IWM Options History — September 2020

In September 2020, IWM traded between $144.28 and $158.78. ATM implied volatility averaged 29.7%, placing in the 25.1% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded above realized volatility by 9.1% (HV 20d: 20.6%). Max pain ranged from $150.00 to $153.00. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 2.30.

Notable Days

2020-09-21: Highest Volume — 752,088 contracts
2020-09-03: Largest IV spike — 16.4% change
2020-09-03: Highest IV Rank — 31.4%
2020-09-03: Largest Expected Move — 9.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$151.22	$144.28	$158.78	$156.90	$149.53
Max Pain	$151.33	$150.00	$153.00	$150.00	$152.00
ATM IV	29.7%	26.4%	34.2%	27.7%	30.4%
Expected Move	8.5%	7.6%	9.8%	7.6%	8.8%
HV 20d	20.6%	11.3%	28.2%	12.1%	28.1%
HV 60d	21.9%	20.0%	26.3%	26.2%	21.9%
IV Rank	25.1%	20.4%	31.4%	22.2%	26.1%
IV Percentile	56.0%	48.4%	63.9%	56.0%	55.6%
Term Structure	0.6%	-0.6%	3.4%	0.6%	3.4%
VWIV	31.5%	27.1%	38.4%	29.4%	32.6%
Skew 25d	7.3%	6.0%	8.8%	6.2%	8.2%
Skew 10d	13.4%	10.7%	16.9%	12.2%	14.3%
Call IV 25d	26.5%	23.8%	31.2%	25.3%	26.5%
Put IV 25d	33.9%	29.9%	39.8%	31.5%	34.7%
Bid-Ask Spread %	2.57	1.55	3.86	1.60	1.75
Gamma HHI	0.04	0.03	0.05	0.03	0.04
Net GEX	-561.6M	-1.01B	12.4M	-141.0M	-632.4M
Net DEX	1.86B	-8.54B	11.79B	-6.19B	4.26B
Net VEX	-119.5M	-131.5M	-111.5M	-121.4M	-120.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.30	1.26	3.95	1.48	2.44
Total Volume	460,782.667	243,412	752,088	243,412	556,979
Total OI	7,379,586.476	6,290,593	8,231,371	7,237,742	7,079,615

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
2020-09-01	$156.90	$150.00	27.7%	7.6%	12.1%	22.2%	29.4%	6.2%	0.6%	-141.0M	-6.19B	-121.4M	1.48	1.60	98,312	145,100	2,348,783	4,888,959
2020-09-02	$158.78	$150.00	29.4%	8.0%	11.3%	24.6%	29.9%	6.5%	0.4%	12.4M	-8.54B	-122.8M	1.97	1.83	115,240	227,414	2,381,394	4,947,721
2020-09-03	$153.81	$151.00	34.2%	9.8%	16.4%	31.4%	38.4%	8.6%	0.0%	-430.7M	-781.8M	-131.5M	2.65	2.91	164,903	436,341	2,404,527	5,049,625
2020-09-04	$153.28	$150.00	31.3%	9.0%	15.6%	27.3%	33.5%	8.2%	0.1%	-617.6M	256.3M	-128.5M	2.35	3.86	198,999	466,668	2,440,538	5,153,764
2020-09-08	$150.64	$150.00	32.4%	9.1%	15.9%	28.9%	33.6%	8.4%	-0.6%	-554.6M	2.96B	-124.9M	1.83	3.36	153,743	281,118	2,430,014	5,099,305
2020-09-09	$152.22	$150.00	28.3%	8.1%	16.5%	23.2%	30.7%	7.0%	-0.1%	-471.4M	150.8M	-119.2M	1.79	3.27	151,183	270,899	2,480,156	5,147,768
2020-09-10	$150.86	$152.00	29.9%	8.6%	16.6%	25.4%	31.4%	7.3%	-0.0%	-598.1M	2.55B	-121.7M	1.81	3.66	136,073	246,785	2,539,722	5,281,786
2020-09-11	$149.04	$151.00	28.8%	8.2%	17.0%	23.8%	28.8%	6.7%	-0.1%	-809.5M	5.29B	-120.0M	1.82	3.45	123,565	225,069	2,591,565	5,318,699
2020-09-14	$153.17	$151.00	26.9%	7.7%	20.1%	21.2%	29.1%	7.0%	0.3%	-368.5M	-1.69B	-113.8M	1.92	2.90	144,313	276,724	2,558,252	5,292,779
2020-09-15	$153.10	$151.00	26.8%	7.7%	19.8%	20.9%	28.7%	6.5%	0.2%	-390.0M	-1.64B	-114.4M	2.06	2.70	98,701	203,314	2,618,553	5,387,276
2020-09-16	$155.17	$151.00	26.4%	7.6%	20.3%	20.4%	27.1%	6.2%	0.2%	-145.8M	-4.88B	-112.3M	1.26	3.22	197,492	249,719	2,625,041	5,426,341
2020-09-17	$153.44	$152.00	27.0%	7.7%	20.7%	21.2%	29.2%	6.2%	0.0%	-408.3M	-1.71B	-113.7M	2.80	2.81	130,404	365,626	2,662,978	5,501,548
2020-09-18	$153.31	$152.00	26.5%	7.6%	20.6%	20.5%	28.4%	6.0%	0.2%	-405.9M	-1.47B	-111.5M	2.32	2.44	202,882	469,896	2,680,486	5,550,885
2020-09-21	$147.85	$153.00	30.6%	8.8%	23.9%	26.3%	32.0%	7.2%	-0.0%	-793.2M	6.50B	-114.1M	3.80	2.39	156,768	595,320	2,024,656	4,265,937
2020-09-22	$149.19	$152.00	29.8%	8.5%	23.9%	25.3%	31.8%	7.7%	0.5%	-769.1M	4.91B	-114.9M	3.91	2.20	108,912	425,387	2,076,868	4,398,998
2020-09-23	$144.88	$152.00	32.0%	9.2%	25.6%	28.3%	33.3%	8.1%	0.4%	-1.01B	10.95B	-120.2M	3.95	2.31	90,819	358,571	2,099,600	4,604,789
2020-09-24	$144.28	$152.00	32.9%	9.6%	25.6%	29.6%	35.0%	8.8%	0.2%	-1.01B	11.79B	-121.0M	2.86	2.29	183,996	525,564	2,129,592	4,681,656
2020-09-25	$146.25	$152.00	31.5%	9.0%	26.2%	27.7%	32.2%	7.9%	0.2%	-948.6M	8.94B	-122.8M	1.54	1.93	111,116	170,596	2,196,320	4,822,827
2020-09-28	$150.29	$152.00	30.2%	8.6%	28.2%	25.8%	33.0%	7.7%	3.1%	-629.9M	3.21B	-118.8M	2.17	1.55	115,050	249,240	2,053,073	4,771,387
2020-09-29	$149.58	$152.00	31.2%	9.0%	28.2%	27.2%	33.0%	8.0%	3.0%	-667.1M	4.17B	-120.9M	1.64	1.60	93,760	153,875	2,116,611	4,840,922
2020-09-30	$149.53	$152.00	30.4%	8.8%	28.1%	26.1%	32.6%	8.2%	3.4%	-632.4M	4.26B	-120.9M	2.44	1.75	162,051	394,928	2,182,892	4,896,723