IWM Options History — July 2020

In July 2020, IWM traded between $139.08 and $149.22. ATM implied volatility averaged 33.3%, placing in the 30.1% IV rank vs the trailing year. The 30-day expected move averaged 9.5%. IV traded above realized volatility by 5.2% (HV 20d: 28.0%). Max pain ranged from $140.00 to $144.00. Net GEX was positive for 10 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 1.88.

Notable Days

2020-07-15: Highest Volume — 928,657 contracts
2020-07-13: Largest IV spike — 11.3% change
2020-07-13: Highest IV Rank — 37.8%
2020-07-13: Largest Expected Move — 10.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$144.90	$139.08	$149.22	$142.62	$146.68
Max Pain	$141.68	$140.00	$144.00	$142.00	$144.00
ATM IV	33.3%	28.9%	38.6%	34.2%	31.3%
Expected Move	9.5%	8.2%	10.8%	9.7%	8.9%
HV 20d	28.0%	22.1%	40.5%	40.5%	22.8%
HV 60d	39.2%	35.1%	43.1%	43.1%	35.4%
IV Rank	30.1%	23.9%	37.8%	31.5%	27.3%
IV Percentile	65.0%	58.3%	74.6%	67.9%	60.3%
Term Structure	-0.1%	-0.8%	0.7%	0.0%	0.3%
VWIV	35.4%	31.2%	40.8%	36.8%	31.9%
Skew 25d	8.6%	7.1%	10.5%	10.3%	7.5%
Skew 10d	15.9%	13.5%	19.2%	18.4%	14.0%
Call IV 25d	29.4%	25.7%	33.7%	29.2%	27.5%
Put IV 25d	38.0%	32.8%	44.2%	39.5%	35.0%
Bid-Ask Spread %	2.14	1.53	3.54	2.02	1.97
Gamma HHI	0.03	0.03	0.04	0.03	0.03
Net GEX	-153.0M	-663.3M	176.0M	-303.8M	-229.0M
Net DEX	-288.7M	-5.39B	7.57B	2.10B	-629.6M
Net VEX	-131.5M	-134.5M	-129.2M	-129.9M	-132.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.88	0.74	3.68	2.03	1.32
Total Volume	482,394.182	297,954	928,657	554,185	593,852
Total OI	7,334,479.364	6,713,080	8,109,475	6,996,172	7,542,000

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
2020-07-01	$142.62	$142.00	34.2%	9.7%	40.5%	31.5%	36.8%	10.3%	0.0%	-303.8M	2.10B	-129.9M	2.03	2.02	182,616	371,569	2,432,589	4,563,583
2020-07-02	$142.49	$142.00	33.4%	9.4%	40.4%	30.3%	34.5%	9.4%	0.2%	-329.5M	2.19B	-131.0M	2.09	1.83	188,958	395,014	2,492,643	4,687,947
2020-07-06	$143.49	$140.00	34.9%	10.0%	37.7%	32.5%	38.2%	10.3%	-0.2%	-322.5M	1.52B	-130.8M	1.60	2.38	163,875	261,455	2,459,495	4,647,969
2020-07-07	$140.83	$140.00	35.1%	9.9%	37.3%	32.7%	40.8%	10.1%	-0.2%	-515.3M	5.09B	-130.3M	3.68	2.26	100,793	371,377	2,489,958	4,733,120
2020-07-08	$141.28	$140.00	34.8%	9.9%	37.3%	32.2%	35.9%	9.9%	-0.2%	-514.6M	4.60B	-129.7M	1.54	2.15	149,961	230,948	2,525,201	4,728,859
2020-07-09	$139.08	$140.00	36.1%	10.2%	36.3%	34.1%	37.9%	10.1%	-0.2%	-663.3M	7.57B	-130.5M	1.85	2.22	199,821	370,098	2,583,238	4,811,320
2020-07-10	$141.04	$140.00	34.7%	9.9%	24.0%	32.2%	36.6%	9.4%	-0.0%	-478.8M	4.54B	-130.4M	1.58	2.21	186,027	293,218	2,639,074	4,873,731
2020-07-13	$140.58	$140.00	38.6%	10.8%	23.9%	37.8%	39.5%	10.5%	-0.7%	-475.6M	4.96B	-131.2M	0.74	3.54	365,538	271,004	2,592,797	4,823,444
2020-07-14	$141.26	$140.00	37.4%	10.6%	23.0%	36.1%	38.4%	10.4%	-0.4%	-425.7M	4.03B	-131.9M	1.99	2.56	129,596	257,441	2,794,919	4,887,333
2020-07-15	$147.65	$140.00	36.6%	10.3%	26.2%	34.9%	38.5%	9.1%	-0.8%	106.6M	-5.39B	-133.4M	0.93	2.41	481,156	447,501	2,840,016	4,932,904
2020-07-16	$145.81	$140.00	35.9%	10.1%	26.0%	33.9%	36.9%	8.1%	-0.7%	85.2M	-3.33B	-134.5M	1.35	2.30	216,633	292,281	2,965,582	5,032,632
2020-07-17	$146.61	$140.00	33.7%	9.6%	26.0%	30.8%	34.9%	7.3%	-0.3%	176.0M	-5.03B	-134.1M	1.52	2.60	199,089	301,864	3,035,064	5,074,411
2020-07-20	$146.18	$141.00	31.6%	9.0%	26.1%	27.8%	34.4%	7.6%	0.0%	13.7M	-2.28B	-130.5M	2.20	2.11	119,404	262,856	2,516,411	4,196,669
2020-07-21	$147.82	$142.00	32.1%	9.2%	26.3%	28.4%	33.7%	7.7%	-0.2%	102.1M	-4.27B	-130.4M	1.10	2.19	204,342	224,913	2,562,759	4,272,913
2020-07-22	$147.92	$143.00	30.6%	8.8%	26.2%	26.3%	32.9%	7.5%	0.2%	140.8M	-4.10B	-131.4M	1.08	1.77	173,860	187,273	2,617,023	4,347,079
2020-07-23	$148.19	$143.00	31.7%	9.1%	23.1%	28.0%	35.4%	8.0%	-0.2%	170.1M	-4.19B	-133.8M	2.45	2.03	177,478	435,364	2,670,152	4,424,073
2020-07-24	$146.03	$144.00	31.1%	8.9%	24.0%	27.1%	33.1%	7.4%	0.1%	-193.4M	-670.6M	-134.3M	2.14	1.76	134,987	289,429	2,704,853	4,593,310
2020-07-27	$147.40	$144.00	29.8%	8.5%	23.2%	25.2%	31.7%	7.5%	0.2%	16.9M	-2.74B	-129.2M	3.30	1.53	69,280	228,674	2,639,998	4,497,523
2020-07-28	$146.82	$144.00	30.2%	8.7%	22.3%	25.8%	32.5%	7.6%	0.1%	-41.0M	-1.65B	-130.6M	2.89	1.60	87,840	253,775	2,662,913	4,558,301
2020-07-29	$149.22	$144.00	28.9%	8.3%	22.1%	23.9%	31.2%	7.1%	0.2%	174.9M	-4.80B	-130.1M	1.97	1.98	111,675	220,391	2,691,803	4,723,108
2020-07-30	$148.75	$144.00	29.0%	8.2%	22.1%	24.1%	33.1%	7.1%	0.7%	141.1M	-3.85B	-131.5M	1.91	1.72	140,594	268,852	2,719,776	4,770,053
2020-07-31	$146.68	$144.00	31.3%	8.9%	22.8%	27.3%	31.9%	7.5%	0.3%	-229.0M	-629.6M	-132.4M	1.32	1.97	256,318	337,534	2,710,475	4,831,525