IWM Options History — November 2020

In November 2020, IWM traded between $155.35 and $184.15. ATM implied volatility averaged 28.1%, placing in the 22.8% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded below realized volatility by 0.9% (HV 20d: 29.0%). Max pain ranged from $150.00 to $165.00. Net GEX was positive for 12 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 2.56.

Notable Days

  • 2020-11-04: Highest Volume — 995,935 contracts
  • 2020-11-04: Largest IV drop — 14.1% change
  • 2020-11-02: Highest IV Rank — 36.6%
  • 2020-11-02: Largest Expected Move — 12.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$173.28$155.35$184.15$155.35$181.41
Max Pain$158.45$150.00$165.00$158.00$165.00
ATM IV28.1%25.7%37.8%37.8%27.1%
Expected Move8.3%7.5%12.1%12.1%8.1%
HV 20d29.0%22.4%32.2%22.4%26.3%
HV 60d25.3%22.2%26.5%22.2%25.7%
IV Rank22.8%19.4%36.6%36.6%21.4%
IV Percentile39.3%28.2%72.6%72.6%37.3%
Term Structure-0.3%-0.8%0.5%-0.8%0.5%
VWIV31.6%27.8%45.2%45.2%30.7%
Skew 25d6.9%5.3%11.4%11.4%5.7%
Skew 10d12.9%9.6%21.0%21.0%9.9%
Call IV 25d25.3%23.1%32.2%32.2%24.6%
Put IV 25d32.2%29.5%43.6%43.6%30.3%
Bid-Ask Spread %2.361.494.302.101.85
Gamma HHI0.040.030.050.030.04
Net GEX74.2M-524.9M416.1M-524.9M-62.4M
Net DEX-17.79B-25.44B1.81B1.81B-19.35B
Net VEX-110.8M-123.8M-104.8M-123.8M-107.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.561.235.011.235.01
Total Volume587,611.4232,931995,935282,612529,609
Total OI7,561,626.156,661,7798,697,8546,661,7797,410,795

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-11-02$155.35$158.0037.8%12.1%22.4%36.6%45.2%11.4%-0.8%-524.9M1.81B-123.8M1.232.10126,852155,7602,120,6304,541,149
2020-11-03$160.67$158.0035.4%11.5%25.5%33.2%42.9%11.0%-0.8%-254.4M-4.57B-119.1M2.252.57230,203518,2952,120,6304,541,149
2020-11-04$160.12$157.0030.4%9.4%24.7%26.1%37.3%8.7%-0.3%-221.3M-5.25B-116.6M4.222.45190,714805,2212,293,0664,683,441
2020-11-05$164.81$150.0028.0%8.0%26.5%22.7%29.5%7.8%-0.1%197.7M-11.67B-115.1M2.303.29206,417475,0082,369,9074,772,872
2020-11-06$163.89$150.0026.4%7.7%26.6%20.3%29.7%6.8%0.2%54.9M-10.55B-114.8M2.412.28128,120308,7542,402,6544,975,550
2020-11-09$171.25$150.0026.5%7.6%30.7%20.5%29.0%5.9%0.1%416.1M-19.37B-106.2M1.664.30276,924458,8932,355,1584,860,265
2020-11-10$172.60$152.0027.0%7.7%30.5%21.3%30.4%6.3%-0.1%334.9M-19.74B-108.5M1.922.10212,302408,0892,400,1944,994,444
2020-11-11$171.90$154.0026.3%7.6%30.4%20.3%29.6%6.2%0.2%290.6M-18.91B-110.2M3.172.00105,398334,0202,445,7405,092,782
2020-11-12$169.25$155.0028.9%8.3%31.0%24.0%31.5%7.2%-0.0%-13.6M-14.35B-116.3M3.004.02206,069618,1042,474,4325,248,415
2020-11-13$173.89$156.0027.4%7.9%32.2%21.8%31.0%6.4%0.2%332.7M-20.79B-111.3M2.462.65154,642381,0802,502,9435,496,911
2020-11-16$177.14$160.0027.0%7.7%32.1%21.2%29.6%6.4%-0.3%317.6M-23.83B-105.8M1.342.14250,936337,5052,466,9045,344,278
2020-11-17$178.28$160.0026.3%7.6%32.1%20.3%27.8%6.2%-0.5%331.0M-25.44B-105.4M2.632.49151,860399,0732,571,3485,485,500
2020-11-18$176.97$160.0027.5%7.9%31.9%21.9%31.2%6.6%-0.6%144.2M-23.04B-109.7M4.142.18125,063517,6132,601,8075,624,945
2020-11-19$177.35$162.0027.4%7.9%31.7%21.9%30.0%6.7%-0.8%37.4M-23.38B-109.6M3.652.15116,532425,7042,641,3775,821,127
2020-11-20$177.64$163.0026.9%7.7%31.7%21.1%28.6%6.8%-0.2%-72.6M-23.62B-111.2M1.522.08218,619331,8862,682,0636,015,791
2020-11-23$181.11$164.0025.7%7.5%30.0%19.4%28.2%6.3%-0.4%173.8M-21.68B-105.3M1.911.55247,237472,2452,346,3034,758,107
2020-11-24$184.15$165.0026.8%7.8%30.0%20.9%30.2%5.5%-0.6%171.8M-24.53B-104.8M2.441.67214,268523,3982,393,7764,964,202
2020-11-25$183.61$165.0026.0%7.5%26.9%19.9%29.6%5.3%-0.5%-49.9M-23.27B-108.5M2.091.49115,491241,3932,460,4795,198,407
2020-11-27$184.11$165.0026.5%7.8%27.0%20.6%29.4%5.5%-0.5%-120.1M-24.35B-106.1M1.811.8982,860150,0712,497,1235,255,859
2020-11-30$181.41$165.0027.1%8.1%26.3%21.4%30.7%5.7%0.5%-62.4M-19.35B-107.5M5.011.8588,086441,5232,396,8985,013,897