IWM Options History — November 2022

In November 2022, IWM traded between $174.66 and $187.72. ATM implied volatility averaged 26.9%, placing in the 43.5% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded below realized volatility by 3.3% (HV 20d: 30.1%). Max pain ranged from $178.00 to $185.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 1.76.

Notable Days

2022-11-02: Highest Volume — 1,316,574 contracts
2022-11-14: Largest IV spike — 9.7% change
2022-11-02: Highest IV Rank — 59.3%
2022-11-01: Largest Expected Move — 9.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$182.68	$174.66	$187.72	$183.58	$186.25
Max Pain	$183.71	$178.00	$185.00	$178.00	$185.00
ATM IV	26.9%	23.8%	29.6%	29.4%	23.8%
Expected Move	8.1%	7.0%	9.3%	9.3%	7.6%
HV 20d	30.1%	26.0%	34.5%	26.5%	31.5%
HV 60d	30.1%	28.4%	31.4%	29.2%	30.7%
IV Rank	43.5%	25.8%	59.3%	57.8%	26.1%
IV Percentile	36.8%	14.3%	61.1%	57.9%	14.3%
Term Structure	-0.1%	-0.7%	2.4%	0.2%	-0.1%
VWIV	29.2%	25.0%	33.6%	33.6%	27.8%
Skew 25d	3.9%	2.6%	4.9%	2.6%	3.9%
Skew 10d	7.5%	4.9%	9.2%	4.9%	7.2%
Call IV 25d	25.0%	21.6%	28.0%	28.0%	21.9%
Put IV 25d	28.9%	25.8%	31.1%	30.6%	25.8%
Bid-Ask Spread %	1.09	0.78	1.92	1.15	1.32
Gamma HHI	0.05	0.04	0.07	0.04	0.05
Net GEX	-790.3M	-1.63B	-99.9M	-486.9M	-499.2M
Net DEX	8.95B	-2.18B	22.53B	4.16B	4.77B
Net VEX	-204.6M	-210.9M	-193.0M	-210.5M	-193.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.76	1.26	2.40	2.34	1.91
Total Volume	795,526.286	192,939	1,316,574	966,613	806,163
Total OI	9,226,444.286	8,535,772	10,045,564	8,869,778	8,861,424

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
2022-11-01	$183.58	$178.00	29.4%	9.3%	26.5%	57.8%	33.6%	2.6%	0.2%	-486.9M	4.16B	-210.5M	2.34	1.15	289,608	677,005	2,747,803	6,121,975
2022-11-02	$178.39	$178.00	29.6%	9.3%	28.7%	59.3%	32.9%	3.1%	-0.7%	-1.63B	15.80B	-210.9M	2.40	1.27	387,692	928,882	2,817,115	6,315,781
2022-11-03	$177.06	$185.00	29.2%	8.7%	28.7%	56.7%	30.8%	3.0%	-0.7%	-1.22B	17.19B	-210.4M	1.59	0.78	501,500	797,457	2,803,269	6,293,629
2022-11-04	$178.35	$183.00	27.9%	8.5%	26.1%	49.5%	30.9%	2.8%	0.3%	-1.01B	14.19B	-209.9M	2.10	0.82	315,425	663,413	2,919,174	6,461,968
2022-11-07	$179.72	$183.00	28.0%	8.5%	26.1%	50.0%	30.4%	2.7%	0.3%	-773.8M	11.49B	-206.8M	1.64	0.80	245,643	401,729	2,813,178	6,399,209
2022-11-08	$180.01	$184.00	28.6%	8.6%	26.0%	53.7%	31.8%	3.1%	0.2%	-820.8M	11.28B	-208.0M	1.80	0.81	278,994	503,174	2,817,410	6,377,935
2022-11-09	$174.66	$183.00	29.2%	8.8%	28.6%	56.6%	31.1%	3.5%	-0.7%	-1.50B	22.53B	-205.9M	1.95	0.95	285,392	556,946	2,864,399	6,472,236
2022-11-10	$185.19	$182.00	26.7%	8.2%	34.5%	42.6%	30.3%	2.9%	-0.6%	-245.1M	941.6M	-204.7M	2.40	0.81	348,279	834,204	2,896,102	6,532,911
2022-11-11	$187.31	$183.00	25.0%	7.9%	32.9%	32.7%	28.8%	3.6%	2.4%	-99.9M	-2.18B	-206.5M	1.55	1.00	388,613	602,959	2,962,631	6,801,424
2022-11-14	$185.91	$184.00	27.4%	7.9%	32.0%	46.6%	29.1%	4.1%	0.1%	-509.7M	1.92B	-204.2M	1.93	1.01	244,226	470,930	2,936,201	6,718,730
2022-11-15	$187.72	$185.00	27.3%	7.8%	32.0%	45.9%	28.9%	4.7%	0.0%	-294.6M	-130.1M	-207.1M	1.66	0.96	288,076	477,410	2,914,542	6,808,985
2022-11-16	$184.01	$185.00	27.6%	7.9%	32.0%	47.4%	29.0%	4.8%	-0.4%	-966.6M	7.79B	-206.3M	1.54	0.90	351,461	540,429	2,951,121	6,909,494
2022-11-17	$181.93	$185.00	27.8%	8.0%	32.1%	48.5%	29.2%	4.6%	-0.4%	-1.02B	11.95B	-209.0M	1.65	1.02	307,081	506,511	2,991,743	6,922,195
2022-11-18	$183.71	$185.00	26.8%	7.7%	31.2%	43.2%	27.6%	4.6%	-0.3%	-786.6M	7.62B	-206.8M	1.29	1.14	362,559	467,790	3,059,200	6,986,364
2022-11-21	$182.38	$185.00	26.7%	7.8%	31.4%	42.5%	28.1%	4.6%	-0.4%	-919.1M	12.09B	-203.5M	1.35	1.15	214,593	290,553	2,715,048	5,820,724
2022-11-22	$184.85	$185.00	25.1%	7.4%	30.3%	33.4%	27.1%	4.6%	-0.4%	-615.9M	7.37B	-200.9M	1.66	1.23	199,600	330,506	2,753,021	5,828,508
2022-11-23	$184.98	$185.00	23.8%	7.0%	30.2%	25.8%	25.2%	4.7%	-0.3%	-644.4M	7.28B	-199.5M	1.68	1.92	295,264	497,106	2,803,800	5,992,271
2022-11-25	$186.08	$185.00	23.8%	7.0%	30.2%	26.0%	25.0%	4.9%	-0.4%	-407.7M	5.04B	-198.3M	1.31	1.44	83,572	109,367	2,858,212	6,012,679
2022-11-28	$181.72	$185.00	25.4%	7.8%	30.6%	35.0%	27.9%	4.8%	-0.0%	-1.14B	14.28B	-196.9M	1.97	1.27	168,156	332,088	2,793,110	5,957,371
2022-11-29	$182.41	$185.00	25.2%	8.0%	30.6%	33.8%	27.6%	4.3%	-0.2%	-1.00B	12.66B	-196.7M	1.26	1.22	157,718	197,978	2,753,280	5,989,158
2022-11-30	$186.25	$185.00	23.8%	7.6%	31.5%	26.1%	27.8%	3.9%	-0.1%	-499.2M	4.77B	-193.0M	1.91	1.32	276,989	529,174	2,801,548	6,059,876