IWM Options History — September 2021

In September 2021, IWM traded between $216.31 and $228.92. ATM implied volatility averaged 22.1%, placing in the 19.8% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 2.5% (HV 20d: 19.6%). Max pain ranged from $221.00 to $224.00. Net GEX was positive for 3 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 1.87.

Notable Days

2021-09-20: Highest Volume — 981,126 contracts
2021-09-20: Largest IV spike — 24.8% change
2021-09-20: Highest IV Rank — 40.6%
2021-09-20: Largest Expected Move — 7.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$223.10	$216.31	$228.92	$227.29	$219.72
Max Pain	$222.14	$221.00	$224.00	$222.00	$222.00
ATM IV	22.1%	19.0%	26.8%	19.6%	25.1%
Expected Move	6.3%	5.3%	7.8%	5.3%	7.3%
HV 20d	19.6%	17.8%	20.6%	19.5%	19.3%
HV 60d	20.3%	19.7%	21.2%	20.2%	21.0%
IV Rank	19.8%	5.9%	40.6%	8.4%	33.1%
IV Percentile	23.1%	4.4%	56.3%	7.1%	45.2%
Term Structure	0.1%	-0.2%	0.5%	0.2%	0.0%
VWIV	24.5%	20.9%	28.7%	20.9%	28.3%
Skew 25d	7.3%	6.1%	9.1%	6.4%	7.9%
Skew 10d	14.5%	12.2%	17.7%	12.9%	15.6%
Call IV 25d	19.4%	16.8%	22.9%	17.5%	21.7%
Put IV 25d	26.7%	22.9%	32.0%	23.9%	29.6%
Bid-Ask Spread %	1.95	1.49	2.51	1.49	1.78
Gamma HHI	0.04	0.03	0.06	0.03	0.06
Net GEX	-918.3M	-1.91B	169.3M	-111.7M	-1.91B
Net DEX	2.50B	-8.66B	11.41B	-6.10B	10.24B
Net VEX	-167.5M	-177.5M	-161.4M	-163.7M	-177.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.87	0.90	3.72	1.81	1.45
Total Volume	604,475.19	369,346	981,126	505,495	526,812
Total OI	6,662,906.667	5,760,432	7,314,927	6,449,121	6,811,626

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
2021-09-01	$227.29	$222.00	19.6%	5.3%	19.5%	8.4%	20.9%	6.4%	0.2%	-111.7M	-6.10B	-163.7M	1.81	1.49	179,654	325,841	2,029,928	4,419,193
2021-09-02	$228.92	$221.00	19.6%	5.7%	18.9%	8.7%	23.1%	6.1%	0.2%	169.3M	-8.66B	-163.3M	1.53	1.83	227,403	347,602	2,057,232	4,515,163
2021-09-03	$227.83	$221.00	19.0%	5.6%	18.9%	5.9%	21.1%	6.1%	0.4%	51.9M	-7.07B	-162.8M	2.30	2.06	193,685	444,624	2,110,904	4,590,969
2021-09-07	$226.67	$221.00	20.4%	5.9%	19.0%	12.3%	23.8%	6.8%	0.1%	-338.8M	-3.70B	-162.6M	1.40	1.96	212,997	298,042	2,033,857	4,486,114
2021-09-08	$223.83	$222.00	21.2%	6.1%	19.6%	15.7%	24.3%	6.8%	0.1%	-1.22B	2.39B	-167.8M	1.67	2.28	204,460	341,738	2,098,088	4,696,721
2021-09-09	$225.38	$223.00	21.4%	6.1%	19.7%	16.7%	22.8%	7.0%	0.0%	-948.6M	-681.3M	-168.0M	2.01	1.93	185,933	373,771	2,151,439	4,759,212
2021-09-10	$222.03	$223.00	23.7%	6.8%	20.4%	26.8%	26.5%	7.3%	-0.2%	-1.71B	5.85B	-170.6M	2.46	2.51	205,230	503,849	2,193,527	4,830,112
2021-09-13	$222.78	$223.00	23.1%	6.6%	20.1%	24.2%	26.0%	7.6%	0.1%	-1.04B	4.13B	-167.8M	2.20	1.74	183,225	402,900	2,128,373	4,724,273
2021-09-14	$219.72	$224.00	23.7%	6.8%	20.5%	27.0%	24.7%	7.7%	0.0%	-1.56B	9.70B	-168.8M	1.51	1.76	254,338	383,523	2,188,176	4,861,449
2021-09-15	$222.46	$223.00	21.9%	6.3%	20.2%	18.7%	24.8%	7.2%	0.0%	-1.21B	4.29B	-165.0M	1.77	1.82	152,605	270,017	2,219,306	4,915,442
2021-09-16	$222.67	$222.00	20.3%	5.8%	20.2%	11.8%	24.5%	7.0%	0.5%	-1.01B	3.02B	-161.8M	1.76	2.16	199,692	352,274	2,287,691	4,967,294
2021-09-17	$221.88	$222.00	21.4%	6.1%	18.9%	16.8%	23.9%	7.5%	0.3%	-1.27B	4.80B	-162.8M	2.31	1.86	239,615	553,681	2,308,087	5,006,840
2021-09-20	$216.31	$222.00	26.8%	7.8%	20.5%	40.6%	28.7%	9.1%	-0.2%	-1.25B	11.41B	-167.8M	2.14	2.14	312,398	668,728	1,788,405	3,972,027
2021-09-21	$218.00	$222.00	25.0%	7.2%	19.4%	32.7%	27.0%	8.8%	-0.1%	-1.72B	11.29B	-169.7M	1.61	1.65	141,758	227,588	1,847,263	4,276,949
2021-09-22	$221.56	$222.00	22.4%	6.4%	20.0%	21.2%	26.5%	8.0%	0.1%	-1.19B	4.17B	-166.8M	3.72	1.72	153,629	571,184	1,937,470	4,370,875
2021-09-23	$224.82	$222.00	20.7%	5.9%	20.6%	13.5%	22.0%	7.0%	0.2%	-346.9M	-2.05B	-161.4M	0.90	1.90	470,710	423,834	1,976,761	4,386,404
2021-09-24	$223.79	$222.00	20.5%	5.7%	20.0%	12.6%	21.1%	6.4%	0.3%	-455.2M	-250.3M	-168.3M	1.27	2.22	266,741	339,094	2,002,761	4,517,885
2021-09-27	$226.85	$222.00	20.4%	5.7%	17.8%	12.0%	22.4%	6.3%	0.4%	5.9M	-3.15B	-169.3M	1.98	2.38	171,430	339,902	1,981,629	4,265,384
2021-09-28	$221.61	$222.00	23.9%	7.0%	19.5%	27.9%	26.3%	7.4%	0.1%	-870.8M	5.15B	-175.9M	2.42	1.83	194,686	472,099	2,089,808	4,422,935
2021-09-29	$220.89	$222.00	24.3%	7.1%	19.5%	29.6%	24.9%	7.9%	-0.0%	-1.36B	7.65B	-176.1M	1.14	1.84	175,901	200,786	2,131,734	4,561,734
2021-09-30	$219.72	$222.00	25.1%	7.3%	19.3%	33.1%	28.3%	7.9%	0.0%	-1.91B	10.24B	-177.5M	1.45	1.78	215,038	311,774	2,154,146	4,657,480