IWM Options History — September 2022

In September 2022, IWM traded between $164.43 and $189.25. ATM implied volatility averaged 30.1%, placing in the 65.7% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded above realized volatility by 3.0% (HV 20d: 27.1%). Max pain ranged from $185.00 to $194.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 2.59.

Notable Days

2022-09-23: Highest Volume — 2,088,900 contracts
2022-09-13: Largest IV spike — 12.4% change
2022-09-27: Highest IV Rank — 95.6%
2022-09-27: Largest Expected Move — 10.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$176.75	$164.43	$189.25	$180.60	$165.68
Max Pain	$190.57	$185.00	$194.00	$194.00	$185.00
ATM IV	30.1%	24.9%	35.9%	28.8%	33.9%
Expected Move	8.7%	7.3%	10.6%	8.3%	10.2%
HV 20d	27.1%	23.5%	31.5%	26.9%	31.1%
HV 60d	26.4%	24.8%	29.1%	29.1%	27.0%
IV Rank	65.7%	39.1%	95.6%	58.9%	85.4%
IV Percentile	71.9%	40.5%	97.2%	65.9%	93.3%
Term Structure	-0.2%	-1.0%	0.6%	-0.7%	0.6%
VWIV	31.6%	27.8%	38.0%	30.4%	36.3%
Skew 25d	5.7%	4.1%	7.6%	6.2%	6.2%
Skew 10d	10.8%	8.2%	13.9%	11.3%	12.3%
Call IV 25d	27.4%	22.5%	32.1%	26.2%	30.7%
Put IV 25d	33.2%	27.7%	39.7%	32.4%	37.0%
Bid-Ask Spread %	1.29	-0.37	1.95	1.07	1.29
Gamma HHI	0.06	0.05	0.10	0.06	0.10
Net GEX	-2.03B	-2.62B	-1.44B	-2.33B	-1.85B
Net DEX	34.06B	14.11B	47.93B	35.65B	42.28B
Net VEX	-200.5M	-210.3M	-185.7M	-210.3M	-200.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.59	1.53	4.48	3.44	1.53
Total Volume	1,012,687.857	554,414	2,088,900	1,251,579	1,229,267
Total OI	9,014,645.571	7,975,963	9,971,652	9,071,212	9,210,660

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
2022-09-01	$180.60	$194.00	28.8%	8.3%	26.9%	58.9%	30.4%	6.2%	-0.7%	-2.33B	35.65B	-210.3M	3.44	1.07	281,674	969,905	2,366,002	6,705,210
2022-09-02	$179.39	$193.00	28.6%	8.2%	26.6%	58.2%	29.6%	5.8%	0.1%	-2.62B	38.14B	-209.2M	1.79	1.05	385,138	689,587	2,477,665	6,931,666
2022-09-06	$178.44	$194.00	29.6%	8.3%	26.0%	63.0%	29.9%	5.7%	0.1%	-2.55B	38.66B	-202.7M	3.19	1.38	194,713	620,383	2,397,864	6,800,654
2022-09-07	$182.18	$192.00	27.5%	7.8%	26.7%	52.2%	29.6%	5.9%	-0.7%	-2.23B	29.84B	-202.6M	2.82	1.24	212,042	597,603	2,437,418	6,770,818
2022-09-08	$183.39	$191.00	26.6%	7.6%	23.5%	47.6%	27.8%	5.6%	-0.7%	-2.11B	26.59B	-201.6M	1.56	1.55	216,414	338,000	2,450,947	6,763,084
2022-09-09	$187.44	$191.00	24.9%	7.3%	25.1%	39.1%	27.8%	5.2%	0.3%	-1.64B	17.42B	-202.8M	2.12	1.32	282,984	600,037	2,515,862	6,876,286
2022-09-12	$189.25	$191.00	26.0%	7.5%	24.1%	44.7%	28.2%	4.7%	0.4%	-1.44B	14.11B	-202.8M	2.48	1.22	211,374	525,195	2,528,301	6,873,065
2022-09-13	$181.67	$191.00	29.3%	8.4%	27.5%	61.3%	29.6%	5.7%	0.6%	-2.36B	31.30B	-206.5M	4.48	1.60	219,933	985,653	2,564,954	6,998,078
2022-09-14	$183.10	$192.00	28.6%	8.1%	27.8%	57.8%	30.0%	5.9%	-0.6%	-2.37B	28.16B	-206.9M	2.60	1.79	225,958	588,367	2,641,360	7,202,511
2022-09-15	$181.96	$191.00	28.8%	8.2%	27.5%	58.9%	29.6%	5.3%	-0.7%	-2.23B	29.79B	-206.0M	2.33	1.95	209,517	488,755	2,669,329	7,210,436
2022-09-16	$178.36	$191.00	29.2%	8.4%	27.7%	60.9%	29.9%	4.7%	0.2%	-2.40B	38.45B	-202.1M	2.49	1.42	323,587	805,874	2,724,505	7,247,147
2022-09-19	$180.49	$191.00	29.4%	8.5%	27.6%	62.3%	28.7%	4.9%	0.1%	-1.64B	26.18B	-201.6M	1.77	1.27	212,906	376,225	2,091,182	5,884,781
2022-09-20	$178.56	$190.00	30.3%	8.7%	26.8%	67.0%	31.6%	4.9%	0.0%	-1.76B	29.50B	-199.9M	3.51	1.37	161,428	566,875	2,114,101	5,918,539
2022-09-21	$175.60	$190.00	31.0%	8.9%	27.0%	70.4%	31.4%	4.7%	-0.8%	-2.01B	34.24B	-198.4M	1.84	1.61	276,829	508,992	2,184,121	6,036,642
2022-09-22	$172.57	$190.00	29.7%	8.6%	27.0%	63.5%	30.1%	4.1%	-1.0%	-2.21B	39.43B	-192.0M	2.32	1.12	306,375	710,240	2,208,842	6,095,805
2022-09-23	$167.29	$190.00	31.8%	9.4%	27.5%	74.6%	33.7%	6.0%	0.4%	-2.03B	47.93B	-189.1M	4.10	1.47	409,280	1,679,620	2,316,073	6,207,677
2022-09-26	$164.74	$190.00	34.5%	10.2%	25.9%	88.2%	36.9%	7.3%	0.0%	-1.82B	47.12B	-185.7M	2.99	1.34	322,506	962,945	2,359,967	6,182,483
2022-09-27	$164.43	$190.00	35.9%	10.6%	26.0%	95.6%	38.0%	7.6%	0.0%	-1.74B	45.07B	-186.4M	2.06	-0.37	415,728	854,612	2,389,855	6,168,462
2022-09-28	$170.80	$189.00	33.6%	9.9%	30.1%	83.9%	36.5%	6.9%	-0.9%	-1.59B	33.05B	-204.2M	2.31	1.15	391,367	903,215	2,556,835	6,245,933
2022-09-29	$165.83	$186.00	34.2%	10.2%	31.5%	87.1%	37.3%	7.0%	-0.9%	-1.77B	42.42B	-198.3M	2.74	1.27	268,855	736,487	2,597,142	6,385,295
2022-09-30	$165.68	$185.00	33.9%	10.2%	31.1%	85.4%	36.3%	6.2%	0.6%	-1.85B	42.28B	-200.5M	1.53	1.29	486,537	742,730	2,700,921	6,509,739