IWM Options History — March 2020

In March 2020, IWM traded between $97.74 and $151.85. ATM implied volatility averaged 56.4%, placing in the 79.9% IV rank vs the trailing year. The 30-day expected move averaged 16.4%. IV traded below realized volatility by 7.3% (HV 20d: 63.8%). Max pain ranged from $138.00 to $163.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 1 of 22 days. Put/call ratio averaged 2.68.

Notable Days

2020-03-12: Highest Volume — 898,454 contracts
2020-03-12: Largest IV spike — 33.0% change
2020-03-09: Highest IV Rank — 100.0%
2020-03-18: Largest Expected Move — 23.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$120.57	$97.74	$151.85	$149.67	$112.99
Max Pain	$149.18	$138.00	$163.00	$163.00	$138.00
ATM IV	56.4%	27.1%	82.6%	31.0%	55.4%
Expected Move	16.4%	8.3%	23.7%	9.7%	16.9%
HV 20d	63.8%	29.2%	94.6%	29.7%	92.6%
HV 60d	40.0%	19.1%	56.3%	19.2%	56.3%
IV Rank	79.9%	49.4%	100.0%	62.2%	61.4%
IV Percentile	98.5%	94.8%	100.0%	99.2%	94.8%
Term Structure	-1.7%	-3.5%	0.3%	0.3%	-1.6%
VWIV	59.2%	33.0%	79.7%	34.7%	68.8%
Skew 25d	20.4%	11.6%	27.7%	12.7%	22.1%
Skew 10d	34.7%	21.9%	42.6%	23.2%	39.9%
Call IV 25d	46.1%	22.0%	67.1%	25.3%	44.5%
Put IV 25d	66.5%	33.6%	94.4%	38.0%	66.6%
Bid-Ask Spread %	7.38	2.41	20.32	2.57	4.88
Gamma HHI	0.05	0.04	0.07	0.05	0.04
Net GEX	-518.2M	-996.9M	-260.0M	-988.3M	-338.2M
Net DEX	27.52B	17.46B	36.64B	20.02B	22.01B
Net VEX	-56.0M	-77.6M	-35.7M	-75.2M	-56.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.68	1.07	4.75	1.90	4.20
Total Volume	563,697.773	318,418	898,454	318,418	702,801
Total OI	5,665,431.636	4,614,663	6,997,300	4,614,663	5,863,330

Daily Data (22 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
2020-03-02	$149.67	$163.00	31.0%	9.7%	29.7%	62.2%	34.7%	12.7%	0.3%	-988.3M	20.02B	-75.2M	1.90	2.57	109,977	208,441	1,386,114	3,228,549
2020-03-03	$148.78	$162.00	32.3%	10.3%	29.2%	66.6%	37.0%	13.7%	-1.3%	-971.8M	20.36B	-75.0M	3.50	6.79	137,489	481,366	1,426,669	3,233,390
2020-03-04	$151.85	$161.00	27.1%	8.3%	29.7%	49.4%	33.0%	11.6%	-0.6%	-996.9M	17.46B	-77.6M	2.14	3.07	133,909	286,489	1,501,989	3,363,270
2020-03-05	$146.28	$158.00	35.8%	9.7%	31.0%	78.2%	35.3%	16.2%	-1.0%	-946.6M	22.64B	-76.6M	4.37	3.49	60,617	265,181	1,585,781	3,385,361
2020-03-06	$143.39	$158.00	39.9%	10.9%	31.3%	91.7%	40.2%	18.9%	-1.3%	-966.3M	25.07B	-75.6M	2.47	8.51	166,471	411,672	1,603,538	3,466,634
2020-03-09	$131.69	$158.00	49.7%	13.6%	41.7%	100.0%	48.3%	19.2%	-2.0%	-660.1M	30.32B	-59.7M	4.31	5.42	129,062	556,172	1,520,162	3,419,534
2020-03-10	$133.62	$157.00	45.1%	12.5%	42.3%	87.9%	42.3%	17.5%	-1.7%	-760.8M	29.77B	-62.6M	2.96	5.29	165,461	489,272	1,580,274	3,588,255
2020-03-11	$125.86	$154.00	52.3%	14.5%	45.1%	100.0%	52.1%	18.6%	-1.9%	-613.0M	32.97B	-54.8M	2.92	8.72	196,723	575,393	1,705,292	3,776,376
2020-03-12	$112.81	$153.00	69.5%	19.2%	55.6%	100.0%	65.6%	25.5%	-3.5%	-399.6M	36.19B	-44.9M	4.13	13.79	175,152	723,302	1,807,696	4,024,673
2020-03-13	$116.40	$150.00	60.1%	16.7%	58.1%	83.6%	62.2%	24.3%	-3.3%	-475.4M	36.64B	-46.2M	2.95	20.32	137,869	406,159	1,924,076	4,244,028
2020-03-16	$105.02	$150.00	78.3%	22.1%	65.0%	100.0%	78.4%	27.7%	-0.4%	-314.4M	35.83B	-37.4M	4.75	15.13	96,415	457,821	1,851,747	4,268,206
2020-03-17	$108.58	$148.00	69.0%	19.7%	67.7%	86.0%	69.5%	25.8%	-1.5%	-353.8M	35.58B	-43.8M	3.07	14.40	151,586	464,729	1,936,077	4,427,809
2020-03-18	$97.74	$146.00	82.6%	23.7%	72.9%	100.0%	79.7%	27.3%	-1.3%	-260.0M	35.41B	-36.4M	2.01	14.06	186,199	374,065	2,024,974	4,571,588
2020-03-19	$105.87	$145.00	71.3%	20.5%	81.8%	84.0%	75.1%	24.3%	-1.2%	-306.8M	34.21B	-45.5M	2.12	6.66	198,733	420,592	2,153,555	4,594,214
2020-03-20	$101.62	$145.00	65.3%	18.9%	81.9%	75.6%	65.5%	21.8%	-1.7%	-342.1M	35.30B	-38.0M	1.94	10.57	187,582	363,533	2,250,448	4,746,852
2020-03-23	$98.57	$142.00	65.1%	19.2%	81.9%	75.2%	65.9%	18.9%	-1.8%	-274.7M	26.74B	-35.7M	1.45	4.43	157,616	228,314	1,600,962	3,850,296
2020-03-24	$107.76	$140.00	62.6%	18.9%	91.2%	71.7%	68.2%	16.2%	-2.7%	-287.6M	24.18B	-47.7M	1.20	3.86	216,230	258,399	1,697,652	3,871,186
2020-03-25	$111.09	$140.00	64.0%	19.4%	92.9%	73.7%	70.6%	19.6%	-2.3%	-274.2M	22.65B	-57.3M	1.07	2.41	285,798	304,484	1,761,130	3,962,435
2020-03-26	$115.12	$138.00	61.6%	18.8%	94.6%	70.3%	68.2%	21.2%	-2.6%	-270.0M	20.12B	-62.1M	1.86	2.78	215,914	401,960	1,803,533	3,955,242
2020-03-27	$113.61	$138.00	64.8%	19.8%	94.0%	74.8%	71.0%	23.4%	-2.5%	-278.2M	20.78B	-63.1M	1.74	2.72	194,922	339,678	1,830,845	4,069,903
2020-03-30	$114.19	$138.00	58.8%	18.1%	92.6%	66.3%	70.7%	22.0%	-2.0%	-321.2M	21.12B	-60.0M	1.85	2.41	132,470	245,333	1,781,398	3,994,453
2020-03-31	$112.99	$138.00	55.4%	16.9%	92.6%	61.4%	68.8%	22.1%	-1.6%	-338.2M	22.01B	-56.5M	4.20	4.88	135,230	567,571	1,836,288	4,027,042