IWM Options History — November 2023

In November 2023, IWM traded between $165.32 and $179.37. ATM implied volatility averaged 18.9%, placing in the 24.0% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded below realized volatility by 6.7% (HV 20d: 25.6%). Max pain ranged from $171.00 to $175.00. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 1.06.

Notable Days

2023-11-14: Highest Volume — 2,503,282 contracts
2023-11-10: Largest IV drop — 5.8% change
2023-11-01: Highest IV Rank — 32.6%
2023-11-01: Largest Expected Move — 6.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$174.77	$165.32	$179.37	$165.32	$179.37
Max Pain	$174.81	$171.00	$175.00	$171.00	$175.00
ATM IV	18.9%	17.9%	20.2%	20.2%	18.7%
Expected Move	5.5%	5.2%	6.1%	6.1%	5.8%
HV 20d	25.6%	19.0%	29.3%	19.0%	26.7%
HV 60d	19.7%	15.7%	21.3%	15.7%	20.8%
IV Rank	24.0%	17.1%	32.6%	32.6%	22.7%
IV Percentile	26.7%	15.1%	39.7%	39.7%	25.4%
Term Structure	-0.0%	-0.6%	0.4%	0.0%	-0.3%
VWIV	19.5%	16.8%	20.9%	20.6%	20.6%
Skew 25d	1.9%	0.1%	3.2%	3.2%	1.5%
Skew 10d	4.6%	1.5%	6.6%	6.4%	4.4%
Call IV 25d	18.3%	17.3%	20.1%	18.6%	18.4%
Put IV 25d	20.2%	19.1%	21.9%	21.9%	19.9%
Bid-Ask Spread %	1.43	1.20	1.91	1.41	1.39
Gamma HHI	0.04	0.03	0.05	0.05	0.04
Net GEX	-276.8M	-2.51B	1.16B	-2.00B	532.6M
Net DEX	3.25B	-15.71B	29.74B	29.74B	-5.74B
Net VEX	-240.7M	-255.4M	-225.8M	-225.8M	-246.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.06	0.66	1.90	1.90	0.84
Total Volume	1,332,227	462,959	2,503,282	1,902,431	913,145
Total OI	12,182,893.571	11,100,212	13,808,633	11,100,212	12,260,345

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
2023-11-01	$165.32	$171.00	20.2%	6.1%	19.0%	32.6%	20.6%	3.2%	0.0%	-2.00B	29.74B	-225.8M	1.90	1.41	655,095	1,247,336	3,977,943	7,122,269
2023-11-02	$169.66	$175.00	19.0%	5.6%	21.3%	24.6%	20.0%	2.8%	0.1%	-1.02B	14.65B	-232.3M	1.21	1.21	783,142	947,637	4,109,969	7,142,457
2023-11-03	$174.84	$175.00	19.5%	5.6%	23.8%	28.0%	20.8%	2.0%	-0.0%	97.5M	-2.10B	-238.2M	0.72	1.57	1,209,523	868,743	4,320,999	7,216,579
2023-11-06	$172.09	$175.00	19.3%	5.6%	24.5%	26.6%	20.9%	2.2%	0.3%	-992.9M	10.26B	-236.0M	1.32	1.21	580,049	764,519	4,340,628	7,204,063
2023-11-07	$172.19	$175.00	18.6%	5.4%	23.9%	21.7%	18.5%	2.4%	0.3%	-939.7M	10.37B	-235.7M	0.96	1.37	574,459	551,704	4,498,740	7,335,971
2023-11-08	$169.80	$175.00	18.6%	5.4%	24.3%	21.7%	19.4%	2.2%	0.3%	-1.78B	18.84B	-235.6M	1.43	1.26	727,697	1,037,647	4,661,458	7,453,282
2023-11-09	$167.18	$175.00	19.4%	5.6%	23.7%	27.6%	19.9%	3.1%	0.3%	-2.51B	29.08B	-234.7M	1.29	1.20	696,889	895,968	4,790,836	7,531,989
2023-11-10	$169.13	$175.00	18.3%	5.3%	24.0%	19.9%	19.0%	2.3%	0.4%	-2.18B	20.96B	-237.2M	1.34	1.22	548,457	733,128	4,934,617	7,688,817
2023-11-13	$169.43	$175.00	18.9%	5.4%	23.1%	23.7%	16.8%	2.6%	0.3%	-1.78B	19.09B	-234.9M	1.48	1.33	479,642	708,933	4,739,090	7,560,493
2023-11-14	$178.25	$175.00	19.6%	5.6%	29.3%	29.0%	20.3%	0.1%	0.2%	1.03B	-14.61B	-238.5M	0.86	1.91	1,348,987	1,154,295	4,864,796	7,602,061
2023-11-15	$178.88	$175.00	19.4%	5.6%	27.9%	27.4%	20.1%	0.7%	0.2%	1.16B	-15.71B	-246.1M	0.84	1.69	1,283,480	1,074,686	5,073,413	8,041,172
2023-11-16	$176.11	$175.00	18.9%	5.4%	27.9%	23.7%	19.3%	1.6%	0.2%	-151.0M	-1.96B	-255.4M	1.08	1.38	820,819	887,474	5,257,572	8,257,078
2023-11-17	$178.13	$175.00	19.2%	5.5%	27.8%	25.8%	20.1%	1.1%	0.3%	654.7M	-11.39B	-255.0M	0.93	1.47	509,878	472,385	5,428,678	8,379,955
2023-11-20	$179.31	$175.00	19.4%	5.5%	27.5%	27.6%	19.6%	1.4%	-0.6%	586.0M	-7.91B	-248.8M	0.66	1.64	473,765	311,334	4,723,843	7,234,333
2023-11-21	$177.03	$175.00	18.9%	5.4%	28.1%	23.9%	18.8%	1.7%	-0.6%	-76.3M	19.2M	-249.4M	1.04	1.70	407,340	421,892	4,772,378	7,226,696
2023-11-22	$178.18	$175.00	18.5%	5.2%	27.2%	20.9%	18.5%	2.0%	-0.6%	812.9M	-4.37B	-246.6M	1.02	1.48	388,950	395,435	4,831,839	7,274,486
2023-11-24	$179.13	$175.00	18.2%	5.2%	27.2%	19.2%	18.6%	1.8%	-0.6%	1.12B	-6.95B	-245.5M	0.93	1.51	239,509	223,450	4,786,017	7,243,691
2023-11-27	$179.00	$175.00	18.0%	5.3%	26.5%	17.9%	18.9%	1.8%	-0.2%	607.8M	-5.50B	-233.7M	0.87	1.31	364,740	316,832	4,702,934	7,167,415
2023-11-28	$178.13	$175.00	17.9%	5.4%	26.7%	17.1%	18.6%	1.6%	-0.2%	282.9M	-2.55B	-237.5M	0.69	1.47	465,030	321,078	4,740,477	7,212,216
2023-11-29	$178.91	$175.00	18.7%	5.8%	26.7%	22.6%	20.2%	1.5%	-0.4%	728.6M	-5.94B	-242.4M	0.97	1.23	595,511	576,184	4,839,560	7,289,610
2023-11-30	$179.37	$175.00	18.7%	5.8%	26.7%	22.7%	20.6%	1.5%	-0.3%	532.6M	-5.74B	-246.0M	0.84	1.39	495,402	417,743	4,853,784	7,406,561