IWM Options History — October 2022

In October 2022, IWM traded between $167.14 and $183.89. ATM implied volatility averaged 32.6%, placing in the 78.6% IV rank vs the trailing year. The 30-day expected move averaged 9.6%. IV traded above realized volatility by 0.3% (HV 20d: 32.3%). Max pain ranged from $175.00 to $185.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 1.77.

Notable Days

2022-10-04: Highest Volume — 1,295,177 contracts
2022-10-04: Largest IV drop — 4.4% change
2022-10-12: Highest IV Rank — 93.8%
2022-10-11: Largest Expected Move — 10.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$173.35	$167.14	$183.89	$169.57	$183.89
Max Pain	$178.29	$175.00	$185.00	$185.00	$178.00
ATM IV	32.6%	28.9%	35.5%	33.3%	29.1%
Expected Move	9.6%	9.0%	10.0%	10.0%	9.2%
HV 20d	32.3%	28.5%	34.8%	32.5%	28.5%
HV 60d	28.3%	27.2%	29.3%	27.4%	29.3%
IV Rank	78.6%	57.7%	93.8%	82.0%	59.1%
IV Percentile	81.8%	53.6%	96.0%	89.7%	55.6%
Term Structure	-0.3%	-1.0%	0.6%	0.1%	0.2%
VWIV	34.9%	31.8%	37.3%	36.2%	33.8%
Skew 25d	5.3%	2.8%	6.9%	6.9%	2.8%
Skew 10d	10.4%	5.6%	13.6%	13.2%	5.8%
Call IV 25d	30.0%	27.2%	32.3%	30.1%	27.8%
Put IV 25d	35.3%	30.0%	38.8%	37.0%	30.6%
Bid-Ask Spread %	1.45	1.11	1.81	1.15	1.12
Gamma HHI	0.05	0.04	0.07	0.06	0.04
Net GEX	-1.04B	-1.61B	-74.0M	-1.21B	-313.8M
Net DEX	21.69B	2.17B	33.98B	30.40B	2.86B
Net VEX	-210.8M	-217.5M	-204.8M	-204.8M	-211.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.77	1.22	2.60	1.56	1.59
Total Volume	925,741.333	623,286	1,295,177	881,028	927,742
Total OI	8,956,704.476	8,191,588	9,549,527	8,469,491	8,878,513

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
2022-10-03	$169.57	$185.00	33.3%	10.0%	32.5%	82.0%	36.2%	6.9%	0.1%	-1.21B	30.40B	-204.8M	1.56	1.15	343,950	537,078	2,463,597	6,005,894
2022-10-04	$175.08	$185.00	31.8%	9.4%	34.8%	74.6%	34.6%	5.9%	0.1%	-962.5M	21.46B	-212.2M	2.60	1.15	359,355	935,822	2,527,168	6,031,667
2022-10-05	$175.16	$183.00	32.0%	9.4%	33.8%	75.4%	34.6%	6.1%	-0.8%	-1.12B	21.55B	-216.4M	1.61	1.29	294,438	474,654	2,624,536	6,311,617
2022-10-06	$173.79	$180.00	32.7%	9.3%	33.7%	79.2%	33.1%	6.2%	-0.9%	-1.10B	23.65B	-217.5M	1.70	1.64	271,238	460,724	2,691,005	6,314,741
2022-10-07	$168.43	$180.00	33.3%	9.6%	33.9%	82.5%	34.9%	6.5%	0.6%	-1.52B	33.98B	-208.7M	2.09	1.81	354,767	742,211	2,742,457	6,399,034
2022-10-10	$168.11	$180.00	34.1%	9.8%	33.5%	86.5%	36.9%	6.8%	0.4%	-1.50B	33.59B	-206.8M	2.51	1.54	231,271	580,286	2,675,157	6,294,961
2022-10-11	$167.38	$180.00	35.3%	10.0%	30.8%	92.3%	36.5%	6.5%	0.2%	-1.48B	33.45B	-207.5M	1.48	1.81	306,560	452,522	2,698,094	6,297,569
2022-10-12	$167.94	$180.00	35.5%	10.0%	30.6%	93.8%	36.4%	6.5%	-1.0%	-1.40B	32.44B	-210.7M	1.74	1.60	300,788	524,023	2,780,501	6,388,687
2022-10-13	$171.26	$177.00	34.7%	9.9%	31.7%	89.6%	37.3%	6.5%	-0.9%	-1.21B	25.48B	-216.1M	1.70	1.72	468,561	797,198	2,842,400	6,403,024
2022-10-14	$167.14	$177.00	34.2%	9.8%	32.1%	86.9%	35.2%	5.5%	-0.1%	-1.61B	33.27B	-208.8M	2.15	1.57	286,268	614,074	2,941,925	6,529,203
2022-10-17	$172.10	$177.00	33.5%	9.7%	33.7%	83.3%	35.5%	5.7%	0.2%	-1.16B	22.79B	-211.0M	1.67	1.44	263,584	441,227	2,836,513	6,302,890
2022-10-18	$173.90	$176.00	32.9%	9.5%	33.9%	80.2%	34.3%	5.2%	0.2%	-1.06B	19.64B	-211.9M	1.72	1.72	369,077	634,383	2,863,262	6,373,865
2022-10-19	$170.49	$176.00	33.5%	9.6%	34.1%	83.0%	35.0%	5.2%	-0.9%	-1.51B	26.82B	-210.0M	1.80	1.42	267,056	479,838	2,963,760	6,518,304
2022-10-20	$168.70	$176.00	32.8%	9.5%	33.7%	79.7%	34.1%	5.1%	-0.9%	-1.60B	29.48B	-205.0M	1.35	1.63	323,421	438,020	2,956,220	6,438,540
2022-10-21	$172.99	$175.00	32.4%	9.5%	33.0%	77.8%	34.6%	5.3%	0.4%	-1.15B	20.00B	-210.6M	1.50	1.36	447,668	672,304	3,037,654	6,511,873
2022-10-24	$173.57	$175.00	33.1%	9.8%	32.4%	80.9%	35.1%	4.5%	-0.6%	-720.0M	16.66B	-209.3M	1.22	1.24	280,143	343,143	2,592,288	5,599,300
2022-10-25	$178.40	$175.00	31.8%	9.5%	33.5%	74.1%	35.2%	4.3%	-0.7%	-471.7M	9.47B	-210.6M	1.50	1.35	402,148	601,364	2,591,259	5,635,067
2022-10-26	$179.70	$175.00	30.6%	9.3%	31.1%	67.2%	33.8%	3.8%	-0.7%	-238.2M	7.55B	-213.3M	1.74	1.62	428,299	746,392	2,703,805	5,795,473
2022-10-27	$179.43	$176.00	30.1%	9.3%	28.7%	64.5%	33.5%	3.6%	-0.8%	-447.8M	8.79B	-213.2M	2.30	1.18	291,097	668,261	2,737,510	5,858,565
2022-10-28	$183.22	$178.00	28.9%	9.0%	29.3%	57.7%	31.8%	2.8%	-0.1%	-74.0M	2.17B	-212.1M	1.56	1.11	421,080	658,533	2,802,152	6,130,744
2022-10-31	$183.89	$178.00	29.1%	9.2%	28.5%	59.1%	33.8%	2.8%	0.2%	-313.8M	2.86B	-211.2M	1.59	1.12	358,551	569,191	2,755,632	6,122,881