IWM Options History — April 2020

In April 2020, IWM traded between $103.38 and $136.31. ATM implied volatility averaged 49.0%, placing in the 52.4% IV rank vs the trailing year. The 30-day expected move averaged 14.2%. IV traded below realized volatility by 24.9% (HV 20d: 73.9%). Max pain ranged from $130.00 to $149.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 1.85.

Notable Days

2020-04-29: Highest Volume — 1,120,236 contracts
2020-04-22: Largest IV drop — 13.7% change
2020-04-01: Highest IV Rank — 72.1%
2020-04-01: Largest Expected Move — 19.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$119.65	$103.38	$136.31	$105.99	$130.90
Max Pain	$135.71	$130.00	$149.00	$137.00	$130.00
ATM IV	49.0%	35.7%	62.9%	62.9%	40.2%
Expected Move	14.2%	11.0%	19.6%	19.6%	12.6%
HV 20d	73.9%	53.6%	95.8%	93.3%	53.6%
HV 60d	62.5%	57.5%	66.0%	57.5%	66.0%
IV Rank	52.4%	33.6%	72.1%	72.1%	40.0%
IV Percentile	90.8%	84.5%	96.4%	96.4%	86.1%
Term Structure	-1.3%	-2.1%	0.1%	-2.0%	-0.4%
VWIV	52.6%	40.2%	67.6%	67.6%	46.4%
Skew 25d	15.6%	9.5%	21.6%	21.6%	11.5%
Skew 10d	26.3%	16.8%	38.0%	38.0%	20.2%
Call IV 25d	40.9%	31.2%	51.8%	51.8%	34.6%
Put IV 25d	56.5%	40.7%	73.4%	73.4%	46.1%
Bid-Ask Spread %	2.48	1.58	4.07	4.07	2.08
Gamma HHI	0.04	0.03	0.07	0.04	0.03
Net GEX	-267.1M	-401.6M	-39.2M	-367.9M	-244.5M
Net DEX	13.91B	-812.4M	23.53B	22.72B	5.57B
Net VEX	-80.4M	-105.4M	-51.8M	-53.6M	-105.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.85	0.90	3.10	3.10	1.08
Total Volume	635,098.524	408,253	1,120,236	755,535	824,456
Total OI	6,351,411.81	5,713,305	7,218,876	5,828,178	6,946,103

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
2020-04-01	$105.99	$137.00	62.9%	19.6%	93.3%	72.1%	67.6%	21.6%	-2.0%	-367.9M	22.72B	-53.6M	3.10	4.07	184,455	571,080	1,721,768	4,106,410
2020-04-02	$106.62	$149.00	57.4%	15.7%	93.4%	64.3%	64.7%	19.9%	-1.0%	-349.9M	22.35B	-53.2M	2.84	2.50	156,514	444,706	1,805,739	3,994,765
2020-04-03	$103.38	$145.00	56.6%	15.6%	93.5%	63.2%	54.7%	18.1%	-1.1%	-401.6M	23.53B	-51.8M	1.45	2.70	249,281	360,846	1,858,571	4,186,536
2020-04-06	$112.06	$145.00	49.0%	13.7%	95.8%	52.4%	52.5%	17.0%	-1.0%	-292.5M	19.37B	-60.2M	2.13	2.52	170,432	363,070	1,947,580	4,023,973
2020-04-07	$113.74	$144.00	51.8%	14.4%	95.8%	56.4%	53.9%	17.0%	-1.6%	-271.3M	18.08B	-63.9M	2.09	2.42	218,325	456,576	2,011,814	4,059,559
2020-04-08	$117.87	$141.00	50.9%	14.2%	95.0%	55.1%	54.0%	17.8%	-1.4%	-271.7M	15.96B	-71.3M	1.65	2.27	221,840	365,720	2,062,730	4,205,832
2020-04-09	$123.98	$140.00	51.1%	14.2%	88.0%	55.4%	54.9%	16.6%	-2.1%	-249.8M	11.76B	-80.0M	2.05	3.91	360,994	740,682	2,129,973	4,319,310
2020-04-13	$120.56	$138.00	50.8%	14.4%	88.1%	55.0%	52.4%	16.3%	-1.9%	-329.7M	15.38B	-77.8M	1.80	3.54	151,703	273,342	2,148,460	4,450,863
2020-04-14	$123.01	$136.00	49.0%	14.0%	79.1%	52.4%	50.9%	14.0%	-1.9%	-302.5M	13.40B	-82.1M	1.06	2.80	305,831	325,043	2,232,721	4,539,878
2020-04-15	$118.09	$135.00	52.6%	15.1%	80.3%	57.6%	55.1%	14.7%	-1.9%	-370.9M	17.45B	-79.1M	1.97	2.60	142,895	282,038	2,290,845	4,620,256
2020-04-16	$116.56	$135.00	52.7%	15.2%	69.6%	57.6%	57.2%	16.2%	-1.5%	-379.7M	18.40B	-77.9M	2.69	1.97	193,163	519,773	2,346,314	4,648,985
2020-04-17	$122.34	$135.00	51.5%	14.9%	66.2%	55.9%	53.6%	15.9%	-1.3%	-169.6M	13.83B	-87.5M	1.37	2.24	311,689	426,438	2,424,918	4,793,958
2020-04-20	$120.55	$130.00	53.9%	15.9%	64.3%	59.4%	57.9%	17.9%	-1.8%	-251.2M	12.47B	-88.0M	2.70	2.40	132,956	359,522	1,981,795	3,731,510
2020-04-21	$118.34	$130.00	52.9%	15.4%	63.4%	58.0%	58.9%	16.9%	-2.0%	-305.5M	14.16B	-87.8M	2.88	2.61	147,544	425,236	2,013,225	3,873,091
2020-04-22	$119.88	$130.00	45.7%	13.3%	56.0%	47.7%	50.1%	15.0%	-1.4%	-291.6M	13.32B	-88.0M	1.94	1.96	139,093	269,160	2,081,753	3,959,598
2020-04-23	$121.42	$130.00	46.1%	13.4%	55.3%	48.3%	48.6%	14.9%	-1.6%	-268.6M	12.18B	-92.1M	1.33	1.87	208,903	278,563	2,122,996	4,049,074
2020-04-24	$123.20	$130.00	42.2%	12.2%	54.2%	42.8%	46.9%	13.1%	-0.9%	-192.1M	10.60B	-94.1M	1.44	1.58	178,449	257,737	2,240,243	4,149,963
2020-04-27	$128.22	$130.00	38.2%	11.4%	55.3%	37.1%	43.0%	12.2%	-0.3%	-149.4M	6.87B	-95.1M	1.21	2.02	274,567	332,919	2,190,821	4,053,410
2020-04-28	$129.65	$130.00	37.8%	11.6%	55.4%	36.6%	40.7%	12.0%	-0.4%	-111.0M	5.49B	-97.4M	1.05	2.29	287,993	303,299	2,299,282	4,140,262
2020-04-29	$136.31	$130.00	35.7%	11.0%	57.1%	33.6%	40.2%	9.5%	0.1%	-39.2M	-812.4M	-101.9M	0.90	1.80	588,282	531,954	2,350,303	4,264,461
2020-04-30	$130.90	$130.00	40.2%	12.6%	53.6%	40.0%	46.4%	11.5%	-0.4%	-244.5M	5.57B	-105.4M	1.08	2.08	395,743	428,713	2,434,008	4,512,095