IWM Options History — May 2021

In May 2021, IWM traded between $212.49 and $226.50. ATM implied volatility averaged 24.4%, placing in the 10.2% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 3.5% (HV 20d: 21.0%). Max pain ranged from $220.00 to $222.00. Net GEX was positive for 2 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 1.84.

Notable Days

  • 2021-05-12: Highest Volume — 742,901 contracts
  • 2021-05-12: Largest IV spike — 18.2% change
  • 2021-05-12: Highest IV Rank — 36.7%
  • 2021-05-12: Largest Expected Move — 9.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$221.20$212.49$226.50$226.50$225.39
Max Pain$220.25$220.00$222.00$222.00$220.00
ATM IV24.4%20.1%31.8%22.8%20.1%
Expected Move7.0%5.7%9.0%6.7%5.7%
HV 20d21.0%17.2%24.2%17.5%22.0%
HV 60d24.2%22.4%25.4%24.1%22.4%
IV Rank10.2%0.0%36.7%2.5%0.0%
IV Percentile13.6%0.0%71.8%1.2%0.0%
Term Structure-0.1%-0.6%0.4%0.2%-0.0%
VWIV26.0%20.0%31.2%25.1%20.0%
Skew 25d7.2%5.2%10.3%6.0%5.2%
Skew 10d13.3%9.9%19.0%11.4%9.9%
Call IV 25d21.3%18.1%27.1%20.1%18.1%
Put IV 25d28.6%23.3%37.4%26.1%23.3%
Bid-Ask Spread %2.091.542.701.541.71
Gamma HHI0.040.030.050.040.05
Net GEX-876.1M-1.73B472.8M-545.9M75.9M
Net DEX752.1M-7.29B15.25B-5.81B-5.95B
Net VEX-150.4M-160.1M-142.5M-146.0M-144.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.840.593.071.870.86
Total Volume484,903.25233,099742,901233,099405,166
Total OI6,507,860.155,933,7247,138,8746,024,8626,471,725

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-05-03$226.50$222.0022.8%6.7%17.5%2.5%25.1%6.0%0.2%-545.9M-5.81B-146.0M1.871.5481,228151,8711,775,2444,249,618
2021-05-04$222.47$222.0024.9%7.3%18.7%10.1%26.9%6.7%0.1%-1.09B-79.1M-150.7M3.071.63130,964402,2451,788,9484,307,694
2021-05-05$222.25$221.0024.4%7.1%17.4%8.4%26.0%6.9%0.2%-1.21B333.1M-151.1M1.091.55159,951175,0931,803,6584,384,058
2021-05-06$221.64$220.0024.2%7.0%17.2%7.4%26.1%7.3%0.2%-1.37B1.12B-150.3M2.092.38198,645415,2551,870,1424,437,187
2021-05-07$225.18$220.0021.6%6.3%18.1%0.0%23.9%6.6%0.4%-579.2M-4.64B-146.0M2.192.04169,072370,2781,915,8624,557,606
2021-05-10$220.67$220.0023.6%6.8%19.6%7.0%24.9%7.3%-0.1%-1.34B2.65B-150.0M1.882.38128,315241,3491,830,3354,545,534
2021-05-11$218.83$220.0026.9%7.6%19.8%19.1%28.2%8.8%-0.3%-1.41B5.78B-153.9M2.602.56171,973447,2431,892,7134,584,998
2021-05-12$212.49$220.0031.8%9.0%22.0%36.7%31.2%10.3%-0.6%-1.73B15.25B-160.1M2.402.70218,647524,2541,959,3444,661,912
2021-05-13$216.61$220.0027.9%7.9%23.2%22.7%31.1%9.2%-0.3%-1.52B8.18B-160.1M1.562.58271,346421,9872,082,6644,753,893
2021-05-14$220.72$220.0024.4%7.0%24.2%10.0%27.7%7.6%-0.1%-993.1M421.8M-155.0M1.902.39203,480386,9472,169,0384,830,183
2021-05-17$221.19$220.0025.7%7.3%23.5%14.5%28.5%8.0%-0.1%-792.0M-419.6M-152.2M2.502.3886,681216,9772,119,8834,647,486
2021-05-18$221.14$220.0025.1%7.2%22.5%12.3%26.2%7.7%-0.0%-859.1M-41.1M-152.2M1.902.22131,812249,9912,145,4144,716,711
2021-05-19$217.35$220.0027.8%8.0%22.0%22.3%30.0%8.3%-0.4%-1.43B6.56B-156.3M1.832.21178,872327,7492,180,9534,795,556
2021-05-20$219.59$220.0025.2%7.2%22.3%12.9%26.5%7.6%0.0%-1.05B2.44B-151.7M1.762.23143,639252,8692,228,2954,838,409
2021-05-21$220.49$220.0024.1%6.9%21.6%8.8%25.8%7.0%0.2%-467.8M422.2M-146.5M1.542.03241,943372,2822,261,2544,877,620
2021-05-24$221.97$220.0022.3%6.3%21.4%2.4%24.5%6.3%-0.1%-562.6M-1.69B-142.5M1.942.09109,521212,7491,819,4294,114,295
2021-05-25$220.04$220.0023.1%6.5%21.6%5.1%24.4%6.2%-0.2%-852.6M1.04B-146.3M2.211.77127,706281,9591,855,0424,178,853
2021-05-26$223.47$220.0022.0%6.2%22.3%1.3%21.3%6.1%-0.2%-267.1M-3.24B-147.5M0.591.54370,706218,4161,889,8324,295,536
2021-05-27$225.92$220.0020.7%5.9%22.6%0.0%21.9%5.9%-0.1%472.8M-7.29B-145.4M1.041.80243,986254,8981,999,1174,321,162
2021-05-28$225.39$220.0020.1%5.7%22.0%0.0%20.0%5.2%-0.0%75.9M-5.95B-144.2M0.861.71217,981187,1852,039,6604,432,065