IWM Options History — February 2020

In February 2020, IWM traded between $144.54 and $168.72. ATM implied volatility averaged 19.2%, placing in the 45.7% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 1.9% (HV 20d: 17.3%). Max pain ranged from $164.00 to $165.00. Net GEX was positive for 2 of 19 trading days. Term structure was in contango for 5 of 19 days. Put/call ratio averaged 2.38.

Notable Days

  • 2020-02-25: Highest Volume — 1,047,471 contracts
  • 2020-02-28: Largest IV spike — 27.9% change
  • 2020-02-25: Highest IV Rank — 100.0%
  • 2020-02-28: Largest Expected Move — 13.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$163.39$144.54$168.72$162.26$144.54
Max Pain$164.84$164.00$165.00$165.00$164.00
ATM IV19.2%13.9%42.5%17.8%42.5%
Expected Move5.6%4.0%13.6%5.1%13.6%
HV 20d17.3%13.5%26.6%13.5%26.6%
HV 60d12.7%10.8%17.7%10.8%17.7%
IV Rank45.7%15.6%100.0%49.0%100.0%
IV Percentile54.5%12.3%100.0%71.8%100.0%
Term Structure-0.3%-1.8%0.5%-0.3%-1.8%
VWIV20.9%14.0%48.3%19.0%48.3%
Skew 25d6.6%4.3%15.1%6.4%15.1%
Skew 10d12.7%8.3%28.3%12.0%28.3%
Call IV 25d16.4%11.9%36.5%15.2%36.5%
Put IV 25d23.0%16.3%51.6%21.6%51.6%
Bid-Ask Spread %2.181.127.521.197.52
Gamma HHI0.040.030.050.040.05
Net GEX-452.7M-1.17B64.6M-801.8M-877.9M
Net DEX4.45B-2.84B25.43B5.69B25.43B
Net VEX-71.0M-77.3M-65.8M-69.8M-76.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.381.514.011.764.01
Total Volume433,820.737171,9681,047,471232,579873,111
Total OI4,285,504.6843,872,8384,760,4083,872,8384,760,408

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-02-03$162.26$165.0017.8%5.1%13.5%49.0%19.0%6.4%-0.3%-801.8M5.69B-69.8M1.761.1984,340148,2391,229,1892,643,649
2020-02-04$164.81$165.0015.9%4.4%14.7%33.0%16.7%5.5%-0.1%-397.4M1.83B-67.9M1.691.12128,350216,3951,242,5342,653,630
2020-02-05$167.29$165.0015.0%4.0%15.6%25.1%14.8%4.8%-0.1%-2.1M-1.99B-65.8M1.651.21135,441222,8451,257,0342,736,850
2020-02-06$167.14$164.0015.1%4.3%15.5%26.0%15.7%4.7%-0.1%-7.0M-1.62B-66.7M3.951.7277,321305,2321,286,3872,833,217
2020-02-07$164.89$165.0016.2%4.6%16.3%35.5%16.8%5.3%-0.2%-392.2M3.30B-72.1M3.732.1791,446341,3641,300,7402,990,760
2020-02-10$165.67$165.0015.9%4.4%16.2%32.9%18.7%5.1%-0.3%-657.7M2.09B-70.6M2.471.5149,567122,4011,224,0732,968,694
2020-02-11$166.97$165.0015.0%4.3%16.4%25.7%16.6%4.9%-0.1%-413.9M38.0M-70.3M1.991.6092,966185,3901,249,7533,027,412
2020-02-12$168.10$165.0013.9%4.0%16.4%16.0%14.0%4.3%0.1%-56.2M-2.12B-67.5M1.671.6166,165110,3841,284,4023,045,904
2020-02-13$168.36$165.0014.2%4.2%16.4%18.6%17.1%4.6%0.4%-10.6M-2.27B-69.0M1.942.0288,390171,0531,313,9823,099,442
2020-02-14$167.83$165.0014.0%4.1%15.4%16.9%15.1%4.4%0.2%-6.5M-1.52B-69.8M2.001.7490,107180,5661,358,7983,166,957
2020-02-18$167.42$165.0015.0%4.3%15.4%25.3%15.6%4.9%-0.2%-351.8M-375.8M-68.3M1.531.7777,220117,8801,280,9863,064,707
2020-02-19$168.72$165.0013.9%4.0%15.4%15.6%14.9%4.5%0.5%64.6M-2.84B-66.6M1.771.9074,699132,0421,315,1163,117,767
2020-02-20$168.72$165.0014.8%4.2%15.4%24.0%16.4%5.1%0.4%64.0M-2.52B-68.9M1.511.63111,552168,3441,337,7983,147,382
2020-02-21$167.07$165.0017.1%4.9%15.8%43.1%18.7%6.2%-0.2%-496.7M716.7M-72.3M1.701.70167,015283,7881,368,6103,214,093
2020-02-24$162.29$165.0021.8%6.4%17.9%81.8%24.6%9.2%-0.3%-929.7M8.22B-76.0M3.132.03189,285592,2391,117,0462,782,611
2020-02-25$156.97$165.0027.0%8.1%21.3%100.0%29.1%10.5%-0.9%-1.12B14.95B-76.9M2.913.35267,934779,5371,189,6312,931,192
2020-02-26$154.71$165.0026.8%8.1%21.5%99.0%27.3%9.4%-0.9%-1.17B17.27B-76.4M2.082.41179,956374,2401,306,8023,068,138
2020-02-27$150.74$164.0033.2%10.2%23.0%100.0%37.1%10.8%-1.2%-1.04B20.35B-77.3M3.733.29200,005745,7851,396,8143,112,081
2020-02-28$144.54$164.0042.5%13.6%26.6%100.0%48.3%15.1%-1.8%-877.9M25.43B-76.2M4.017.52174,382698,7291,481,6313,278,777