IWM Options History — March 2022

In March 2022, IWM traded between $192.42 and $211.81. ATM implied volatility averaged 28.8%, placing in the 59.4% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded above realized volatility by 0.2% (HV 20d: 28.7%). Max pain ranged from $206.00 to $215.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 12 of 23 days. Put/call ratio averaged 2.06.

Notable Days

2022-03-09: Highest Volume — 943,977 contracts
2022-03-07: Largest IV spike — 11.7% change
2022-03-07: Highest IV Rank — 100.0%
2022-03-07: Largest Expected Move — 11.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$202.08	$192.42	$211.81	$198.59	$205.72
Max Pain	$210.83	$206.00	$215.00	$215.00	$210.00
ATM IV	28.8%	21.3%	36.7%	34.8%	23.5%
Expected Move	8.7%	6.4%	11.9%	10.7%	7.0%
HV 20d	28.7%	25.5%	31.2%	25.5%	27.2%
HV 60d	25.5%	24.5%	26.9%	25.0%	26.9%
IV Rank	59.4%	20.5%	100.0%	90.8%	31.6%
IV Percentile	76.6%	29.8%	100.0%	99.2%	54.4%
Term Structure	-0.2%	-1.2%	0.5%	0.0%	-0.5%
VWIV	32.6%	24.9%	43.5%	40.5%	26.4%
Skew 25d	8.6%	5.4%	11.4%	11.2%	6.7%
Skew 10d	16.1%	11.1%	20.9%	20.8%	12.3%
Call IV 25d	25.1%	19.1%	31.6%	29.9%	20.9%
Put IV 25d	33.6%	24.5%	42.7%	41.1%	27.6%
Bid-Ask Spread %	1.92	1.23	2.84	1.52	2.32
Gamma HHI	0.05	0.04	0.07	0.06	0.05
Net GEX	-970.6M	-1.76B	-194.0M	-1.17B	-989.6M
Net DEX	17.55B	2.93B	32.63B	23.50B	12.39B
Net VEX	-184.3M	-192.3M	-176.9M	-190.5M	-187.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.06	1.20	4.53	2.53	1.48
Total Volume	697,003.391	456,627	943,977	758,600	576,777
Total OI	6,956,449.87	5,886,076	7,847,006	6,968,025	6,672,589

Daily Data (23 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
2022-03-01	$198.59	$215.00	34.8%	10.7%	25.5%	90.8%	40.5%	11.2%	0.0%	-1.17B	23.50B	-190.5M	2.53	1.52	214,859	543,741	2,260,627	4,707,398
2022-03-02	$204.72	$215.00	30.9%	9.2%	27.1%	70.5%	36.4%	10.3%	-0.8%	-719.1M	15.01B	-192.3M	1.68	1.49	289,539	485,061	2,317,524	4,817,232
2022-03-03	$200.83	$215.00	32.9%	10.0%	27.8%	80.7%	39.9%	10.7%	-0.6%	-1.11B	21.05B	-191.7M	1.47	1.39	286,394	420,227	2,328,150	4,812,481
2022-03-04	$198.00	$215.00	32.8%	10.2%	27.4%	80.3%	37.1%	10.5%	0.2%	-1.42B	25.62B	-189.0M	2.22	1.53	201,132	446,257	2,352,877	4,875,887
2022-03-07	$194.53	$213.00	36.7%	11.9%	27.9%	100.0%	43.1%	11.1%	0.2%	-1.46B	29.31B	-184.1M	2.31	1.23	195,583	451,027	2,292,594	4,785,934
2022-03-08	$195.55	$213.00	36.1%	11.6%	28.0%	96.8%	43.5%	11.4%	0.2%	-1.42B	27.98B	-184.9M	2.52	1.48	210,122	530,280	2,310,659	4,854,988
2022-03-09	$200.78	$213.00	32.9%	10.4%	29.1%	80.2%	42.5%	10.4%	-0.9%	-1.05B	20.51B	-189.0M	4.53	1.61	170,833	773,144	2,367,211	5,062,544
2022-03-10	$199.46	$213.00	32.9%	10.3%	28.5%	80.6%	37.2%	10.0%	-0.9%	-1.30B	23.39B	-188.6M	1.20	1.63	239,916	288,074	2,363,997	5,113,824
2022-03-11	$196.96	$212.00	33.0%	10.5%	28.2%	80.8%	37.0%	9.1%	0.3%	-1.46B	26.47B	-187.5M	1.59	1.52	230,100	366,687	2,431,196	5,128,322
2022-03-14	$192.42	$209.00	34.9%	9.5%	29.2%	90.9%	32.8%	9.4%	0.2%	-1.76B	32.63B	-180.6M	3.42	2.25	181,058	619,574	2,388,298	5,116,451
2022-03-15	$195.44	$209.00	32.6%	9.0%	29.9%	78.8%	29.9%	8.8%	-1.2%	-1.57B	27.77B	-181.6M	2.33	2.84	179,989	419,232	2,381,735	5,159,724
2022-03-16	$200.72	$207.00	29.1%	8.2%	30.3%	60.7%	31.1%	8.0%	-1.1%	-968.1M	19.21B	-182.5M	2.29	2.69	278,255	636,330	2,450,723	5,208,696
2022-03-17	$204.96	$206.00	26.5%	7.7%	31.2%	47.5%	28.6%	7.5%	-1.1%	-392.8M	12.61B	-181.5M	1.93	2.11	280,702	541,257	2,492,464	5,240,756
2022-03-18	$207.22	$206.00	25.1%	7.4%	30.3%	39.9%	27.7%	7.4%	0.3%	-271.2M	9.42B	-180.3M	1.64	1.93	335,591	548,762	2,508,202	5,338,804
2022-03-21	$204.37	$209.00	26.5%	7.6%	30.5%	47.3%	27.3%	7.8%	0.3%	-729.5M	11.49B	-178.7M	2.11	2.50	194,807	410,557	1,748,050	4,138,026
2022-03-22	$207.52	$210.00	24.0%	6.9%	30.5%	34.6%	26.9%	6.5%	0.5%	-593.8M	7.81B	-176.9M	1.57	2.04	297,648	467,634	1,754,587	4,238,390
2022-03-23	$204.58	$210.00	24.5%	7.1%	29.8%	37.1%	28.3%	7.4%	-0.5%	-942.3M	12.09B	-180.1M	1.73	1.93	224,981	389,427	1,838,970	4,345,609
2022-03-24	$205.45	$210.00	23.4%	6.9%	28.8%	31.2%	28.9%	6.8%	-0.5%	-703.4M	10.75B	-181.1M	1.69	1.97	226,784	383,528	1,825,913	4,366,701
2022-03-25	$205.49	$210.00	23.0%	6.9%	27.9%	29.0%	24.9%	6.7%	0.4%	-639.7M	10.86B	-182.6M	1.77	1.90	165,099	291,528	1,896,591	4,547,872
2022-03-28	$205.37	$210.00	22.5%	6.8%	27.9%	26.5%	27.4%	6.7%	0.4%	-749.8M	11.21B	-180.1M	2.12	1.73	148,218	314,570	1,827,444	4,400,621
2022-03-29	$211.81	$209.00	21.3%	6.4%	28.6%	20.5%	26.0%	5.4%	0.4%	-194.0M	2.93B	-182.0M	1.30	2.40	373,361	487,000	1,847,651	4,495,189
2022-03-30	$207.39	$210.00	23.3%	6.9%	28.0%	30.5%	27.0%	6.7%	-0.3%	-702.5M	9.66B	-185.5M	1.99	2.24	239,091	476,342	1,957,946	4,626,900
2022-03-31	$205.72	$210.00	23.5%	7.0%	27.2%	31.6%	26.4%	6.7%	-0.5%	-989.6M	12.39B	-187.3M	1.48	2.32	232,413	344,364	1,958,786	4,713,803