IWM Options History — January 2021

In January 2021, IWM traded between $193.50 and $214.57. ATM implied volatility averaged 29.4%, placing in the 23.6% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded above realized volatility by 7.7% (HV 20d: 21.8%). Max pain ranged from $190.00 to $205.00. Net GEX was positive for 3 of 19 trading days. Term structure was in contango for 8 of 19 days. Put/call ratio averaged 3.37.

Notable Days

  • 2021-01-06: Highest Volume — 1,329,471 contracts
  • 2021-01-27: Largest IV spike — 19.6% change
  • 2021-01-27: Highest IV Rank — 32.4%
  • 2021-01-27: Largest Expected Move — 10.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$209.01$193.50$214.57$193.50$205.96
Max Pain$200.58$190.00$205.00$190.00$205.00
ATM IV29.4%26.2%36.1%31.6%35.0%
Expected Move8.4%7.4%10.6%8.7%10.3%
HV 20d21.8%16.7%24.6%17.8%24.0%
HV 60d23.3%22.2%24.3%22.4%22.5%
IV Rank23.6%19.2%32.4%27.2%30.7%
IV Percentile42.0%21.0%68.3%54.0%64.3%
Term Structure-0.1%-0.6%0.4%-0.4%-0.2%
VWIV32.8%28.4%40.7%34.5%38.9%
Skew 25d8.5%7.0%10.7%9.1%10.5%
Skew 10d16.2%13.5%20.3%17.3%19.6%
Call IV 25d26.0%23.4%31.5%27.3%30.4%
Put IV 25d34.5%30.4%42.2%36.4%40.9%
Bid-Ask Spread %2.311.613.361.862.76
Gamma HHI0.040.030.060.030.04
Net GEX-465.1M-1.78B211.1M-500.2M-1.78B
Net DEX-13.29B-24.76B2.95B-6.25B2.95B
Net VEX-131.2M-161.8M-109.9M-124.9M-161.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.372.275.463.693.64
Total Volume700,067.421394,6971,329,471585,910884,589
Total OI6,791,606.0536,011,7827,868,0526,058,9807,242,353

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-01-04$193.50$190.0031.6%8.7%17.8%27.2%34.5%9.1%-0.4%-500.2M-6.25B-124.9M3.691.86124,989460,9211,870,4274,188,553
2021-01-05$197.08$190.0028.8%8.1%16.7%23.3%30.8%8.3%-0.1%-360.3M-10.78B-119.3M2.792.50125,209349,8261,896,4584,380,257
2021-01-06$203.92$190.0029.4%8.2%20.1%24.1%31.9%8.0%-0.2%113.7M-18.46B-114.1M2.673.12361,920967,5511,941,6964,504,845
2021-01-07$208.14$195.0026.2%7.4%20.8%19.5%30.4%7.0%0.1%211.1M-22.29B-109.9M2.402.76183,262440,7331,995,0554,827,377
2021-01-08$207.34$199.0027.9%7.9%20.7%22.0%31.4%7.7%-0.1%201.6M-20.28B-118.5M3.752.87163,270612,9782,040,6055,042,348
2021-01-11$207.28$199.0029.8%8.4%20.7%24.7%35.2%8.7%-0.5%-189.1M-17.88B-124.4M4.991.7878,838393,1671,990,0654,867,221
2021-01-12$211.04$199.0028.4%8.0%20.9%22.7%32.4%8.5%-0.5%-15.7M-22.19B-119.3M3.852.29115,019442,9612,013,4475,004,676
2021-01-13$209.78$200.0027.0%7.6%21.2%20.6%28.4%7.4%-0.4%-183.4M-20.59B-120.7M2.272.12120,623274,0742,031,2315,248,494
2021-01-14$214.53$200.0027.4%7.7%21.5%21.2%30.9%7.7%-0.6%-59.7M-24.76B-117.9M2.932.50268,683787,8072,052,5255,359,157
2021-01-15$210.54$205.0027.9%7.9%23.1%22.0%30.1%8.7%-0.5%-635.2M-18.30B-132.1M2.512.84305,328766,1232,150,4295,717,623
2021-01-19$213.40$204.0027.7%7.9%23.3%21.6%30.7%7.8%0.1%-461.0M-11.96B-128.1M3.381.91112,137378,7851,639,9754,371,807
2021-01-20$214.48$205.0026.7%7.6%23.2%19.2%30.0%7.3%0.4%-419.2M-13.07B-129.0M3.031.66144,236436,7551,696,9514,547,653
2021-01-21$213.35$205.0027.4%7.8%23.3%20.3%31.8%8.1%0.3%-571.1M-11.69B-131.9M3.021.61150,208453,4011,741,6944,640,045
2021-01-22$214.57$205.0027.3%7.8%23.0%19.8%30.9%8.8%0.3%-218.5M-12.52B-137.0M2.451.88184,487451,9861,793,3714,994,173
2021-01-25$214.22$205.0031.3%9.0%22.9%25.4%34.5%9.1%0.0%-595.7M-10.50B-142.9M3.102.06168,532523,1741,773,8944,718,739
2021-01-26$213.61$205.0030.2%8.7%22.8%23.8%34.0%8.6%0.1%-773.0M-9.60B-143.4M4.181.98101,460424,0431,818,1044,887,408
2021-01-27$208.95$205.0036.1%10.6%24.6%32.4%40.7%10.7%-0.2%-1.17B-1.61B-159.5M5.463.36131,339717,5621,848,6205,054,077
2021-01-28$209.50$205.0033.5%9.7%23.1%28.5%36.5%9.1%0.0%-1.43B-2.66B-158.7M3.912.10141,484553,8211,883,9635,265,199
2021-01-29$205.96$205.0035.0%10.3%24.0%30.7%38.9%10.5%-0.2%-1.78B2.95B-161.8M3.642.76190,796693,7931,932,8885,309,465