IWM Options History — September 2023

In September 2023, IWM traded between $174.72 and $190.66. ATM implied volatility averaged 17.6%, placing in the 10.9% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded above realized volatility by 3.5% (HV 20d: 14.1%). Max pain ranged from $183.00 to $189.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 2.03.

Notable Days

  • 2023-09-27: Highest Volume — 1,491,639 contracts
  • 2023-09-05: Largest IV spike — 9.5% change
  • 2023-09-26: Highest IV Rank — 26.5%
  • 2023-09-26: Largest Expected Move — 6.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$181.71$174.72$190.66$190.66$176.50
Max Pain$186.20$183.00$189.00$186.00$183.00
ATM IV17.6%15.4%20.8%15.4%19.7%
Expected Move5.1%3.9%6.0%3.9%5.7%
HV 20d14.1%13.2%14.6%13.2%13.8%
HV 60d15.2%14.7%15.6%15.2%14.7%
IV Rank10.9%0.0%26.5%0.0%21.1%
IV Percentile12.2%0.0%42.9%0.0%33.3%
Term Structure0.1%-0.0%0.2%0.1%0.1%
VWIV18.4%14.4%21.5%14.4%19.2%
Skew 25d3.3%2.2%4.4%2.6%3.7%
Skew 10d7.0%5.0%8.7%5.1%7.5%
Call IV 25d16.3%14.5%18.7%14.5%17.7%
Put IV 25d19.6%16.9%23.1%17.2%21.4%
Bid-Ask Spread %1.261.041.581.071.06
Gamma HHI0.060.040.070.040.06
Net GEX-2.63B-3.75B-832.2M-832.2M-2.59B
Net DEX21.08B-3.54B36.21B-3.54B26.37B
Net VEX-218.0M-226.1M-207.4M-211.8M-222.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.031.233.532.472.03
Total Volume820,584.25415,8881,491,639744,054891,953
Total OI10,357,599.658,853,70511,522,64211,055,7919,987,538

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-09-01$190.66$186.0015.4%3.9%13.2%0.0%14.4%2.6%0.1%-832.2M-3.54B-211.8M2.471.07214,328529,7263,508,3247,547,467
2023-09-05$187.16$189.0016.9%4.9%14.5%7.1%18.7%3.2%0.1%-2.61B10.07B-220.9M1.441.35366,246527,1713,424,9347,524,720
2023-09-06$186.16$189.0017.2%5.0%14.6%8.9%19.5%3.4%0.1%-2.48B13.04B-220.2M1.621.41303,542490,3243,492,7227,549,745
2023-09-07$184.51$189.0017.5%5.0%14.6%10.2%19.9%3.7%0.1%-2.89B18.81B-226.1M2.181.46251,107548,5313,555,1037,567,660
2023-09-08$183.94$189.0017.1%4.9%14.5%8.4%18.6%3.3%0.1%-3.10B19.96B-223.8M1.421.35277,820394,5803,643,1987,662,618
2023-09-11$184.44$188.0016.8%4.8%14.5%6.5%18.6%3.1%0.1%-2.77B16.61B-213.6M2.111.58192,311405,6983,612,8347,588,649
2023-09-12$184.19$188.0016.8%4.8%14.5%6.6%17.0%3.0%0.1%-2.90B18.08B-216.1M1.481.31167,792248,0963,624,7987,684,488
2023-09-13$182.93$188.0016.1%4.6%14.0%3.5%17.0%3.0%0.1%-3.75B23.14B-213.8M1.701.35283,786482,8923,690,1707,783,166
2023-09-14$185.43$187.0015.5%4.5%14.6%0.4%15.9%2.2%0.1%-2.42B10.00B-207.4M1.561.28335,844523,7733,719,3517,678,682
2023-09-15$183.28$186.0016.2%4.7%14.3%4.0%16.8%2.4%0.1%-2.86B19.89B-213.4M1.871.34305,265569,8113,770,0817,752,561
2023-09-18$182.56$185.0016.4%4.7%14.0%4.9%16.9%2.8%0.2%-2.30B19.12B-215.1M2.261.24133,389300,9812,811,8166,041,889
2023-09-19$182.00$185.0016.7%4.8%14.0%6.4%18.0%2.9%0.0%-2.45B20.80B-215.6M1.741.31228,986397,3152,839,7346,160,867
2023-09-20$180.19$185.0017.3%5.0%14.4%9.4%17.7%2.8%0.0%-2.71B25.03B-215.1M1.231.53226,853280,0192,955,1826,222,058
2023-09-21$177.59$185.0018.9%5.4%14.4%17.3%19.3%3.4%0.1%-2.78B31.84B-217.9M2.891.14316,530914,6813,004,5576,311,388
2023-09-22$177.05$185.0018.7%5.4%13.9%16.2%18.9%4.0%-0.0%-2.91B32.60B-219.2M1.571.05279,866440,7233,136,0866,450,718
2023-09-25$177.34$185.0019.1%5.5%13.8%18.2%20.5%4.1%0.2%-2.74B31.41B-217.5M2.401.09215,450516,7723,002,1876,504,158
2023-09-26$174.72$185.0020.8%6.0%14.1%26.5%21.5%4.4%-0.0%-2.91B36.21B-223.0M2.711.04373,6021,011,0333,029,8556,661,875
2023-09-27$175.95$184.0020.1%5.9%13.3%23.0%20.1%4.3%-0.0%-2.38B28.94B-223.7M3.531.11329,6271,162,0123,207,1476,607,541
2023-09-28$177.68$183.0019.2%5.5%13.8%18.5%20.0%3.9%0.1%-2.27B23.28B-223.2M2.371.14288,544684,7063,214,2366,621,890
2023-09-29$176.50$183.0019.7%5.7%13.8%21.1%19.2%3.7%0.1%-2.59B26.37B-222.1M2.031.06294,137597,8163,288,9216,698,617