IWM Options History — July 2021

In July 2021, IWM traded between $210.88 and $231.58. ATM implied volatility averaged 22.3%, placing in the 20.6% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 1.7% (HV 20d: 20.6%). Max pain ranged from $225.00 to $228.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 1.58.

Notable Days

2021-07-19: Highest Volume — 1,320,441 contracts
2021-07-19: Largest IV spike — 17.7% change
2021-07-19: Highest IV Rank — 45.7%
2021-07-19: Largest Expected Move — 7.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$221.45	$210.88	$231.58	$231.58	$220.92
Max Pain	$225.38	$225.00	$228.00	$228.00	$225.00
ATM IV	22.3%	18.3%	27.9%	18.3%	23.1%
Expected Move	6.3%	4.7%	7.9%	4.7%	6.4%
HV 20d	20.6%	16.3%	25.0%	16.3%	25.0%
HV 60d	19.7%	18.1%	21.1%	18.1%	20.9%
IV Rank	20.6%	2.7%	45.7%	2.7%	24.2%
IV Percentile	15.9%	0.8%	61.9%	0.8%	19.4%
Term Structure	0.1%	-0.3%	0.4%	0.4%	0.3%
VWIV	23.6%	18.0%	28.7%	18.4%	24.1%
Skew 25d	6.2%	4.7%	8.1%	5.3%	6.1%
Skew 10d	12.9%	10.2%	16.1%	11.3%	12.0%
Call IV 25d	19.7%	16.4%	24.1%	16.4%	20.3%
Put IV 25d	25.9%	21.2%	32.2%	21.7%	26.4%
Bid-Ask Spread %	1.59	1.18	2.21	1.70	1.85
Gamma HHI	0.04	0.03	0.10	0.03	0.04
Net GEX	-1.36B	-2.29B	-505.3M	-628.7M	-1.00B
Net DEX	7.03B	-4.09B	19.53B	-4.09B	4.41B
Net VEX	-160.4M	-173.6M	-143.9M	-143.9M	-167.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.58	1.02	2.23	1.73	1.36
Total Volume	640,739.81	215,981	1,320,441	215,981	583,635
Total OI	6,073,414.524	5,336,479	6,708,472	5,389,816	6,620,284

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
2021-07-01	$231.58	$228.00	18.3%	4.7%	16.3%	2.7%	18.4%	5.3%	0.4%	-628.7M	-4.09B	-143.9M	1.73	1.70	79,093	136,888	1,469,141	3,920,675
2021-07-02	$229.36	$228.00	18.6%	4.8%	16.7%	4.2%	18.0%	4.7%	0.4%	-1.51B	-860.9M	-145.5M	1.28	1.33	203,744	260,199	1,485,811	3,967,688
2021-07-06	$225.89	$226.00	20.6%	6.0%	16.8%	13.2%	22.7%	5.8%	0.1%	-1.35B	3.79B	-148.4M	1.38	1.63	277,620	384,350	1,456,101	3,880,378
2021-07-07	$223.88	$226.00	21.4%	6.2%	16.3%	16.8%	22.8%	5.8%	0.1%	-1.46B	6.43B	-150.9M	1.56	1.92	253,534	396,049	1,566,690	3,966,778
2021-07-08	$221.11	$225.00	23.3%	6.6%	16.6%	25.2%	25.2%	6.5%	-0.2%	-1.65B	10.73B	-156.1M	2.21	1.59	291,990	644,030	1,665,523	4,042,505
2021-07-09	$226.10	$225.00	20.4%	5.9%	18.5%	12.2%	23.8%	5.6%	0.1%	-1.16B	2.02B	-153.4M	2.02	2.21	201,392	406,925	1,732,099	4,136,572
2021-07-12	$226.38	$225.00	20.4%	5.9%	18.3%	12.2%	22.4%	5.9%	0.1%	-948.1M	1.11B	-152.6M	1.43	1.67	103,358	147,765	1,656,618	4,111,115
2021-07-13	$222.69	$225.00	21.6%	6.2%	19.1%	17.7%	21.6%	5.9%	-0.1%	-1.53B	6.92B	-153.9M	1.02	1.64	222,377	226,085	1,686,123	4,173,947
2021-07-14	$218.71	$225.00	22.4%	6.4%	19.9%	21.3%	23.7%	5.6%	-0.0%	-2.04B	13.20B	-155.9M	2.17	1.32	269,587	585,069	1,747,645	4,233,092
2021-07-15	$217.25	$225.00	22.4%	6.4%	19.9%	21.1%	23.8%	5.2%	-0.1%	-2.29B	15.52B	-156.3M	2.23	1.38	377,724	843,984	1,832,715	4,324,335
2021-07-16	$214.67	$225.00	23.7%	6.7%	20.0%	26.9%	24.7%	5.6%	-0.3%	-2.18B	19.03B	-163.8M	1.99	1.33	287,348	570,707	1,974,624	4,482,894
2021-07-19	$210.88	$225.00	27.9%	7.9%	19.3%	45.7%	28.7%	8.1%	-0.3%	-1.58B	19.53B	-165.6M	1.81	1.42	469,089	851,352	1,730,451	4,149,224
2021-07-20	$219.11	$225.00	23.1%	6.6%	22.9%	24.1%	25.5%	7.5%	0.3%	-1.15B	7.34B	-169.7M	1.30	1.27	310,161	403,936	1,893,908	4,361,503
2021-07-21	$221.92	$225.00	22.3%	6.4%	23.3%	20.4%	25.5%	7.2%	0.3%	-953.4M	3.34B	-169.1M	1.73	1.25	280,915	486,989	1,893,129	4,426,820
2021-07-22	$218.28	$225.00	23.9%	6.9%	23.8%	27.9%	24.5%	6.6%	0.2%	-1.66B	10.37B	-173.6M	1.32	1.18	254,084	335,856	1,969,040	4,624,714
2021-07-23	$219.56	$225.00	22.0%	6.3%	23.5%	19.2%	23.1%	5.5%	0.4%	-1.08B	7.25B	-172.7M	1.18	1.45	250,099	295,270	2,060,494	4,647,978
2021-07-26	$220.11	$225.00	23.4%	6.6%	23.4%	25.6%	24.4%	6.8%	0.1%	-1.22B	6.48B	-168.7M	1.10	1.68	153,958	169,599	1,862,660	4,408,480
2021-07-27	$217.25	$225.00	24.6%	7.0%	23.5%	31.1%	25.1%	7.2%	0.1%	-1.62B	11.09B	-169.5M	1.40	1.71	194,210	271,366	1,909,778	4,455,617
2021-07-28	$221.64	$225.00	22.5%	6.3%	24.9%	21.4%	24.0%	6.5%	0.3%	-961.8M	3.65B	-167.3M	1.41	1.86	180,414	254,768	1,944,253	4,506,617
2021-07-29	$223.06	$225.00	22.0%	6.1%	25.0%	19.2%	23.1%	6.1%	0.4%	-505.3M	282.4M	-164.6M	1.59	1.97	208,842	331,175	1,998,419	4,565,267
2021-07-30	$220.92	$225.00	23.1%	6.4%	25.0%	24.2%	24.1%	6.1%	0.3%	-1.00B	4.41B	-167.8M	1.36	1.85	247,308	336,327	2,013,600	4,606,684