IWM Options History — December 2020

In December 2020, IWM traded between $182.57 and $199.64. ATM implied volatility averaged 26.5%, placing in the 20.4% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded above realized volatility by 8.2% (HV 20d: 18.3%). Max pain ranged from $165.00 to $186.00. Net GEX was positive for 11 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 2.48.

Notable Days

2020-12-11: Highest Volume — 1,243,975 contracts
2020-12-29: Largest IV spike — 6.3% change
2020-12-14: Highest IV Rank — 22.2%
2020-12-22: Largest Expected Move — 8.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$192.46	$182.57	$199.64	$182.57	$196.62
Max Pain	$177.18	$165.00	$186.00	$165.00	$186.00
ATM IV	26.5%	25.1%	27.6%	26.6%	27.4%
Expected Move	7.7%	7.4%	8.1%	8.1%	7.9%
HV 20d	18.3%	15.1%	25.9%	25.9%	16.4%
HV 60d	23.8%	22.1%	25.7%	25.7%	22.3%
IV Rank	20.4%	18.5%	22.2%	20.7%	21.3%
IV Percentile	30.1%	22.2%	38.9%	31.3%	36.9%
Term Structure	0.2%	-0.5%	1.3%	1.0%	0.3%
VWIV	29.5%	26.2%	33.2%	29.8%	30.5%
Skew 25d	7.1%	4.8%	8.8%	5.7%	7.8%
Skew 10d	13.4%	8.2%	17.1%	10.2%	14.6%
Call IV 25d	23.6%	22.7%	24.6%	24.6%	24.2%
Put IV 25d	30.7%	27.4%	32.5%	30.3%	32.0%
Bid-Ask Spread %	1.82	1.32	2.86	1.67	1.37
Gamma HHI	0.04	0.03	0.05	0.04	0.04
Net GEX	-8.6M	-488.5M	383.3M	-53.2M	-138.4M
Net DEX	-18.78B	-28.33B	-9.34B	-20.62B	-12.74B
Net VEX	-110.7M	-122.2M	-94.6M	-106.1M	-122.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.48	0.83	4.22	2.23	2.47
Total Volume	585,661.909	312,772	1,243,975	483,979	479,800
Total OI	7,561,291.318	6,257,156	8,577,904	7,645,271	7,198,101

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
2020-12-01	$182.57	$165.00	26.6%	8.1%	25.9%	20.7%	29.8%	5.7%	1.0%	-53.2M	-20.62B	-106.1M	2.23	1.67	149,713	334,266	2,426,311	5,218,960
2020-12-02	$183.36	$165.00	25.4%	7.5%	24.1%	19.1%	28.0%	5.1%	0.9%	-32.6M	-21.89B	-105.2M	1.87	1.32	139,963	261,788	2,452,913	5,345,330
2020-12-03	$183.56	$167.00	25.7%	7.6%	23.9%	19.5%	28.0%	5.2%	1.3%	-95.7M	-21.68B	-104.2M	2.43	2.86	108,459	263,033	2,408,144	5,421,334
2020-12-04	$188.36	$168.00	25.1%	7.4%	23.5%	18.5%	28.7%	4.8%	1.2%	383.3M	-28.33B	-94.6M	1.64	1.82	228,072	375,084	2,442,921	5,517,916
2020-12-07	$188.17	$170.00	26.4%	7.6%	23.3%	20.4%	27.7%	6.1%	-0.0%	51.6M	-25.47B	-98.5M	1.74	2.13	168,491	293,541	2,382,749	5,295,798
2020-12-08	$190.50	$170.00	25.7%	7.4%	18.9%	19.4%	26.2%	5.7%	0.2%	215.7M	-28.23B	-95.7M	1.28	2.33	244,060	312,586	2,463,761	5,417,227
2020-12-09	$189.54	$170.00	27.0%	7.6%	19.2%	21.3%	28.7%	6.2%	-0.4%	130.3M	-26.09B	-103.0M	3.14	2.16	168,056	527,118	2,586,479	5,514,525
2020-12-10	$191.30	$171.00	25.8%	7.4%	19.0%	19.5%	28.3%	6.4%	0.0%	157.8M	-27.81B	-100.7M	2.35	1.93	143,039	335,920	2,626,258	5,665,532
2020-12-11	$190.14	$172.00	26.6%	7.6%	17.9%	20.7%	29.6%	7.3%	0.0%	-85.7M	-25.30B	-107.4M	0.83	2.10	680,474	563,501	2,661,053	5,847,644
2020-12-14	$190.40	$178.00	27.6%	7.9%	16.1%	22.2%	28.2%	7.6%	-0.5%	-108.6M	-12.13B	-111.2M	2.19	1.82	184,571	404,247	1,975,294	5,841,444
2020-12-15	$194.11	$180.00	26.1%	7.5%	16.2%	20.0%	29.5%	7.0%	-0.1%	102.3M	-16.36B	-108.8M	3.48	1.89	157,057	545,873	2,026,279	5,932,687
2020-12-16	$194.29	$181.00	26.8%	7.7%	16.2%	21.0%	29.2%	7.4%	-0.4%	33.2M	-16.22B	-114.0M	2.90	1.83	104,409	303,240	2,078,342	6,095,288
2020-12-17	$195.83	$181.00	26.0%	7.5%	15.6%	19.8%	29.1%	7.3%	-0.2%	94.1M	-17.86B	-112.6M	2.80	1.92	132,773	372,310	2,103,816	6,200,956
2020-12-18	$195.39	$182.00	26.2%	7.5%	15.8%	20.1%	28.4%	7.8%	-0.3%	62.8M	-17.25B	-116.7M	1.98	1.74	264,461	524,012	2,162,232	6,415,672
2020-12-21	$194.67	$183.00	27.6%	8.1%	16.1%	22.1%	32.3%	8.3%	0.2%	-219.2M	-11.71B	-120.5M	4.22	1.48	124,325	524,818	1,916,374	4,340,782
2020-12-22	$197.28	$184.00	27.6%	8.1%	15.5%	21.9%	32.8%	8.5%	0.0%	-90.0M	-14.29B	-120.0M	3.32	1.55	113,874	377,906	1,937,467	4,504,313
2020-12-23	$199.64	$185.00	26.2%	7.6%	15.1%	20.0%	33.2%	8.7%	0.3%	158.7M	-16.94B	-117.3M	2.85	1.75	186,790	531,814	1,957,753	4,706,004
2020-12-24	$198.67	$185.00	26.8%	7.8%	15.2%	20.7%	30.6%	8.8%	0.1%	544.0K	-15.17B	-121.2M	2.69	1.38	84,792	227,980	2,001,669	4,866,832
2020-12-28	$198.60	$185.00	26.0%	7.5%	15.3%	19.2%	29.8%	7.9%	0.3%	-77.1M	-15.26B	-115.2M	2.97	1.44	130,228	386,533	1,945,161	4,727,029
2020-12-29	$194.61	$185.00	27.6%	8.1%	16.3%	21.6%	30.9%	8.0%	0.1%	-488.5M	-9.34B	-121.0M	2.34	1.70	233,096	544,702	1,993,041	4,792,186
2020-12-30	$196.61	$185.00	27.0%	7.9%	16.4%	20.6%	29.4%	8.0%	0.5%	-191.2M	-12.54B	-119.7M	2.83	1.75	169,330	478,457	2,036,815	4,898,017
2020-12-31	$196.62	$186.00	27.4%	7.9%	16.4%	21.3%	30.5%	7.8%	0.3%	-138.4M	-12.74B	-122.2M	2.47	1.37	138,194	341,606	2,099,136	5,098,965