IWM Options History — November 2021 In November 2021, IWM traded between $219.82 and $242.33. ATM implied volatility averaged 22.1%, placing in the 25.4% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 4.7% (HV 20d: 17.5%). Max pain ranged from $225.00 to $229.00. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 1.09.
Notable Days 2021-11-30 : Highest Volume — 1,660,428 contracts2021-11-26 : Largest IV spike — 31.7% change2021-11-30 : Highest IV Rank — 71.3%2021-11-30 : Largest Expected Move — 9.8%Monthly Statistics Metric Avg Min Max Open Close Price $234.68 $219.82 $242.33 $234.02 $219.82 Max Pain $226.90 $225.00 $229.00 $225.00 $227.00 ATM IV 22.1% 19.4% 30.8% 19.5% 30.8% Expected Move 6.6% 5.7% 9.8% 5.8% 9.8% HV 20d 17.5% 15.3% 21.1% 15.3% 19.0% HV 60d 18.1% 16.7% 18.8% 18.1% 18.3% IV Rank 25.4% 10.0% 71.3% 10.0% 71.3% IV Percentile 33.6% 11.5% 93.7% 11.9% 93.7% Term Structure 0.0% -0.9% 0.5% 0.4% 0.2% VWIV 24.1% 20.7% 38.0% 21.1% 38.0% Skew 25d 5.0% 3.1% 11.1% 4.3% 10.0% Skew 10d 10.2% 7.1% 21.0% 8.1% 18.4% Call IV 25d 20.4% 17.9% 27.1% 18.0% 27.1% Put IV 25d 25.3% 21.9% 37.1% 22.3% 37.1% Bid-Ask Spread % 2.03 1.43 7.30 1.82 2.32 Gamma HHI 0.05 0.03 0.09 0.04 0.03 Net GEX 296.2M -1.21B 2.14B 550.4M -1.04B Net DEX -8.80B -26.36B 16.38B -12.47B 16.38B Net VEX -176.0M -187.0M -163.4M -163.4M -180.2M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.09 0.66 1.97 1.07 1.90 Total Volume 1,028,150.524 499,528 1,660,428 1,459,753 1,660,428 Total OI 7,501,619.905 6,506,740 8,175,417 6,506,740 7,513,221
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 2021-11-01 $234.02 $225.00 19.5% 5.8% 15.3% 10.0% 21.1% 4.3% 0.4% 550.4M -12.47B -163.4M 1.07 1.82 706,501 753,252 2,151,074 4,355,666 2021-11-02 $234.07 $227.00 19.4% 5.7% 15.3% 10.0% 20.7% 4.2% 0.3% 635.1M -12.39B -168.9M 0.80 1.53 400,762 320,310 2,353,015 4,565,242 2021-11-03 $239.11 $227.00 19.8% 5.8% 16.0% 12.7% 20.8% 3.6% -0.3% 1.29B -21.92B -165.3M 0.81 1.82 866,813 706,454 2,446,900 4,720,288 2021-11-04 $238.27 $225.00 19.5% 5.8% 15.6% 11.5% 21.1% 3.6% -0.4% 1.41B -19.64B -175.6M 0.66 1.98 720,648 473,507 2,638,872 4,866,864 2021-11-05 $241.88 $225.00 19.8% 6.0% 15.8% 12.9% 22.8% 3.1% 0.4% 2.14B -26.36B -172.7M 0.77 1.90 676,229 518,777 2,725,755 4,986,754 2021-11-08 $242.33 $225.00 20.6% 6.1% 15.6% 17.5% 22.2% 3.4% 0.2% 1.41B -23.91B -171.1M 0.82 1.70 488,008 398,079 2,676,240 4,785,200 2021-11-09 $241.36 $225.00 21.5% 6.3% 15.8% 21.9% 23.2% 3.9% 0.4% 1.03B -20.44B -181.5M 1.12 1.80 358,352 400,132 2,723,283 4,882,519 2021-11-10 $237.07 $226.00 22.3% 6.5% 17.7% 26.4% 24.4% 5.2% -0.1% 66.0M -10.89B -184.1M 1.26 2.05 481,409 607,837 2,741,543 4,977,913 2021-11-11 $239.22 $227.00 21.1% 6.2% 17.4% 19.9% 23.0% 4.6% -0.0% 732.0M -15.93B -182.5M 1.09 1.72 298,799 325,694 2,784,184 5,018,094 2021-11-12 $239.60 $227.00 19.8% 5.9% 17.4% 12.7% 20.8% 4.3% 0.5% 964.9M -17.47B -177.8M 0.98 1.61 331,415 323,336 2,837,326 5,097,038 2021-11-15 $238.07 $227.00 21.0% 6.1% 17.5% 19.5% 21.2% 4.7% 0.3% 1.36B -13.98B -175.3M 0.99 1.81 367,899 362,963 2,718,615 4,946,581 2021-11-16 $238.81 $227.00 20.4% 5.9% 17.5% 16.1% 21.8% 4.3% 0.4% 824.8M -15.43B -170.4M 1.10 1.63 237,808 261,720 2,693,265 4,988,268 2021-11-17 $236.13 $227.00 21.4% 6.1% 18.1% 21.6% 22.1% 4.7% -0.5% 69.1M -9.35B -172.8M 1.04 1.72 387,838 403,416 2,728,706 5,025,894 2021-11-18 $234.23 $227.00 21.6% 6.2% 18.5% 22.5% 21.7% 4.2% -0.5% -369.8M -5.35B -174.2M 1.00 1.64 489,054 487,587 2,763,529 5,081,369 2021-11-19 $232.55 $227.00 21.6% 6.3% 18.7% 22.3% 23.2% 3.7% 0.3% -1.21B -1.87B -177.4M 1.22 1.43 587,592 715,308 2,930,295 5,245,122 2021-11-22 $232.74 $229.00 22.4% 6.5% 18.4% 26.8% 22.8% 4.1% 0.2% -325.5M -2.12B -177.1M 0.84 1.50 489,986 412,163 2,666,403 4,384,789 2021-11-23 $231.31 $229.00 23.2% 6.7% 18.4% 31.3% 24.7% 4.5% -0.9% -601.1M 825.3M -181.0M 1.29 1.75 438,246 567,260 2,666,339 4,460,646 2021-11-24 $231.76 $229.00 22.7% 6.6% 17.1% 28.3% 24.4% 4.3% -0.9% -481.8M -822.4M -181.3M 0.90 1.61 400,888 361,505 2,774,656 4,586,888 2021-11-26 $223.58 $229.00 29.9% 9.2% 21.1% 66.6% 36.4% 11.1% 0.0% -1.13B 14.26B -187.0M 1.97 7.30 540,569 1,064,014 2,820,187 4,572,671 2021-11-29 $222.37 $228.00 26.9% 8.5% 21.1% 50.6% 30.8% 8.6% 0.3% -1.10B 14.15B -177.3M 1.21 2.05 541,169 657,434 2,843,416 4,789,388 2021-11-30 $219.82 $227.00 30.8% 9.8% 19.0% 71.3% 38.0% 10.0% 0.2% -1.04B 16.38B -180.2M 1.90 2.32 572,400 1,088,028 2,815,263 4,697,958
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