IWM Options History — June 2020

In June 2020, IWM traded between $135.90 and $152.75. ATM implied volatility averaged 40.0%, placing in the 39.7% IV rank vs the trailing year. The 30-day expected move averaged 11.6%. IV traded below realized volatility by 2.3% (HV 20d: 42.3%). Max pain ranged from $135.00 to $143.00. Net GEX was positive for 3 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 1.82.

Notable Days

2020-06-11: Highest Volume — 1,548,165 contracts
2020-06-11: Largest IV spike — 32.7% change
2020-06-11: Highest IV Rank — 53.1%
2020-06-11: Largest Expected Move — 13.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$142.69	$135.90	$152.75	$140.96	$143.19
Max Pain	$140.93	$135.00	$143.00	$135.00	$142.00
ATM IV	40.0%	32.9%	49.5%	36.1%	35.5%
Expected Move	11.6%	9.2%	13.7%	11.2%	10.2%
HV 20d	42.3%	39.6%	47.6%	39.6%	41.9%
HV 60d	55.0%	45.8%	68.3%	68.3%	45.8%
IV Rank	39.7%	29.6%	53.1%	34.2%	33.3%
IV Percentile	79.5%	69.8%	88.9%	77.4%	69.8%
Term Structure	-0.8%	-1.8%	0.3%	0.3%	0.0%
VWIV	41.9%	33.6%	48.6%	40.7%	38.9%
Skew 25d	12.0%	8.9%	14.4%	10.9%	11.1%
Skew 10d	21.1%	15.0%	25.2%	18.7%	19.7%
Call IV 25d	34.1%	29.1%	43.0%	30.9%	30.0%
Put IV 25d	46.1%	38.0%	55.9%	41.8%	41.1%
Bid-Ask Spread %	2.16	1.43	2.63	1.43	1.99
Gamma HHI	0.03	0.03	0.04	0.03	0.03
Net GEX	-223.4M	-572.0M	161.7M	-102.6M	-199.7M
Net DEX	-519.2M	-14.87B	9.52B	-2.77B	943.6M
Net VEX	-124.4M	-132.5M	-110.7M	-112.6M	-129.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.82	1.33	2.75	1.82	2.44
Total Volume	628,233.5	291,029	1,548,165	291,029	479,474
Total OI	7,579,082.5	6,373,897	8,757,431	7,035,645	7,165,984

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
2020-06-01	$140.96	$135.00	36.1%	11.2%	39.6%	34.2%	40.7%	10.9%	0.3%	-102.6M	-2.77B	-112.6M	1.82	1.43	103,145	187,884	2,609,154	4,426,491
2020-06-02	$140.90	$135.00	36.1%	11.1%	39.6%	34.2%	39.8%	11.2%	-0.9%	-126.9M	-2.48B	-112.0M	1.96	1.54	113,561	222,565	2,621,659	4,491,722
2020-06-03	$145.22	$135.00	34.4%	10.5%	40.6%	31.7%	37.0%	10.4%	-0.9%	15.0M	-7.72B	-110.7M	1.36	2.18	240,230	326,730	2,656,494	4,585,294
2020-06-04	$144.15	$140.00	34.5%	9.7%	40.7%	31.9%	36.1%	10.2%	-0.8%	-49.3M	-5.96B	-112.6M	1.70	2.02	196,921	335,336	2,715,398	4,758,560
2020-06-05	$149.94	$140.00	32.9%	9.2%	42.2%	29.6%	34.1%	8.9%	-0.8%	161.7M	-13.19B	-112.0M	1.57	2.31	384,665	602,694	2,748,028	4,861,023
2020-06-08	$152.75	$141.00	34.3%	9.6%	41.1%	31.6%	33.6%	9.5%	-0.7%	84.0M	-14.87B	-113.7M	1.89	2.10	218,982	413,622	2,793,996	4,725,104
2020-06-09	$151.04	$143.00	36.8%	10.3%	41.5%	35.1%	36.6%	9.8%	-0.8%	-32.1M	-11.67B	-119.6M	1.63	1.86	149,328	243,608	2,862,026	4,915,866
2020-06-10	$146.72	$142.00	37.3%	10.3%	41.2%	35.9%	37.1%	9.3%	-1.2%	-165.6M	-5.97B	-121.3M	1.33	2.35	313,597	417,245	2,911,278	4,963,534
2020-06-11	$135.90	$143.00	49.5%	13.7%	47.5%	53.1%	47.2%	12.9%	-1.8%	-430.7M	9.52B	-128.0M	1.96	2.33	523,129	1,025,036	3,055,564	5,097,458
2020-06-12	$137.35	$142.00	46.9%	13.2%	47.5%	49.5%	46.8%	14.1%	-1.2%	-481.4M	7.91B	-130.2M	1.49	2.09	364,717	545,066	3,209,890	5,275,396
2020-06-15	$139.97	$142.00	45.7%	13.0%	47.6%	47.8%	48.6%	14.2%	-1.1%	-268.8M	3.76B	-129.8M	2.29	2.63	255,105	583,801	3,091,892	5,135,069
2020-06-16	$143.86	$142.00	45.1%	12.9%	42.9%	47.0%	47.9%	14.3%	-1.2%	-126.2M	-1.79B	-132.5M	2.32	2.51	242,725	563,812	3,152,432	5,255,416
2020-06-17	$141.86	$142.00	45.4%	13.0%	43.0%	47.3%	46.9%	14.1%	-1.3%	-236.7M	1.31B	-131.9M	1.65	2.42	196,771	325,098	3,207,211	5,345,194
2020-06-18	$141.50	$142.00	45.5%	13.1%	42.7%	47.4%	45.9%	14.4%	-1.4%	-300.3M	1.82B	-131.0M	1.72	2.57	200,387	344,469	3,227,537	5,418,790
2020-06-19	$141.36	$142.00	42.9%	12.4%	42.8%	43.8%	45.9%	13.0%	-1.0%	-365.7M	1.82B	-129.9M	1.69	2.22	231,442	390,421	3,275,155	5,482,276
2020-06-22	$142.25	$142.00	40.8%	11.9%	42.8%	40.9%	43.0%	13.2%	-0.4%	-236.1M	2.19B	-128.0M	1.69	2.48	148,749	252,038	2,283,364	4,090,533
2020-06-23	$143.40	$142.00	37.9%	11.0%	41.4%	36.7%	39.5%	12.3%	-0.2%	-238.4M	1.27B	-128.2M	1.53	2.01	160,685	246,081	2,329,983	4,240,801
2020-06-24	$139.01	$142.50	42.3%	12.4%	41.6%	42.9%	46.2%	13.6%	-0.5%	-423.4M	6.12B	-129.6M	2.75	2.05	179,864	495,009	2,362,804	4,322,071
2020-06-25	$139.67	$142.00	40.1%	11.8%	40.8%	39.8%	44.1%	12.1%	-0.8%	-428.5M	5.58B	-130.3M	1.74	2.00	215,458	375,576	2,428,278	4,476,855
2020-06-26	$137.57	$142.00	41.5%	12.2%	41.1%	41.9%	44.6%	12.6%	-0.3%	-572.0M	8.29B	-131.8M	1.85	2.32	194,226	358,723	2,506,762	4,635,606
2020-06-29	$140.58	$142.00	39.3%	11.7%	41.4%	38.7%	41.6%	12.8%	0.0%	-390.9M	4.46B	-131.5M	1.72	2.18	166,416	286,746	2,437,583	4,584,284
2020-06-30	$143.19	$142.00	35.5%	10.2%	41.9%	33.3%	38.9%	11.1%	0.0%	-199.7M	943.6M	-129.8M	2.44	1.99	139,280	340,194	2,496,679	4,669,305