IWM Options History — February 2021

In February 2021, IWM traded between $210.83 and $228.57. ATM implied volatility averaged 28.8%, placing in the 18.9% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded above realized volatility by 6.7% (HV 20d: 22.1%). Max pain ranged from $201.00 to $210.00. Net GEX was positive for 2 of 19 trading days. Term structure was in contango for 13 of 19 days. Put/call ratio averaged 2.78.

Notable Days

  • 2021-02-08: Highest Volume — 793,157 contracts
  • 2021-02-25: Largest IV spike — 22.6% change
  • 2021-02-01: Highest IV Rank — 25.0%
  • 2021-02-25: Largest Expected Move — 10.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$222.25$210.83$228.57$210.83$220.78
Max Pain$207.68$201.00$210.00$205.00$210.00
ATM IV28.8%25.6%35.4%31.0%31.6%
Expected Move8.3%7.3%10.4%8.9%9.2%
HV 20d22.1%19.5%25.1%25.1%24.5%
HV 60d20.4%19.4%22.0%22.0%21.2%
IV Rank18.9%7.9%25.0%25.0%12.6%
IV Percentile35.1%9.5%65.5%48.8%52.4%
Term Structure0.1%-0.7%0.5%-0.0%-0.6%
VWIV32.4%29.5%37.1%36.2%35.2%
Skew 25d8.0%6.4%10.4%9.2%10.1%
Skew 10d15.2%12.4%18.8%17.5%18.6%
Call IV 25d25.7%23.3%31.0%27.2%27.4%
Put IV 25d33.6%29.7%41.4%36.4%37.5%
Bid-Ask Spread %2.201.763.162.102.75
Gamma HHI0.030.030.050.030.05
Net GEX-566.5M-1.35B58.3M-806.1M-1.35B
Net DEX-15.18B-24.36B-3.39B-6.22B-6.56B
Net VEX-146.8M-166.3M-131.7M-147.4M-159.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.781.483.673.662.26
Total Volume626,938.316354,476793,157499,244785,812
Total OI7,295,947.8426,483,1258,187,2706,483,1257,114,721

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-02-01$210.83$205.0031.0%8.9%25.1%25.0%36.2%9.2%-0.0%-806.1M-6.22B-147.4M3.662.10107,131392,1131,800,3524,682,773
2021-02-02$213.75$205.0028.5%7.9%24.3%21.3%33.3%8.5%0.2%-643.9M-10.20B-143.2M3.031.90136,138412,2451,826,6714,870,598
2021-02-03$214.04$205.0026.8%7.3%23.8%18.8%29.5%7.3%0.4%-628.6M-11.08B-143.2M3.191.90114,376364,3791,890,2015,017,089
2021-02-04$218.32$201.0025.8%7.6%21.9%17.4%30.3%6.5%0.5%-161.3M-16.76B-136.8M2.682.01196,282526,2271,929,3425,059,285
2021-02-05$221.58$204.0025.6%7.6%21.4%17.1%29.5%6.4%0.5%58.3M-20.34B-132.0M2.002.41259,062518,0571,948,2105,167,598
2021-02-08$226.84$205.0026.9%7.8%22.4%19.0%31.4%7.2%0.4%25.3M-23.64B-131.7M2.632.17218,479574,6781,984,7665,069,073
2021-02-09$228.57$205.0027.0%7.8%22.3%19.1%30.5%6.9%0.3%-66.0M-24.36B-136.4M1.482.21294,937437,8042,049,1285,326,532
2021-02-10$226.42$206.0029.4%8.4%22.3%22.6%34.5%8.1%0.0%-347.1M-20.74B-147.6M3.673.16153,344563,4962,161,9105,481,023
2021-02-11$226.34$210.0028.6%8.2%22.1%21.4%33.0%7.9%0.0%-415.9M-20.04B-148.2M3.132.71170,308533,8082,193,2125,582,658
2021-02-12$226.71$210.0027.2%7.8%21.0%19.4%31.4%7.8%0.2%-433.4M-21.19B-146.6M3.152.19122,930387,1552,244,1045,764,124
2021-02-16$225.98$210.0028.9%8.3%19.5%21.9%34.6%8.5%0.3%-432.2M-19.38B-145.0M3.332.22126,782421,9592,184,8885,578,525
2021-02-17$224.30$210.0028.7%8.2%19.5%21.6%32.1%7.8%0.2%-662.0M-17.06B-150.1M3.082.14136,001418,7962,244,7115,786,025
2021-02-18$221.21$210.0029.0%8.3%20.3%22.1%31.1%7.7%0.3%-994.4M-11.97B-153.9M1.982.02194,047383,5472,251,6125,882,834
2021-02-19$224.92$210.0028.4%8.1%20.8%20.0%31.0%7.9%0.4%-577.2M-18.26B-149.8M2.692.11190,466513,3152,279,1685,908,102
2021-02-22$223.86$210.0029.4%8.4%21.0%18.7%31.3%8.1%-0.3%-723.5M-11.63B-152.0M2.951.8789,784264,6921,982,4154,658,509
2021-02-23$222.25$210.0029.8%8.5%21.2%13.2%32.5%7.8%-0.3%-910.0M-9.56B-152.9M3.292.02170,020558,6562,004,7434,752,377
2021-02-24$226.94$210.0028.9%8.1%22.1%7.9%31.4%7.4%-0.3%-464.4M-16.13B-147.2M2.501.76149,262373,5702,051,9764,820,875
2021-02-25$219.19$210.0035.4%10.4%24.4%19.1%37.1%10.4%-0.7%-1.23B-3.39B-166.3M2.062.21213,138439,0322,089,4994,983,380
2021-02-26$220.78$210.0031.6%9.2%24.5%12.6%35.2%10.1%-0.6%-1.35B-6.56B-159.5M2.262.75241,197544,6152,114,2285,000,493