IWM Options History — May 2020

In May 2020, IWM traded between $122.10 and $143.18. ATM implied volatility averaged 40.8%, placing in the 40.8% IV rank vs the trailing year. The 30-day expected move averaged 11.7%. IV traded below realized volatility by 7.1% (HV 20d: 47.9%). Max pain ranged from $130.00 to $135.00. Net GEX was positive for 2 of 20 trading days. Term structure was in contango for 0 of 20 days. Put/call ratio averaged 1.61.

Notable Days

  • 2020-05-14: Highest Volume — 1,006,602 contracts
  • 2020-05-13: Largest IV spike — 17.5% change
  • 2020-05-13: Highest IV Rank — 51.1%
  • 2020-05-01: Largest Expected Move — 14.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$131.00$122.10$143.18$124.88$138.64
Max Pain$134.75$130.00$135.00$130.00$135.00
ATM IV40.8%33.9%48.0%44.5%36.2%
Expected Move11.7%10.1%14.0%14.0%11.0%
HV 20d47.9%43.3%57.4%57.4%43.6%
HV 60d67.9%66.5%69.4%66.5%68.6%
IV Rank40.8%31.0%51.1%46.1%34.2%
IV Percentile82.9%77.0%88.1%86.9%77.8%
Term Structure-0.9%-1.4%-0.2%-0.6%-1.0%
VWIV42.3%38.7%50.6%50.6%40.3%
Skew 25d11.8%10.1%13.5%13.5%10.4%
Skew 10d19.9%17.9%22.9%22.9%18.4%
Call IV 25d35.0%29.0%41.0%37.7%31.9%
Put IV 25d46.8%39.5%53.7%51.1%42.4%
Bid-Ask Spread %1.711.512.151.921.64
Gamma HHI0.040.030.060.060.03
Net GEX-223.7M-533.1M56.5M-421.5M-182.7M
Net DEX5.79B-6.47B16.04B11.78B-332.3M
Net VEX-108.3M-115.2M-102.9M-103.1M-114.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.611.122.181.651.52
Total Volume584,712.35392,9601,006,602829,071517,665
Total OI7,182,581.956,438,8607,879,3577,125,3707,367,508

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-05-01$124.88$130.0044.5%14.0%57.4%46.1%50.6%13.5%-0.6%-421.5M11.78B-103.1M1.651.92312,817516,2542,581,5054,543,865
2020-05-04$125.73$135.0043.5%12.0%55.5%44.6%41.6%13.5%-1.1%-311.4M10.48B-102.9M1.321.74185,672245,0572,483,6744,355,558
2020-05-05$126.44$135.0041.9%11.8%48.8%42.4%41.5%11.8%-0.2%-283.8M9.63B-103.8M1.281.72226,250289,2652,554,0974,421,927
2020-05-06$125.77$135.0043.3%12.0%48.8%44.4%44.2%12.4%-0.8%-306.4M10.42B-104.6M2.181.64123,658269,3022,598,1614,493,792
2020-05-07$127.52$135.0042.0%11.7%47.6%42.5%42.9%11.5%-0.6%-276.7M8.80B-105.8M1.861.51155,697290,1702,611,8104,607,440
2020-05-08$132.25$135.0039.7%11.2%46.0%39.2%40.9%11.4%-0.3%-79.6M3.62B-109.0M1.352.15311,453420,4042,651,9604,756,893
2020-05-11$131.79$135.0039.1%11.1%44.6%38.4%40.4%11.1%-0.4%-193.2M4.65B-107.0M1.732.03143,941249,6542,647,8234,716,910
2020-05-12$127.72$135.0040.9%11.5%45.9%40.9%39.1%11.8%-0.6%-344.3M9.48B-104.3M1.121.83263,308295,5352,681,3654,809,866
2020-05-13$122.10$135.0048.0%13.4%46.5%51.1%47.2%12.7%-1.2%-533.1M16.04B-103.3M2.111.66322,575682,1102,767,9864,939,809
2020-05-14$122.53$135.0046.7%13.1%46.2%49.2%48.2%12.8%-1.2%-489.6M15.25B-103.6M1.701.55372,783633,8192,799,5304,953,520
2020-05-15$124.66$135.0044.5%12.6%43.3%46.1%45.3%13.2%-1.0%-431.9M12.57B-105.0M1.661.56218,006361,6232,884,0824,995,275
2020-05-18$133.15$135.0041.2%11.7%48.5%41.4%42.7%11.9%-1.4%-124.3M2.94B-109.3M1.491.62275,944410,4682,402,1194,036,741
2020-05-19$131.61$135.0041.8%11.9%48.2%42.2%42.4%12.7%-1.1%-182.6M4.80B-110.6M1.391.85208,885291,0612,486,7084,208,589
2020-05-20$133.96$135.0040.5%11.6%48.3%40.3%42.5%11.9%-1.3%-101.4M2.35B-112.9M1.811.53170,389307,9162,552,4204,304,176
2020-05-21$134.42$135.0039.0%11.2%48.2%38.3%40.4%11.0%-1.0%-113.9M2.22B-114.1M1.441.51173,016249,4462,598,5184,426,486
2020-05-22$134.64$135.0036.9%10.7%48.1%35.3%38.9%10.5%-1.0%-93.1M2.12B-114.1M1.551.53177,673274,9412,630,3494,503,500
2020-05-26$139.00$135.0035.2%10.4%47.4%32.9%38.7%10.1%-0.9%26.5M-2.27B-111.8M1.821.55211,621385,2282,601,0274,341,808
2020-05-27$143.18$135.0033.9%10.1%48.2%31.0%38.8%10.5%-0.9%56.5M-6.47B-112.2M1.521.71220,754335,2972,619,2344,479,513
2020-05-28$139.94$135.0036.8%11.1%46.1%35.1%39.7%10.9%-1.1%-87.6M-2.29B-115.2M1.771.92214,892379,6982,638,9694,597,126
2020-05-29$138.64$135.0036.2%11.0%43.6%34.2%40.3%10.4%-1.0%-182.7M-332.3M-114.5M1.521.64205,158312,5072,686,7674,680,741