IWM Options History — October 2020

In October 2020, IWM traded between $151.36 and $164.14. ATM implied volatility averaged 32.1%, placing in the 28.5% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded above realized volatility by 8.6% (HV 20d: 23.5%). Max pain ranged from $150.00 to $159.00. Net GEX was positive for 5 of 22 trading days. Term structure was in contango for 2 of 22 days. Put/call ratio averaged 2.59.

Notable Days

2020-10-06: Highest Volume — 960,467 contracts
2020-10-26: Largest IV spike — 16.6% change
2020-10-28: Highest IV Rank — 39.7%
2020-10-28: Largest Expected Move — 12.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$159.24	$151.36	$164.14	$151.36	$152.08
Max Pain	$155.73	$150.00	$159.00	$152.00	$158.00
ATM IV	32.1%	28.7%	40.0%	31.6%	38.9%
Expected Move	9.3%	8.0%	12.2%	9.0%	12.0%
HV 20d	23.5%	17.8%	28.1%	28.1%	22.9%
HV 60d	21.2%	20.6%	22.5%	22.0%	21.9%
IV Rank	28.5%	23.7%	39.7%	27.8%	38.1%
IV Percentile	58.0%	48.0%	76.6%	59.1%	74.2%
Term Structure	-0.4%	-1.3%	3.6%	3.0%	-0.7%
VWIV	35.5%	30.0%	44.2%	33.6%	44.2%
Skew 25d	9.5%	8.0%	11.5%	8.0%	11.2%
Skew 10d	16.8%	14.0%	20.7%	14.0%	19.9%
Call IV 25d	27.8%	24.9%	34.6%	27.4%	33.8%
Put IV 25d	37.2%	33.8%	46.1%	35.4%	45.0%
Bid-Ask Spread %	2.11	1.46	3.09	1.60	2.16
Gamma HHI	0.03	0.03	0.05	0.03	0.05
Net GEX	-306.2M	-1.05B	195.0M	-545.3M	-1.05B
Net DEX	-4.61B	-12.38B	7.76B	1.87B	7.76B
Net VEX	-118.4M	-127.9M	-112.1M	-122.9M	-126.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.59	1.24	4.41	2.00	2.79
Total Volume	532,953	302,637	960,467	358,703	624,147
Total OI	7,146,510.682	6,301,172	8,077,061	6,917,204	7,284,997

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
2020-10-01	$151.36	$152.00	31.6%	9.0%	28.1%	27.8%	33.6%	8.0%	3.0%	-545.3M	1.87B	-122.9M	2.00	1.60	119,455	239,248	2,119,870	4,797,334
2020-10-02	$153.33	$152.00	31.1%	8.6%	26.4%	27.1%	33.4%	8.0%	3.6%	-326.3M	-844.8M	-121.6M	2.63	1.46	177,020	465,805	2,161,413	4,846,608
2020-10-05	$157.12	$150.00	31.5%	9.2%	27.7%	27.7%	35.7%	8.7%	-0.2%	-109.3M	-5.16B	-116.8M	2.37	2.37	118,542	280,647	2,120,302	4,761,487
2020-10-06	$157.25	$150.00	32.7%	9.3%	26.8%	29.4%	33.8%	8.8%	-0.4%	-155.7M	-5.03B	-118.6M	1.55	3.09	377,228	583,239	2,148,233	4,812,101
2020-10-07	$160.24	$153.00	32.2%	9.1%	27.3%	28.7%	33.2%	8.6%	-0.2%	41.6M	-8.29B	-117.3M	1.96	2.57	176,979	347,111	2,227,040	4,992,636
2020-10-08	$161.86	$154.00	30.7%	8.7%	27.1%	26.6%	33.8%	8.5%	-0.3%	173.4M	-10.54B	-116.3M	3.23	2.60	163,221	527,574	2,289,727	5,156,957
2020-10-09	$162.67	$155.00	28.9%	8.0%	26.5%	24.0%	30.0%	8.6%	-0.6%	195.0M	-11.28B	-114.4M	1.43	2.38	261,582	374,959	2,312,475	5,328,911
2020-10-12	$164.14	$155.00	28.7%	8.0%	25.1%	23.7%	31.1%	8.9%	-0.7%	129.7M	-12.38B	-112.1M	2.40	2.19	127,844	306,199	2,328,865	5,255,799
2020-10-13	$162.98	$155.00	28.9%	8.0%	25.4%	24.0%	31.2%	8.9%	-0.8%	21.3M	-10.50B	-114.6M	2.70	2.20	90,164	243,333	2,348,029	5,367,146
2020-10-14	$161.60	$155.00	29.4%	8.2%	25.4%	24.6%	33.7%	9.3%	-0.7%	-179.6M	-8.26B	-116.1M	2.87	2.05	85,965	246,493	2,363,935	5,459,632
2020-10-15	$163.00	$155.00	29.4%	8.3%	25.0%	24.7%	31.9%	9.1%	-0.6%	-74.0M	-10.16B	-114.5M	1.99	2.01	210,371	418,529	2,380,764	5,535,257
2020-10-16	$162.67	$156.00	29.3%	8.3%	25.0%	24.5%	33.2%	9.0%	-0.6%	-227.3M	-9.91B	-115.1M	2.12	2.31	125,542	266,122	2,423,481	5,653,580
2020-10-19	$160.78	$156.00	31.5%	9.0%	21.1%	27.7%	32.6%	9.7%	-1.0%	-343.6M	-4.55B	-116.8M	1.51	2.12	165,036	248,956	1,965,245	4,335,927
2020-10-20	$161.01	$158.00	32.0%	9.1%	21.1%	28.4%	34.8%	9.8%	-1.1%	-355.2M	-4.68B	-117.4M	2.87	1.87	91,647	262,784	2,043,494	4,416,652
2020-10-21	$159.42	$158.00	32.2%	9.2%	17.9%	28.6%	34.1%	9.7%	-1.3%	-587.6M	-2.48B	-118.5M	2.82	1.85	79,323	223,314	2,069,982	4,526,233
2020-10-22	$162.12	$159.00	30.3%	8.7%	18.1%	25.9%	37.3%	9.4%	-1.2%	-262.0M	-6.29B	-115.3M	4.14	1.61	96,661	399,799	2,093,284	4,574,711
2020-10-23	$163.10	$159.00	29.7%	8.6%	17.8%	25.1%	34.6%	9.2%	-1.0%	-210.8M	-7.62B	-114.4M	1.24	1.61	212,485	263,320	2,124,581	4,683,237
2020-10-26	$158.92	$159.00	34.6%	10.3%	19.2%	32.1%	40.2%	10.6%	-0.7%	-466.1M	-1.88B	-119.4M	3.16	1.97	189,502	598,939	2,101,746	4,579,798
2020-10-27	$158.50	$159.00	34.7%	10.4%	19.1%	32.1%	42.2%	10.7%	-0.7%	-537.1M	-1.06B	-122.9M	4.16	1.99	88,307	367,664	2,189,772	4,756,432
2020-10-28	$153.89	$159.00	40.0%	12.2%	22.3%	39.7%	43.7%	11.5%	-1.1%	-1.02B	6.11B	-127.9M	4.41	2.19	158,953	701,073	2,231,374	4,891,733
2020-10-29	$155.19	$159.00	37.4%	11.4%	22.1%	36.0%	42.6%	11.5%	-0.8%	-850.6M	3.74B	-125.5M	2.54	2.25	175,125	444,759	2,285,856	4,876,599
2020-10-30	$152.08	$158.00	38.9%	12.0%	22.9%	38.1%	44.2%	11.2%	-0.7%	-1.05B	7.76B	-126.8M	2.79	2.16	164,508	459,639	2,342,567	4,942,430