IWM Options History — January 2022

In January 2022, IWM traded between $192.29 and $225.31. ATM implied volatility averaged 26.8%, placing in the 49.0% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded above realized volatility by 5.8% (HV 20d: 21.1%). Max pain ranged from $214.00 to $225.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 2.18.

Notable Days

  • 2022-01-21: Highest Volume — 1,820,648 contracts
  • 2022-01-18: Largest IV spike — 19.8% change
  • 2022-01-25: Highest IV Rank — 85.0%
  • 2022-01-27: Largest Expected Move — 10.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$208.77$192.29$225.31$224.66$199.62
Max Pain$220.60$214.00$225.00$225.00$214.00
ATM IV26.8%19.3%33.7%19.3%28.4%
Expected Move7.9%5.3%10.2%5.3%8.8%
HV 20d21.1%19.1%24.9%22.2%24.9%
HV 60d22.0%20.5%23.1%20.5%23.1%
IV Rank49.0%9.9%85.0%9.9%57.4%
IV Percentile66.5%11.1%97.6%11.1%82.1%
Term Structure-0.2%-1.5%0.6%0.4%0.2%
VWIV29.2%19.8%39.0%21.7%34.7%
Skew 25d7.8%5.1%10.1%5.1%8.8%
Skew 10d15.0%10.1%18.6%10.1%16.7%
Call IV 25d23.3%17.4%29.1%17.5%24.7%
Put IV 25d31.1%22.6%38.9%22.6%33.5%
Bid-Ask Spread %1.941.542.891.611.59
Gamma HHI0.050.030.080.030.06
Net GEX-1.34B-2.09B-91.6M-143.9M-644.6M
Net DEX22.42B1.36B40.87B1.77B23.81B
Net VEX-167.7M-176.8M-159.7M-170.4M-172.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.181.323.341.791.59
Total Volume984,638.05452,6351,820,648711,231853,383
Total OI6,919,513.16,102,3877,878,5236,528,7347,001,933

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-01-03$224.66$225.0019.3%5.3%22.2%9.9%21.7%5.1%0.4%-143.9M1.77B-170.4M1.791.61254,686456,5452,273,9274,254,807
2022-01-04$225.31$225.0019.6%5.3%20.5%11.3%19.8%5.3%0.4%-91.6M1.36B-172.1M1.321.73195,442257,1932,288,0334,287,591
2022-01-05$218.13$225.0022.8%6.4%22.3%28.4%23.0%6.5%-0.6%-1.08B14.01B-173.5M1.591.83338,312538,1712,316,9304,372,447
2022-01-06$218.91$225.0023.9%6.9%22.1%34.0%25.0%7.8%-0.6%-1.00B12.67B-176.8M1.561.65250,553391,8042,366,8354,433,131
2022-01-07$216.56$225.0023.1%6.7%21.3%29.9%24.1%7.2%0.6%-1.53B16.90B-173.1M1.731.54235,270407,1572,378,4254,528,393
2022-01-10$214.28$225.0023.9%6.9%21.4%34.0%26.0%7.3%0.2%-1.52B19.52B-167.8M2.521.78227,401573,4472,355,6094,477,796
2022-01-11$217.33$224.0022.6%6.6%21.7%27.2%25.3%6.7%0.6%-1.17B13.94B-169.9M1.641.80196,054321,2992,386,6124,545,356
2022-01-12$216.62$223.0021.9%6.3%21.3%23.5%24.2%6.5%-0.5%-1.35B15.10B-166.2M2.581.80259,417668,6052,439,2274,617,982
2022-01-13$214.37$222.0024.2%7.0%21.1%35.3%25.2%7.1%-0.6%-1.54B18.75B-171.0M1.721.62224,200385,0612,490,7574,611,263
2022-01-14$214.22$221.0023.2%6.7%20.0%30.2%26.0%6.6%0.3%-1.72B19.39B-168.3M3.052.28233,168711,1892,536,8584,704,764
2022-01-18$208.24$220.0027.8%8.0%22.0%54.1%28.8%7.7%0.2%-1.91B28.25B-163.7M3.342.10252,460843,4722,487,7684,713,766
2022-01-19$205.27$220.0028.6%8.2%21.8%58.6%29.3%7.9%-1.2%-2.09B32.30B-159.7M2.141.57357,443766,4592,535,7294,793,121
2022-01-20$201.53$220.0029.4%8.5%20.0%62.7%30.0%8.0%-1.2%-1.93B36.42B-159.7M2.772.07312,105863,3732,659,5814,904,719
2022-01-21$198.50$218.0032.7%9.6%19.5%79.6%34.4%9.0%-1.5%-1.93B40.87B-161.7M2.742.70486,6641,333,9842,777,3845,101,139
2022-01-24$200.67$218.0033.0%9.9%19.5%81.5%39.0%10.0%0.0%-1.28B26.20B-167.5M2.782.30477,2891,326,7752,050,6644,051,723
2022-01-25$200.11$217.0033.7%10.1%19.1%85.0%38.2%10.1%0.1%-1.20B25.53B-170.3M1.561.94298,845467,1042,187,0604,166,395
2022-01-26$195.88$215.0033.6%10.1%19.8%84.5%37.0%9.6%-1.0%-1.48B30.80B-166.1M2.792.89364,4531,017,0582,294,5784,292,781
2022-01-27$192.29$215.0033.4%10.2%20.2%83.2%36.8%9.5%-1.0%-1.55B35.52B-161.4M2.412.19351,055844,6532,329,3024,359,059
2022-01-28$192.95$215.0031.0%9.5%20.2%70.8%35.5%8.8%0.2%-1.67B35.21B-162.8M2.011.90448,216902,9962,488,0484,528,769
2022-01-31$199.62$214.0028.4%8.8%24.9%57.4%34.7%8.8%0.2%-644.6M23.81B-172.9M1.591.59330,073523,3102,511,9174,490,016