IWM Options History — June 2021 In June 2021, IWM traded between $222.17 and $233.25. ATM implied volatility averaged 19.3%, placing in the 3.2% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 1.9% (HV 20d: 17.4%). Max pain ranged from $220.00 to $228.00. Net GEX was positive for 6 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 2.17.
Notable Days 2021-06-18 : Highest Volume — 1,176,041 contracts2021-06-18 : Largest IV spike — 15.7% change2021-06-18 : Highest IV Rank — 14.0%2021-06-18 : Largest Expected Move — 6.3%Monthly Statistics Metric Avg Min Max Open Close Price $229.29 $222.17 $233.25 $228.21 $229.89 Max Pain $226.09 $220.00 $228.00 $220.00 $228.00 ATM IV 19.3% 17.7% 22.1% 20.4% 18.9% Expected Move 5.5% 4.8% 6.3% 5.8% 5.0% HV 20d 17.4% 13.5% 22.2% 22.2% 16.2% HV 60d 20.2% 18.4% 22.3% 22.3% 18.5% IV Rank 3.2% 0.0% 14.0% 1.1% 5.1% IV Percentile 1.6% 0.0% 6.7% 0.4% 2.8% Term Structure 0.2% -0.3% 0.7% 0.3% 0.3% VWIV 21.4% 18.6% 24.6% 21.9% 18.7% Skew 25d 5.4% 4.7% 6.8% 5.5% 5.3% Skew 10d 11.4% 9.8% 13.4% 11.2% 11.7% Call IV 25d 17.4% 15.8% 19.8% 18.1% 16.9% Put IV 25d 22.8% 20.7% 26.0% 23.6% 22.1% Bid-Ask Spread % 2.31 1.47 3.64 1.76 1.47 Gamma HHI 0.04 0.03 0.07 0.04 0.04 Net GEX -456.7M -2.23B 580.8M 149.5M -794.9M Net DEX -4.35B -14.75B 11.85B -8.78B -1.76B Net VEX -144.3M -150.4M -134.1M -141.6M -148.3M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 2.17 0.59 3.42 1.96 2.09 Total Volume 503,070.682 264,310 1,176,041 481,327 264,310 Total OI 6,223,751.409 5,454,878 7,041,052 6,065,097 5,866,929
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 2021-06-01 $228.21 $220.00 20.4% 5.8% 22.2% 1.1% 21.9% 5.5% 0.3% 149.5M -8.78B -141.6M 1.96 1.76 162,592 318,735 1,872,487 4,192,610 2021-06-02 $227.88 $220.00 20.9% 5.9% 21.1% 2.7% 22.9% 6.3% -0.2% 9.8M -7.74B -142.4M 1.67 1.65 136,068 226,924 1,898,068 4,284,958 2021-06-03 $226.75 $225.00 21.6% 6.1% 21.2% 5.2% 24.6% 6.8% -0.3% -334.4M -5.75B -144.4M 1.94 2.33 143,720 278,337 1,921,346 4,355,291 2021-06-04 $227.33 $225.00 19.2% 5.6% 21.2% 0.0% 20.8% 5.3% -0.0% -303.3M -7.29B -138.6M 1.71 2.58 141,135 241,828 1,949,436 4,420,726 2021-06-07 $230.42 $225.00 19.0% 5.5% 21.0% 0.0% 21.3% 5.6% 0.3% 210.1M -11.34B -134.1M 1.12 2.50 214,853 239,928 1,871,770 4,349,268 2021-06-08 $233.25 $225.00 18.4% 5.4% 19.7% 0.0% 22.8% 5.2% 0.3% 580.8M -14.75B -134.2M 2.51 2.44 189,226 475,631 1,893,209 4,464,714 2021-06-09 $231.18 $225.00 19.9% 5.8% 19.8% 4.9% 22.7% 5.7% 0.2% -9.8M -10.06B -144.1M 0.59 2.58 329,984 196,170 1,925,345 4,594,012 2021-06-10 $229.42 $225.00 19.1% 5.5% 16.3% 2.2% 20.1% 5.3% 0.3% -506.9M -3.98B -144.8M 2.43 2.44 189,615 461,557 1,791,083 4,712,788 2021-06-11 $231.32 $227.00 18.3% 5.3% 15.3% 0.0% 21.7% 5.0% 0.3% -46.3M -6.73B -146.2M 2.25 2.09 92,139 207,650 1,865,213 4,852,852 2021-06-14 $230.74 $227.00 18.9% 5.4% 14.3% 1.9% 21.6% 5.2% 0.3% -213.8M -5.01B -143.8M 2.56 2.23 110,172 282,466 1,769,512 4,707,218 2021-06-15 $230.11 $228.00 19.5% 5.6% 14.4% 4.3% 21.0% 5.1% 0.2% -537.8M -3.14B -147.2M 1.46 2.51 127,856 186,096 1,788,318 4,866,887 2021-06-16 $230.08 $228.00 19.7% 5.6% 14.4% 5.1% 21.3% 5.1% 0.3% -500.7M -3.29B -145.5M 1.26 3.64 194,760 245,975 1,814,439 4,874,609 2021-06-17 $227.47 $228.00 19.1% 5.5% 13.5% 2.9% 20.1% 4.7% 0.2% -1.11B 586.6M -145.6M 2.21 2.96 294,446 649,770 1,861,282 4,894,811 2021-06-18 $222.17 $228.00 22.1% 6.3% 16.0% 14.0% 23.3% 5.6% -0.0% -2.23B 11.85B -149.2M 2.68 2.74 319,716 856,325 1,935,776 5,105,276 2021-06-21 $226.53 $227.00 20.4% 5.8% 17.3% 8.4% 23.4% 5.9% 0.2% -1.10B 1.59B -150.4M 2.46 2.45 143,965 353,649 1,575,784 3,879,094 2021-06-22 $228.00 $227.00 19.3% 5.4% 17.3% 4.1% 23.0% 5.4% 0.4% -933.9M -605.9M -147.2M 3.42 2.34 101,446 347,397 1,602,893 3,977,916 2021-06-23 $229.04 $227.00 18.4% 5.2% 16.9% 0.5% 20.5% 5.4% 0.5% -709.0M -2.25B -145.0M 3.29 2.18 127,222 418,026 1,636,344 4,074,155 2021-06-24 $231.72 $227.00 17.9% 4.9% 16.5% 0.0% 19.9% 5.1% 0.6% 51.3M -6.04B -145.8M 3.02 2.25 81,537 245,955 1,653,438 4,279,417 2021-06-25 $232.86 $227.00 17.7% 4.8% 16.2% 0.0% 21.2% 4.9% 0.7% 311.4M -7.53B -144.1M 3.41 2.05 149,115 508,406 1,668,594 4,293,855 2021-06-28 $230.44 $227.00 18.5% 5.0% 16.7% 3.5% 19.5% 5.2% 0.2% -921.0M -2.33B -146.3M 1.95 1.88 140,802 275,149 1,504,618 4,270,092 2021-06-29 $229.57 $228.00 18.6% 5.0% 16.3% 4.0% 18.6% 5.5% 0.3% -1.11B -1.31B -146.6M 1.68 1.83 147,946 248,956 1,527,039 4,279,059 2021-06-30 $229.89 $228.00 18.9% 5.0% 16.2% 5.1% 18.7% 5.3% 0.3% -794.9M -1.76B -148.3M 2.09 1.47 85,661 178,649 1,551,970 4,314,959
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