IWM Options History — December 2021

In December 2021, IWM traded between $211.81 and $225.87. ATM implied volatility averaged 26.3%, placing in the 46.6% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded above realized volatility by 1.2% (HV 20d: 25.1%). Max pain ranged from $225.00 to $226.00. Net GEX was positive for 6 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 1.44.

Notable Days

2021-12-01: Highest Volume — 1,530,618 contracts
2021-12-06: Largest IV drop — 16.1% change
2021-12-03: Highest IV Rank — 100.0%
2021-12-03: Largest Expected Move — 12.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$219.28	$211.81	$225.87	$215.51	$223.45
Max Pain	$225.05	$225.00	$226.00	$226.00	$225.00
ATM IV	26.3%	19.4%	36.6%	33.7%	19.4%
Expected Move	7.6%	5.5%	12.0%	10.8%	5.5%
HV 20d	25.1%	19.3%	29.6%	19.8%	24.6%
HV 60d	20.6%	18.7%	21.3%	18.7%	20.7%
IV Rank	46.6%	10.5%	100.0%	87.3%	10.5%
IV Percentile	62.3%	11.5%	100.0%	98.4%	11.5%
Term Structure	-0.2%	-1.1%	0.7%	-0.9%	0.7%
VWIV	28.6%	20.7%	45.1%	39.0%	21.4%
Skew 25d	8.1%	5.0%	13.4%	11.9%	5.0%
Skew 10d	16.1%	9.7%	25.1%	23.1%	9.8%
Call IV 25d	23.2%	17.5%	30.8%	29.4%	17.5%
Put IV 25d	31.3%	22.6%	44.3%	41.2%	22.6%
Bid-Ask Spread %	2.23	1.52	3.65	2.99	1.52
Gamma HHI	0.04	0.03	0.06	0.04	0.03
Net GEX	-748.1M	-1.81B	362.1M	-1.36B	-98.0M
Net DEX	13.02B	1.48B	26.34B	22.40B	2.81B
Net VEX	-184.4M	-197.5M	-170.6M	-183.8M	-173.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.44	0.96	2.23	1.41	1.67
Total Volume	943,642.636	469,496	1,530,618	1,530,618	469,496
Total OI	7,927,779.682	6,963,356	9,207,525	7,832,144	7,331,375

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
2021-12-01	$215.51	$226.00	33.7%	10.8%	19.8%	87.3%	39.0%	11.9%	-0.9%	-1.36B	22.40B	-183.8M	1.41	2.99	635,427	895,191	2,964,116	4,868,028
2021-12-02	$219.43	$225.00	33.0%	10.7%	19.3%	83.5%	39.9%	12.4%	-1.0%	-1.04B	16.47B	-193.1M	1.24	1.57	520,366	646,514	3,008,746	5,013,585
2021-12-03	$213.52	$225.00	36.6%	12.0%	20.9%	100.0%	45.1%	13.4%	-0.1%	-1.60B	26.34B	-197.5M	1.93	2.17	387,303	746,630	3,152,754	5,217,124
2021-12-06	$219.09	$225.00	30.7%	8.4%	22.6%	69.3%	32.3%	11.7%	0.1%	-1.00B	15.67B	-194.7M	1.56	2.24	323,775	504,434	3,019,219	5,155,620
2021-12-07	$223.82	$225.00	25.9%	7.3%	24.4%	44.6%	28.4%	9.3%	0.3%	-521.5M	7.35B	-189.7M	1.94	2.68	343,505	667,850	3,035,067	5,186,379
2021-12-08	$225.87	$225.00	24.1%	6.8%	24.8%	35.1%	23.4%	7.4%	-0.7%	-249.8M	3.40B	-188.9M	1.49	1.87	364,632	543,615	3,082,529	5,308,271
2021-12-09	$221.38	$225.00	26.1%	7.3%	25.0%	45.2%	27.3%	8.2%	-0.8%	-1.19B	13.17B	-189.5M	1.65	1.96	286,986	473,576	3,100,867	5,383,294
2021-12-10	$219.67	$225.00	24.5%	7.0%	24.6%	37.0%	26.0%	7.3%	0.3%	-1.81B	16.83B	-183.3M	1.21	2.05	447,415	540,563	3,175,233	5,487,412
2021-12-13	$217.03	$225.00	26.3%	7.4%	24.6%	46.6%	27.5%	7.6%	0.2%	-1.55B	21.68B	-181.1M	1.53	1.87	415,169	633,649	3,008,535	5,337,370
2021-12-14	$214.49	$225.00	29.1%	8.1%	24.8%	60.9%	30.2%	8.8%	0.3%	-1.71B	25.65B	-184.4M	2.23	2.21	331,642	739,826	3,088,621	5,449,629
2021-12-15	$217.25	$225.00	26.8%	7.5%	25.4%	48.8%	28.2%	7.6%	-1.0%	-1.46B	19.95B	-186.6M	1.26	3.65	659,208	833,888	3,173,975	5,659,711
2021-12-16	$213.26	$225.00	28.7%	8.1%	25.8%	59.1%	29.6%	8.3%	-1.1%	-1.76B	25.95B	-186.4M	0.96	3.57	683,631	655,212	3,301,222	5,605,048
2021-12-17	$215.40	$225.00	27.5%	7.8%	26.3%	52.6%	28.6%	8.2%	-1.1%	-1.02B	19.57B	-188.0M	1.02	1.98	634,274	648,456	3,508,939	5,698,586
2021-12-20	$211.81	$225.00	29.5%	8.5%	26.7%	63.0%	31.3%	8.4%	0.1%	-1.13B	19.86B	-183.2M	1.34	2.25	421,557	566,046	2,605,009	4,358,347
2021-12-21	$217.37	$225.00	27.9%	8.1%	28.8%	54.7%	29.6%	8.0%	0.6%	-415.3M	10.64B	-187.6M	1.22	2.42	402,318	492,103	2,648,550	4,395,104
2021-12-22	$219.96	$225.00	24.7%	7.1%	29.2%	38.2%	27.7%	7.7%	-0.5%	81.9M	6.53B	-186.9M	1.11	1.86	291,074	323,746	2,753,630	4,482,643
2021-12-23	$222.46	$225.00	22.2%	6.4%	29.6%	24.9%	26.1%	6.7%	-0.4%	313.0M	3.03B	-184.4M	1.34	2.77	341,019	457,233	2,731,531	4,499,457
2021-12-27	$223.61	$225.00	21.2%	6.0%	26.8%	19.7%	22.3%	5.5%	0.4%	332.5M	1.48B	-175.8M	1.16	2.59	275,205	319,522	2,668,306	4,429,438
2021-12-28	$223.57	$225.00	20.7%	5.8%	26.8%	17.1%	22.9%	5.2%	0.4%	362.1M	1.83B	-175.0M	1.97	1.57	248,301	488,207	2,679,475	4,433,168
2021-12-29	$222.72	$225.00	20.0%	5.5%	26.4%	13.8%	20.7%	5.0%	-0.2%	94.9M	3.39B	-170.6M	0.98	1.54	246,508	241,201	2,715,477	4,503,180
2021-12-30	$223.38	$225.00	19.9%	5.6%	25.3%	13.1%	22.6%	5.2%	-0.6%	279.5M	2.46B	-172.8M	1.41	1.70	254,785	359,080	2,702,630	4,483,953
2021-12-31	$223.45	$225.00	19.4%	5.5%	24.6%	10.5%	21.4%	5.0%	0.7%	-98.0M	2.81B	-173.3M	1.67	1.52	175,525	293,971	2,735,427	4,595,948