IWM Options History — August 2021

In August 2021, IWM traded between $211.72 and $226.58. ATM implied volatility averaged 22.0%, placing in the 19.2% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 1.8% (HV 20d: 20.2%). Max pain ranged from $222.00 to $225.00. Net GEX was positive for 1 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 1.74.

Notable Days

2021-08-19: Highest Volume — 1,098,690 contracts
2021-08-27: Largest IV drop — 11.9% change
2021-08-19: Highest IV Rank — 34.2%
2021-08-19: Largest Expected Move — 7.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$220.74	$211.72	$226.58	$220.28	$225.76
Max Pain	$223.27	$222.00	$225.00	$225.00	$222.00
ATM IV	22.0%	19.5%	25.3%	24.5%	19.7%
Expected Move	6.2%	5.2%	7.3%	6.9%	5.3%
HV 20d	20.2%	15.4%	24.8%	24.8%	19.8%
HV 60d	19.5%	18.6%	20.9%	20.9%	20.3%
IV Rank	19.2%	8.2%	34.2%	30.3%	8.9%
IV Percentile	15.9%	6.7%	37.3%	25.8%	7.5%
Term Structure	0.1%	-0.3%	0.7%	-0.3%	0.1%
VWIV	23.6%	19.9%	27.3%	25.7%	19.9%
Skew 25d	6.6%	5.5%	7.6%	7.3%	6.6%
Skew 10d	13.4%	11.4%	15.6%	14.4%	13.6%
Call IV 25d	19.3%	17.5%	22.0%	21.3%	17.6%
Put IV 25d	25.9%	23.6%	29.6%	28.6%	24.2%
Bid-Ask Spread %	2.11	1.55	2.53	2.01	1.71
Gamma HHI	0.05	0.03	0.17	0.03	0.03
Net GEX	-984.1M	-2.35B	108.9M	-976.3M	-308.4M
Net DEX	4.30B	-7.73B	19.78B	5.47B	-3.66B
Net VEX	-162.6M	-166.8M	-156.8M	-166.6M	-165.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.74	1.01	2.38	1.77	1.68
Total Volume	544,016.682	236,933	1,098,690	404,373	336,208
Total OI	6,319,522.409	5,803,158	6,764,620	5,916,303	6,370,092

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
2021-08-02	$220.28	$225.00	24.5%	6.9%	24.8%	30.3%	25.7%	7.3%	-0.3%	-976.3M	5.47B	-166.6M	1.77	2.01	145,747	258,626	1,776,011	4,140,292
2021-08-03	$220.39	$225.00	23.2%	6.4%	24.3%	24.8%	23.9%	6.6%	-0.2%	-1.04B	5.45B	-163.9M	1.71	1.89	170,758	291,867	1,858,393	4,258,430
2021-08-04	$218.39	$225.00	23.8%	6.6%	24.3%	27.5%	22.4%	6.6%	-0.3%	-1.47B	9.04B	-164.9M	1.22	1.68	186,189	226,691	1,902,754	4,328,662
2021-08-05	$221.88	$225.00	23.0%	6.6%	24.7%	23.8%	24.6%	6.8%	-0.2%	-730.4M	3.11B	-165.6M	1.83	2.52	176,806	322,726	1,954,851	4,358,224
2021-08-06	$223.39	$225.00	22.3%	6.4%	23.4%	20.5%	24.2%	6.1%	-0.1%	-582.6M	102.0M	-164.6M	1.62	2.51	205,694	332,461	2,020,685	4,413,655
2021-08-09	$222.50	$225.00	22.3%	6.5%	23.4%	20.7%	25.4%	6.7%	0.3%	-882.3M	2.01B	-164.3M	1.59	2.44	91,520	145,413	1,872,621	4,280,961
2021-08-10	$222.61	$224.00	22.3%	6.4%	22.7%	20.7%	24.4%	6.8%	-0.1%	-934.9M	2.08B	-163.5M	1.55	2.32	116,992	181,183	1,930,598	4,369,609
2021-08-11	$223.33	$224.00	21.5%	6.2%	21.7%	17.0%	23.1%	6.4%	0.3%	-902.4M	963.5M	-162.6M	1.86	2.21	180,325	335,616	1,940,846	4,443,343
2021-08-12	$223.11	$223.00	20.8%	6.0%	21.5%	13.7%	23.3%	6.2%	0.3%	-1.07B	1.64B	-161.7M	1.53	2.29	193,446	295,231	1,974,075	4,500,445
2021-08-13	$220.94	$223.00	20.5%	6.0%	21.3%	12.6%	22.5%	5.5%	0.4%	-2.35B	5.48B	-159.5M	1.58	2.03	213,337	337,383	2,012,440	4,506,342
2021-08-16	$218.89	$223.00	21.4%	6.2%	20.5%	16.5%	23.5%	6.2%	0.5%	-1.33B	7.68B	-156.8M	2.00	2.17	128,620	256,812	1,965,712	4,352,482
2021-08-17	$215.81	$223.00	23.3%	6.7%	16.2%	25.2%	24.5%	6.7%	0.3%	-1.74B	13.39B	-160.2M	2.22	2.30	304,766	676,757	2,021,994	4,460,827
2021-08-18	$215.53	$223.00	23.5%	6.7%	15.4%	26.1%	24.1%	6.7%	0.4%	-1.93B	14.24B	-160.5M	1.22	2.53	207,455	253,995	2,050,004	4,503,173
2021-08-19	$211.72	$223.00	25.3%	7.3%	15.5%	34.2%	27.3%	7.6%	0.2%	-1.98B	19.78B	-160.2M	2.24	2.24	339,477	759,213	2,140,001	4,520,937
2021-08-20	$215.38	$222.00	22.7%	6.4%	16.7%	22.5%	23.7%	6.4%	0.7%	-1.83B	13.93B	-161.1M	1.75	2.16	273,888	479,047	2,179,063	4,585,557
2021-08-23	$219.68	$222.00	20.8%	5.7%	18.2%	13.9%	23.7%	6.7%	-0.1%	-567.3M	3.16B	-158.5M	2.11	1.70	234,795	496,044	1,851,320	3,951,838
2021-08-24	$221.72	$222.00	20.8%	5.7%	17.9%	13.7%	22.7%	7.1%	-0.1%	-219.3M	257.3M	-161.8M	1.37	2.05	199,616	274,206	1,904,717	4,113,163
2021-08-25	$223.01	$222.00	20.3%	5.5%	16.5%	11.8%	23.7%	6.9%	-0.0%	-25.8M	-1.72B	-162.8M	2.38	1.88	171,734	408,181	1,964,035	4,226,596
2021-08-26	$220.08	$222.00	22.2%	6.1%	17.0%	20.0%	22.9%	7.5%	-0.2%	-684.2M	3.29B	-166.8M	2.06	1.93	159,171	328,299	2,024,164	4,328,320
2021-08-27	$226.58	$222.00	19.5%	5.2%	19.7%	8.2%	20.6%	6.4%	0.1%	108.9M	-7.73B	-164.2M	1.01	2.39	391,043	395,436	2,053,250	4,466,546
2021-08-30	$225.22	$222.00	20.1%	5.4%	19.8%	10.6%	22.9%	6.6%	0.1%	-208.0M	-3.42B	-162.3M	2.09	1.55	156,952	328,641	1,917,209	4,235,256
2021-08-31	$225.76	$222.00	19.7%	5.3%	19.8%	8.9%	19.9%	6.6%	0.1%	-308.4M	-3.66B	-165.0M	1.68	1.71	125,500	210,708	1,992,360	4,377,732