IWM Options History — January 2020

In January 2020, IWM traded between $160.38 and $169.42. ATM implied volatility averaged 14.3%, placing in the 19.4% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded above realized volatility by 5.9% (HV 20d: 8.4%). Max pain ranged from $162.00 to $166.00. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 1.39.

Notable Days

2020-01-31: Highest Volume — 599,698 contracts
2020-01-31: Largest IV spike — 16.7% change
2020-01-31: Highest IV Rank — 60.8%
2020-01-31: Largest Expected Move — 5.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$165.67	$160.38	$169.42	$165.14	$160.38
Max Pain	$165.00	$162.00	$166.00	$162.00	$165.00
ATM IV	14.3%	12.5%	19.3%	13.4%	19.3%
Expected Move	4.1%	3.6%	5.6%	3.8%	5.6%
HV 20d	8.4%	5.9%	12.6%	8.1%	12.6%
HV 60d	10.0%	9.2%	11.2%	11.2%	10.6%
IV Rank	19.4%	4.5%	60.8%	9.9%	60.8%
IV Percentile	22.2%	2.8%	84.1%	5.2%	84.1%
Term Structure	0.2%	-0.3%	0.5%	0.4%	0.5%
VWIV	14.9%	12.9%	19.4%	12.9%	19.4%
Skew 25d	4.4%	3.2%	6.5%	4.1%	6.5%
Skew 10d	8.7%	6.2%	12.3%	7.7%	12.3%
Call IV 25d	12.4%	11.3%	16.3%	11.5%	16.3%
Put IV 25d	16.9%	14.5%	22.8%	15.6%	22.8%
Bid-Ask Spread %	1.54	1.20	2.24	1.52	2.24
Gamma HHI	0.06	0.03	0.22	0.05	0.06
Net GEX	26.6M	-1.17B	1.69B	10.4M	-1.17B
Net DEX	-824.8M	-9.78B	9.42B	-1.68B	9.42B
Net VEX	-60.3M	-72.1M	-53.4M	-53.4M	-72.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.39	0.58	2.79	0.70	2.66
Total Volume	339,927.667	186,319	599,698	291,357	599,698
Total OI	3,779,518.19	3,152,335	4,524,628	3,466,290	4,058,475

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
2020-01-02	$165.14	$162.00	13.4%	3.8%	8.1%	9.9%	12.9%	4.1%	0.4%	10.4M	-1.68B	-53.4M	0.70	1.52	171,341	120,016	1,031,953	2,434,337
2020-01-03	$165.12	$162.00	14.1%	4.0%	7.7%	14.4%	15.4%	4.6%	0.3%	-63.8M	-1.47B	-56.1M	2.79	1.87	75,627	210,826	1,114,817	2,456,654
2020-01-06	$165.29	$164.00	14.4%	4.2%	7.6%	20.2%	15.5%	5.0%	0.2%	14.1M	-1.59B	-56.3M	1.33	1.69	93,486	124,450	1,080,875	2,516,065
2020-01-07	$164.90	$164.00	13.9%	4.1%	6.5%	16.0%	15.9%	4.6%	0.2%	-16.5M	-1.29B	-56.5M	0.90	1.45	97,936	88,383	1,128,855	2,546,390
2020-01-08	$165.78	$164.00	13.4%	3.9%	6.6%	11.8%	14.9%	4.0%	0.2%	282.8M	-2.99B	-56.8M	1.29	1.22	193,729	249,332	1,191,779	2,592,712
2020-01-09	$165.47	$165.00	13.3%	3.9%	6.6%	11.4%	13.4%	3.8%	0.2%	336.4M	-2.50B	-58.2M	0.84	1.35	106,747	89,560	1,289,886	2,697,897
2020-01-10	$164.68	$165.00	13.3%	3.8%	6.9%	11.4%	13.3%	3.6%	0.3%	9.8M	-846.6M	-58.4M	1.26	1.63	149,660	188,885	1,348,577	2,740,130
2020-01-13	$165.61	$165.00	12.8%	3.6%	6.3%	7.3%	14.1%	4.0%	-0.2%	332.1M	-2.64B	-56.5M	1.09	1.41	100,491	109,879	1,325,233	2,702,445
2020-01-14	$166.65	$165.00	12.9%	3.6%	6.0%	8.0%	13.9%	3.6%	-0.3%	665.4M	-4.52B	-56.8M	0.74	1.45	209,137	155,383	1,365,843	2,747,494
2020-01-15	$166.72	$165.00	13.1%	3.7%	5.9%	9.0%	13.4%	3.7%	-0.3%	675.4M	-4.53B	-57.0M	0.89	1.53	156,667	139,773	1,399,689	2,780,242
2020-01-16	$169.42	$165.00	12.7%	3.6%	7.9%	5.7%	13.0%	3.3%	0.1%	1.69B	-9.78B	-55.1M	0.58	1.50	369,034	214,801	1,468,888	2,845,699
2020-01-17	$169.00	$166.00	12.5%	3.6%	8.0%	4.5%	13.0%	3.2%	-0.1%	944.8M	-8.09B	-57.7M	1.06	1.60	197,943	209,533	1,531,802	2,992,826
2020-01-21	$167.72	$166.00	13.4%	3.8%	8.5%	12.0%	13.3%	3.8%	0.1%	59.0M	-1.45B	-58.2M	1.25	1.82	104,184	130,018	1,037,197	2,115,138
2020-01-22	$167.47	$166.00	13.4%	3.8%	8.5%	11.5%	13.5%	3.8%	0.1%	-21.1M	-1.10B	-59.6M	1.57	1.49	84,002	131,599	1,073,840	2,178,392
2020-01-23	$167.86	$166.00	13.6%	3.9%	8.5%	13.3%	15.1%	4.0%	0.1%	14.2M	-1.34B	-62.0M	2.08	1.43	96,506	200,956	1,109,912	2,251,693
2020-01-24	$165.06	$166.00	15.3%	4.4%	10.5%	28.0%	15.9%	4.8%	-0.0%	-616.9M	2.99B	-64.8M	1.60	1.85	229,083	366,885	1,130,223	2,338,575
2020-01-27	$164.03	$166.00	17.1%	4.9%	10.7%	42.8%	17.6%	6.1%	0.4%	-578.3M	3.94B	-66.5M	2.47	1.43	117,657	290,372	1,113,920	2,336,058
2020-01-28	$164.93	$166.00	16.1%	4.6%	10.8%	34.5%	16.9%	5.6%	0.5%	-477.2M	2.79B	-67.4M	1.76	1.20	114,718	201,510	1,155,002	2,472,008
2020-01-29	$164.22	$166.00	16.3%	4.7%	10.9%	36.0%	16.5%	5.4%	0.5%	-680.8M	4.17B	-68.2M	1.32	1.35	83,962	111,147	1,204,956	2,580,469
2020-01-30	$163.61	$166.00	16.5%	4.7%	10.8%	37.8%	16.0%	5.7%	0.5%	-851.6M	5.19B	-68.8M	1.09	1.34	217,367	236,198	1,249,705	2,633,231
2020-01-31	$160.38	$165.00	19.3%	5.6%	12.6%	60.8%	19.4%	6.5%	0.5%	-1.17B	9.42B	-72.1M	2.66	2.24	163,933	435,765	1,369,743	2,688,732