IWM Options History — April 2021 In April 2021, IWM traded between $217.15 and $229.23. ATM implied volatility averaged 24.2%, placing in the 3.8% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 1.5% (HV 20d: 22.7%). Max pain ranged from $220.00 to $222.00. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 1.84.
Notable Days 2021-04-20 : Highest Volume — 812,055 contracts2021-04-19 : Largest IV spike — 12.0% change2021-04-20 : Highest IV Rank — 12.6%2021-04-20 : Largest Expected Move — 7.5%Monthly Statistics Metric Avg Min Max Open Close Price $223.83 $217.15 $229.23 $222.78 $224.40 Max Pain $220.67 $220.00 $222.00 $222.00 $221.00 ATM IV 24.2% 22.1% 26.1% 25.3% 24.2% Expected Move 6.9% 6.4% 7.5% 7.3% 7.0% HV 20d 22.7% 16.5% 27.7% 27.7% 17.4% HV 60d 24.8% 24.1% 26.1% 26.1% 24.3% IV Rank 3.8% 0.0% 12.6% 2.7% 7.4% IV Percentile 2.6% 0.0% 13.9% 3.2% 3.2% Term Structure -0.1% -0.4% 0.3% -0.1% -0.4% VWIV 25.8% 23.9% 28.5% 28.5% 25.9% Skew 25d 6.5% 5.3% 7.5% 6.9% 6.6% Skew 10d 12.0% 9.9% 13.5% 12.9% 12.1% Call IV 25d 21.3% 19.3% 22.9% 22.5% 21.3% Put IV 25d 27.8% 24.9% 29.6% 29.4% 27.9% Bid-Ask Spread % 1.98 1.54 2.45 1.81 1.62 Gamma HHI 0.04 0.03 0.09 0.04 0.08 Net GEX -609.1M -1.36B 299.1M -405.6M -1.36B Net DEX -4.04B -10.12B 4.60B -4.04B -1.95B Net VEX -149.7M -157.4M -143.9M -157.4M -151.0M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.84 1.19 2.82 1.80 2.82 Total Volume 441,448.19 171,169 812,055 447,123 617,733 Total OI 6,280,710.286 5,576,919 6,847,363 6,376,738 6,346,297
Daily Data (21 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 2021-04-01 $222.78 $222.00 25.3% 7.3% 27.7% 2.7% 28.5% 6.9% -0.1% -405.6M -4.04B -157.4M 1.80 1.81 159,874 287,249 1,893,574 4,483,164 2021-04-05 $224.64 $220.00 25.6% 7.2% 27.2% 4.0% 28.1% 6.8% -0.2% -419.1M -6.31B -149.1M 1.76 2.25 61,926 109,243 1,863,160 4,398,858 2021-04-06 $224.67 $220.00 23.9% 6.8% 26.9% 0.0% 26.4% 6.3% -0.1% -441.8M -6.15B -149.3M 2.74 2.21 87,766 240,152 1,873,513 4,460,463 2021-04-07 $220.53 $220.00 24.7% 7.0% 27.0% 2.6% 26.0% 6.2% -0.1% -891.1M -167.9M -151.1M 1.77 2.42 133,991 237,610 1,878,149 4,496,206 2021-04-08 $222.33 $220.00 24.7% 7.1% 26.5% 2.7% 25.8% 6.1% -0.1% -744.2M -2.39B -150.2M 1.76 1.97 153,434 269,736 1,899,887 4,599,494 2021-04-09 $222.32 $220.00 24.5% 7.1% 25.3% 1.9% 25.2% 6.1% -0.0% -770.2M -2.15B -151.9M 1.22 2.44 171,252 209,713 1,921,749 4,679,152 2021-04-12 $222.04 $220.00 25.4% 7.3% 25.0% 4.9% 27.5% 6.7% -0.0% -810.4M -1.60B -149.1M 2.09 1.75 110,088 230,147 1,870,089 4,576,204 2021-04-13 $221.62 $220.00 24.9% 7.2% 25.0% 3.5% 25.5% 6.4% 0.0% -930.8M -687.7M -150.4M 1.51 1.95 208,376 314,154 1,908,489 4,700,045 2021-04-14 $223.32 $220.00 24.9% 7.1% 24.8% 3.3% 25.4% 6.6% 0.0% -684.6M -3.35B -149.7M 1.80 2.26 193,998 349,057 1,951,746 4,736,833 2021-04-15 $224.03 $221.00 23.5% 6.8% 24.8% 0.0% 24.6% 6.0% 0.1% -612.7M -4.30B -148.9M 1.41 1.90 156,955 220,749 1,963,588 4,838,901 2021-04-16 $225.03 $221.00 22.1% 6.4% 22.8% 0.0% 24.2% 5.3% 0.3% -434.2M -6.62B -143.9M 1.80 2.45 134,345 241,874 1,972,878 4,874,485 2021-04-19 $221.28 $221.00 24.8% 7.1% 23.1% 8.4% 26.1% 6.1% -0.1% -877.8M -882.6M -149.1M 2.48 2.19 122,390 303,322 1,596,267 3,980,652 2021-04-20 $217.15 $221.00 26.1% 7.5% 23.7% 12.6% 27.1% 6.7% -0.3% -1.24B 4.60B -154.1M 1.90 2.16 280,094 531,961 1,637,902 4,100,516 2021-04-21 $221.86 $221.00 24.2% 6.9% 20.6% 6.8% 26.2% 6.6% -0.1% -696.1M -2.05B -151.1M 1.27 1.92 178,962 226,875 1,744,064 4,199,426 2021-04-22 $222.78 $221.00 24.8% 7.1% 19.5% 9.9% 25.4% 7.5% -0.3% -612.0M -3.00B -152.9M 1.19 2.06 266,485 316,459 1,773,857 4,232,307 2021-04-23 $226.10 $221.00 22.2% 6.4% 19.0% 0.2% 24.5% 6.6% -0.0% 299.1M -7.87B -146.3M 1.41 1.81 207,031 292,554 1,819,798 4,271,762 2021-04-26 $228.31 $221.00 23.0% 6.6% 19.0% 3.0% 25.3% 7.3% -0.2% -290.7M -8.83B -147.2M 1.39 1.63 183,504 255,202 1,717,350 4,182,742 2021-04-27 $228.18 $221.00 22.9% 6.6% 17.5% 3.0% 26.3% 7.2% -0.1% -250.2M -8.86B -148.3M 2.39 1.54 93,254 222,537 1,800,308 4,258,577 2021-04-28 $229.23 $221.00 22.4% 6.4% 17.1% 1.0% 24.7% 6.7% -0.2% -147.7M -10.12B -146.7M 2.25 1.59 100,920 227,410 1,811,831 4,327,434 2021-04-29 $227.83 $221.00 22.9% 6.5% 16.5% 3.0% 23.9% 6.4% -0.2% -465.0M -8.11B -146.4M 1.86 1.58 196,471 365,559 1,828,954 4,424,245 2021-04-30 $224.40 $221.00 24.2% 7.0% 17.4% 7.4% 25.9% 6.6% -0.4% -1.36B -1.95B -151.0M 2.82 1.62 161,519 456,214 1,856,945 4,489,352
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