IWM Options History — December 2023

In December 2023, IWM traded between $184.20 and $204.44. ATM implied volatility averaged 19.7%, placing in the 29.2% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded below realized volatility by 2.6% (HV 20d: 22.3%). Max pain ranged from $175.00 to $185.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 0.82.

Notable Days

  • 2023-12-14: Highest Volume — 2,752,361 contracts
  • 2023-12-14: Largest IV spike — 8.4% change
  • 2023-12-21: Highest IV Rank — 37.9%
  • 2023-12-22: Largest Expected Move — 6.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$194.32$184.20$204.44$184.75$201.56
Max Pain$180.45$175.00$185.00$175.00$185.00
ATM IV19.7%18.2%20.9%19.1%19.6%
Expected Move5.6%5.1%6.0%6.0%5.7%
HV 20d22.3%19.1%27.1%27.1%22.3%
HV 60d22.6%21.6%23.5%21.6%23.1%
IV Rank29.2%19.3%37.9%25.6%28.9%
IV Percentile43.4%20.2%62.3%32.5%46.4%
Term Structure-0.1%-0.7%0.3%-0.4%0.3%
VWIV20.2%18.5%21.7%21.2%20.8%
Skew 25d0.5%-1.3%1.4%0.6%1.3%
Skew 10d2.4%-1.9%4.4%2.8%3.9%
Call IV 25d19.8%18.5%21.4%19.5%19.3%
Put IV 25d20.3%18.5%21.9%20.1%20.6%
Bid-Ask Spread %1.641.282.181.411.55
Gamma HHI0.070.050.100.070.05
Net GEX1.77B640.6M2.68B1.89B642.4M
Net DEX-33.56B-63.49B-19.32B-24.88B-30.48B
Net VEX-241.6M-255.0M-211.7M-238.7M-248.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.820.511.150.670.79
Total Volume1,352,909.65734,9172,752,3612,269,3081,325,702
Total OI12,434,862.110,737,96114,438,75312,443,40112,019,455

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-12-01$184.75$175.0019.1%6.0%27.1%25.6%21.2%0.6%-0.4%1.89B-24.88B-238.7M0.671.411,359,442909,8664,904,7657,538,636
2023-12-04$186.64$176.0019.4%5.4%25.4%27.4%19.5%0.9%-0.0%2.03B-28.63B-240.1M0.801.91896,766719,8435,042,8267,600,561
2023-12-05$184.43$177.0019.3%5.4%25.1%26.4%19.7%1.0%0.1%1.35B-19.85B-250.9M1.151.73530,405610,7335,167,8087,755,517
2023-12-06$184.20$177.0019.5%5.5%25.1%28.3%19.5%0.9%0.0%1.26B-19.32B-250.7M1.091.69720,520784,9425,262,2737,938,657
2023-12-07$185.07$177.0020.0%5.6%24.3%31.3%19.7%0.4%-0.0%1.33B-21.17B-254.4M0.871.55397,497345,2885,267,2728,067,059
2023-12-08$187.06$178.0019.2%5.4%23.2%25.8%19.3%0.1%0.1%2.48B-29.45B-246.0M1.001.49544,835545,9175,350,3458,149,637
2023-12-11$187.03$178.0019.5%5.5%23.2%28.3%19.6%0.2%-0.3%2.06B-27.93B-244.1M0.831.68402,058332,8595,315,5908,025,495
2023-12-12$187.16$178.0018.2%5.1%23.2%19.3%18.5%0.0%-0.3%2.27B-28.61B-240.8M0.871.45405,277351,4325,349,4728,075,092
2023-12-13$193.56$179.0018.7%5.2%19.1%22.5%18.6%-0.0%-0.4%2.68B-49.29B-225.7M0.631.771,158,226726,1385,360,3738,172,362
2023-12-14$198.63$180.0020.3%5.6%20.6%33.3%20.0%-1.3%-0.7%2.51B-63.49B-211.7M0.561.821,769,061983,3005,487,2458,339,390
2023-12-15$197.11$180.0019.5%5.5%19.7%27.9%19.7%-0.7%-0.6%2.00B-55.50B-231.7M1.012.01875,166885,3995,693,2208,745,533
2023-12-18$197.30$180.0019.1%5.4%19.7%25.1%19.4%0.0%-0.0%1.29B-30.11B-238.9M0.701.76539,815379,3884,275,0476,462,914
2023-12-19$201.09$180.0019.5%5.6%20.3%28.0%20.2%-0.0%-0.0%1.86B-38.99B-233.3M0.731.631,001,415731,0734,331,6266,515,200
2023-12-20$197.25$184.0020.3%5.8%21.2%33.2%21.0%1.3%-0.1%640.6M-23.43B-255.0M0.872.18939,221821,0014,210,8216,800,267
2023-12-21$199.34$185.0020.9%6.0%21.3%37.9%21.7%0.6%-0.1%1.10B-28.38B-253.3M0.971.38431,494418,4114,255,3676,961,464
2023-12-22$201.53$185.0020.9%6.0%21.3%37.8%21.6%0.9%-0.2%1.66B-33.79B-252.4M0.871.62631,959548,4714,345,5577,119,579
2023-12-26$204.44$185.0020.6%6.0%21.4%35.4%21.3%1.4%0.1%2.13B-41.02B-233.5M0.721.42606,138438,9764,320,5757,105,813
2023-12-27$204.26$185.0019.9%5.8%21.2%31.1%20.9%1.2%0.2%2.08B-39.04B-242.9M0.511.47776,018397,4884,373,0227,173,431
2023-12-28$203.99$185.0019.8%5.7%21.3%30.3%21.0%1.1%0.2%2.15B-37.91B-239.0M0.691.28483,684332,9694,547,5567,270,420
2023-12-29$201.56$185.0019.6%5.7%22.3%28.9%20.8%1.3%0.3%642.4M-30.48B-248.2M0.791.55740,787584,9154,570,6917,448,764