158.00 $162.00 ATM IV 13.7% 12.0% 16.5% 15.2% 14.0% Expected Move 4.0% 3.4% 5.1% 4.5% 3.9% HV 20d 10.7% 7.9% 12.0% 10.5% 7.9% HV 60d 13.1% 11.1% 14.4% 14.4% 11.1% IV Rank 6.9% 0.0% 18.5% 12.1% 13.2% IV Percentile 12.8% 0.0% 44.8% 28.2% 9.5% Term Structure 0.4% -0.0% 0.7% -0.0% 0.3% VWIV 15.1% 12.2% 18.7% 16.6% 15.8% Skew 25d 4.3% 3.5% 5.2% 4.2% 4.9% Skew 10d 8.7% 7.1% 10.7% 8.1% 10.2% Call IV 25d 12.0% 10.4% 14.6% 13.5% 11.9% Put IV 25d 16.4% 14.3% 19.8% 17.7% 16.8% Bid-Ask Spread % 1.50 1.31 1.95 1.53 1.80 Gamma HHI 0.08 0.04 0.16 0.04 0.09 Net GEX 568.4M -213.9M 1.28B 1.4M 431.2M Net DEX -3.90B -7.49B 745.2M -899.0M -3.18B Net VEX -55.4M -63.4M -50.5M -60.6M -52.6M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.25 0.41 2.01 1.79 2.01 Total Volume 262,070.143 89,950 478,860 328,031 307,135 Total OI 4,341,237.762 3,642,601 4,884,551 4,255,289 3,792,169
Daily Data (21 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 2019-12-02 $160.29 $158.00 15.2% 4.5% 10.5% 12.1% 16.6% 4.2% -0.0% 1.4M -899.0M -60.6M 1.79 1.53 117,602 210,429 1,377,001 2,878,288 2019-12-03 $159.56 $158.00 16.5% 5.1% 10.4% 18.5% 18.6% 5.2% 0.3% -213.9M 745.2M -63.4M 1.95 1.51 102,922 201,129 1,402,849 2,980,961 2019-12-04 $160.97 $158.00 15.6% 4.7% 10.8% 14.2% 16.5% 4.8% 0.5% 64.6M -1.62B -62.2M 1.74 1.39 78,186 135,760 1,430,705 3,042,606 2019-12-05 $160.99 $157.00 15.2% 4.6% 10.5% 12.1% 18.6% 4.5% 0.5% 24.8M -1.72B -61.3M 1.73 1.52 83,331 143,911 1,457,647 3,123,416 2019-12-06 $163.00 $157.00 13.8% 4.2% 11.3% 5.4% 16.0% 3.6% 0.7% 884.1M -5.63B -57.4M 0.76 1.52 193,384 146,393 1,467,852 3,200,145 2019-12-09 $162.61 $157.00 15.1% 4.4% 11.3% 11.6% 16.4% 4.5% 0.1% 328.6M -4.11B -57.9M 1.40 1.35 73,706 103,151 1,408,885 3,153,277 2019-12-10 $162.33 $157.00 15.3% 4.6% 11.3% 12.6% 18.7% 4.9% 0.7% 243.6M -3.41B -59.0M 1.70 1.53 90,074 153,462 1,436,552 3,215,977 2019-12-11 $162.50 $157.00 15.2% 4.5% 11.3% 12.0% 17.5% 4.7% 0.7% 269.1M -3.79B -58.3M 1.24 1.47 77,678 96,026 1,450,224 3,269,710 2019-12-12 $164.17 $158.00 14.1% 4.2% 11.6% 6.8% 14.4% 3.9% 0.4% 952.6M -7.49B -54.7M 0.57 1.95 304,340 174,520 1,491,792 3,267,043 2019-12-13 $163.07 $158.00 12.9% 3.8% 12.0% 0.5% 13.7% 3.5% 0.6% 1.03B -5.62B -53.2M 0.41 1.70 297,007 122,779 1,573,279 3,311,272 2019-12-16 $163.75 $159.00 12.5% 3.6% 12.0% 0.0% 14.4% 3.8% 0.4% 792.5M -3.67B -52.1M 0.81 1.50 166,916 134,688 1,278,875 3,184,261 2019-12-17 $164.50 $160.00 12.4% 3.6% 11.9% 0.0% 12.8% 3.8% 0.0% 963.3M -4.61B -50.5M 0.98 1.54 108,445 106,654 1,278,586 3,200,735 2019-12-18 $165.14 $160.00 12.1% 3.5% 11.9% 0.0% 13.0% 3.8% 0.2% 1.15B -5.57B -50.7M 0.77 1.31 108,635 83,440 1,296,563 3,262,423 2019-12-19 $165.50 $160.00 12.2% 3.5% 11.7% 0.4% 13.6% 3.9% 0.0% 1.18B -5.90B -51.6M 1.43 1.33 117,907 168,722 1,311,860 3,304,737 2019-12-20 $166.00 $160.00 12.0% 3.4% 11.4% 0.0% 12.5% 3.7% 0.3% 1.28B -6.48B -52.5M 0.99 1.38 220,257 218,665 1,345,006 3,341,048 2019-12-23 $166.11 $160.00 12.2% 3.4% 11.4% 0.9% 12.2% 4.2% 0.5% 599.8M -4.31B -52.5M 1.05 1.43 61,067 64,111 1,086,344 2,556,257 2019-12-24 $166.42 $160.00 12.1% 3.4% 8.9% 0.8% 12.9% 4.4% 0.6% 628.4M -4.46B -53.7M 1.32 1.49 38,851 51,099 1,117,985 2,584,420 2019-12-26 $166.57 $161.00 12.2% 3.4% 8.9% 1.3% 13.5% 4.5% 0.6% 733.4M -4.66B -51.7M 0.99 1.49 68,730 68,317 1,117,045 2,630,703 2019-12-27 $165.69 $161.00 13.5% 3.8% 9.1% 8.4% 13.6% 4.6% 0.4% 348.7M -3.09B -54.0M 1.07 1.49 115,315 123,337 1,139,461 2,658,241 2019-12-30 $165.39 $162.00 14.3% 4.1% 8.9% 13.8% 15.5% 5.1% 0.3% 232.7M -2.47B -52.6M 1.53 1.33 105,099 160,293 1,099,270 2,640,523 2019-12-31 $166.15 $162.00 14.0% 3.9% 7.9% 13.2% 15.8% 4.9% 0.3% 431.2M -3.18B -52.6M 2.01 1.80 101,899 205,236 1,104,741 2,687,428
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