IWM Options History — August 2020

In August 2020, IWM traded between $149.81 and $157.88. ATM implied volatility averaged 26.2%, placing in the 20.2% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded above realized volatility by 8.5% (HV 20d: 17.7%). Max pain ranged from $144.00 to $150.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 1.57.

Notable Days

2020-08-10: Highest Volume — 674,457 contracts
2020-08-31: Largest IV spike — 10.9% change
2020-08-03: Highest IV Rank — 25.5%
2020-08-03: Largest Expected Move — 8.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$155.64	$149.81	$157.88	$149.81	$156.18
Max Pain	$148.26	$144.00	$150.00	$144.00	$150.00
ATM IV	26.2%	24.3%	30.0%	30.0%	26.9%
Expected Move	7.4%	6.5%	8.4%	8.4%	7.6%
HV 20d	17.7%	12.2%	23.8%	23.8%	12.2%
HV 60d	30.5%	26.4%	35.5%	35.5%	26.4%
IV Rank	20.2%	17.4%	25.5%	25.5%	21.2%
IV Percentile	53.4%	48.4%	58.3%	58.3%	54.4%
Term Structure	0.3%	-0.3%	0.9%	-0.3%	0.5%
VWIV	28.1%	25.3%	31.5%	31.5%	26.5%
Skew 25d	7.1%	6.1%	8.2%	8.2%	6.7%
Skew 10d	13.9%	11.8%	15.6%	15.0%	13.1%
Call IV 25d	23.5%	21.8%	26.5%	26.5%	24.6%
Put IV 25d	30.6%	28.1%	34.6%	34.6%	31.2%
Bid-Ask Spread %	1.89	1.42	2.40	1.69	1.82
Gamma HHI	0.05	0.03	0.07	0.04	0.03
Net GEX	94.9M	-270.7M	484.3M	65.8M	-225.2M
Net DEX	-8.79B	-13.87B	-4.44B	-4.61B	-5.05B
Net VEX	-124.9M	-129.2M	-119.7M	-129.2M	-121.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.57	0.76	2.50	2.46	0.76
Total Volume	369,677.952	213,046	674,457	325,631	244,549
Total OI	7,843,456.429	7,116,270	8,595,046	7,363,144	7,116,270

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
2020-08-03	$149.81	$144.00	30.0%	8.4%	23.8%	25.5%	31.5%	8.2%	-0.3%	65.8M	-4.61B	-129.2M	2.46	1.69	94,182	231,449	2,620,808	4,742,336
2020-08-04	$150.78	$144.00	28.4%	7.9%	22.5%	23.2%	29.1%	7.5%	-0.2%	160.8M	-5.73B	-127.1M	1.01	1.75	234,076	237,271	2,642,834	4,822,967
2020-08-05	$153.47	$144.50	26.9%	7.4%	23.0%	21.1%	27.9%	7.0%	-0.1%	484.3M	-9.47B	-127.1M	2.43	2.08	149,722	363,358	2,769,173	4,944,983
2020-08-06	$153.83	$145.00	26.4%	7.7%	21.8%	20.4%	29.2%	6.7%	0.0%	472.0M	-9.91B	-127.4M	1.44	1.97	123,813	178,754	2,778,720	5,137,312
2020-08-07	$155.88	$145.00	26.7%	7.7%	21.8%	20.8%	29.2%	6.4%	-0.3%	424.6M	-12.75B	-126.4M	1.06	2.40	308,742	327,973	2,800,389	5,204,214
2020-08-10	$157.83	$146.00	27.0%	7.8%	21.7%	21.3%	30.6%	6.5%	0.4%	356.9M	-13.87B	-123.6M	0.94	2.02	347,049	327,408	2,630,894	5,158,394
2020-08-11	$157.17	$147.00	29.0%	8.3%	22.0%	24.0%	29.2%	7.5%	0.2%	212.7M	-12.42B	-127.5M	1.36	2.13	181,787	247,676	2,684,308	5,262,067
2020-08-12	$157.47	$148.00	27.1%	7.9%	16.5%	21.4%	28.6%	7.3%	0.4%	212.8M	-12.52B	-126.6M	2.46	2.13	115,857	284,635	2,701,905	5,357,718
2020-08-13	$157.24	$150.00	26.4%	7.6%	15.6%	20.3%	29.0%	7.0%	0.4%	179.9M	-11.80B	-128.4M	1.91	2.07	116,761	222,946	2,763,299	5,473,846
2020-08-14	$156.78	$150.00	25.6%	7.4%	15.7%	19.3%	28.4%	7.0%	0.5%	163.0M	-11.24B	-127.1M	1.44	2.30	143,066	206,318	2,794,512	5,540,265
2020-08-17	$157.88	$150.00	24.3%	7.0%	15.6%	17.5%	26.2%	7.1%	0.7%	235.4M	-12.78B	-123.0M	2.32	1.95	64,162	148,884	2,747,418	5,479,421
2020-08-18	$156.53	$150.00	24.9%	7.2%	15.9%	18.3%	28.1%	7.5%	0.8%	70.9M	-10.42B	-123.7M	1.80	1.90	102,932	185,724	2,762,442	5,517,682
2020-08-19	$156.60	$150.00	24.7%	7.1%	16.0%	18.1%	28.6%	7.5%	0.9%	68.2M	-10.56B	-124.6M	2.01	1.78	108,793	218,954	2,795,359	5,612,141
2020-08-20	$155.99	$150.00	25.0%	7.1%	16.1%	18.4%	28.8%	7.8%	0.8%	-93.7M	-9.19B	-124.7M	2.50	1.66	83,889	210,117	2,803,338	5,686,142
2020-08-21	$154.22	$150.00	25.6%	7.2%	15.7%	19.3%	27.4%	7.2%	0.9%	-270.7M	-5.72B	-125.0M	1.89	1.56	202,518	383,472	2,816,842	5,778,204
2020-08-24	$155.79	$150.00	24.9%	6.9%	15.7%	18.3%	25.6%	7.3%	-0.1%	-214.8M	-4.55B	-123.0M	1.09	1.56	124,852	136,587	2,386,671	4,813,153
2020-08-25	$156.44	$150.00	24.8%	6.9%	15.6%	18.1%	26.7%	7.0%	0.2%	-87.2M	-5.65B	-122.1M	1.01	1.42	125,115	126,047	2,440,477	4,839,715
2020-08-26	$155.47	$150.00	25.5%	7.1%	15.1%	19.1%	25.8%	6.9%	0.1%	-195.1M	-4.44B	-122.3M	0.81	1.79	123,864	99,724	2,479,564	4,894,463
2020-08-27	$156.21	$150.00	26.2%	7.3%	15.0%	20.1%	27.6%	7.1%	-0.1%	-61.8M	-5.31B	-123.2M	1.24	2.24	144,243	178,478	2,509,394	4,921,340
2020-08-28	$156.88	$150.00	24.3%	6.5%	13.7%	17.4%	25.3%	6.1%	0.2%	34.3M	-6.50B	-119.7M	0.92	1.52	159,780	147,710	2,531,874	4,949,731
2020-08-31	$156.18	$150.00	26.9%	7.6%	12.2%	21.2%	26.5%	6.7%	0.5%	-225.2M	-5.05B	-121.0M	0.76	1.82	138,603	105,946	2,274,207	4,842,063