IWM Options History — January 2024

In January 2024, IWM traded between $189.13 and $198.75. ATM implied volatility averaged 20.6%, placing in the 35.6% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 0.6% (HV 20d: 20.0%). Max pain ranged from $185.00 to $194.00. Net GEX was positive for 3 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 1.20.

Notable Days

2024-01-17: Highest Volume — 1,591,301 contracts
2024-01-03: Largest IV spike — 6.7% change
2024-01-03: Highest IV Rank — 46.2%
2024-01-30: Largest Expected Move — 6.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$194.47	$189.13	$198.75	$198.66	$193.47
Max Pain	$193.00	$185.00	$194.00	$185.00	$194.00
ATM IV	20.6%	19.5%	22.1%	20.8%	20.9%
Expected Move	6.0%	5.6%	6.5%	6.0%	6.4%
HV 20d	20.0%	16.6%	23.8%	21.6%	18.2%
HV 60d	23.0%	22.3%	24.0%	23.3%	22.6%
IV Rank	35.6%	28.1%	46.2%	36.7%	37.6%
IV Percentile	60.5%	44.0%	75.8%	60.3%	68.3%
Term Structure	-0.2%	-0.5%	0.1%	-0.2%	-0.0%
VWIV	21.4%	19.2%	23.3%	21.7%	22.8%
Skew 25d	1.5%	0.5%	2.3%	1.8%	1.7%
Skew 10d	3.9%	1.7%	5.6%	4.5%	4.6%
Call IV 25d	20.2%	19.0%	21.4%	20.4%	20.5%
Put IV 25d	21.7%	20.4%	23.7%	22.2%	22.2%
Bid-Ask Spread %	1.41	1.22	1.79	1.56	1.65
Gamma HHI	0.03	0.03	0.04	0.04	0.03
Net GEX	-465.3M	-1.28B	268.0M	268.0M	-1.12B
Net DEX	-8.40B	-20.90B	5.21B	-20.90B	9.2M
Net VEX	-268.0M	-288.0M	-255.1M	-255.1M	-288.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.20	0.68	2.79	0.92	0.82
Total Volume	1,165,891.81	810,752	1,591,301	1,028,813	1,433,971
Total OI	11,821,765.952	10,530,459	13,017,654	11,316,318	11,725,232

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
2024-01-02	$198.66	$185.00	20.8%	6.0%	21.6%	36.7%	21.7%	1.8%	-0.2%	268.0M	-20.90B	-255.1M	0.92	1.56	536,281	492,532	4,237,787	7,078,531
2024-01-03	$194.13	$185.00	22.1%	6.5%	23.4%	46.2%	23.1%	2.2%	-0.3%	-373.5M	-8.54B	-266.9M	1.07	1.73	736,495	788,331	4,297,871	7,172,193
2024-01-04	$194.34	$194.00	21.9%	6.2%	22.8%	44.6%	22.4%	1.8%	-0.2%	-331.9M	-9.88B	-267.1M	1.04	1.41	412,654	430,416	4,380,218	7,389,325
2024-01-05	$193.43	$194.00	21.2%	6.1%	22.9%	39.4%	21.5%	1.9%	-0.2%	-630.6M	-7.50B	-268.5M	1.29	1.52	410,091	530,227	4,484,168	7,519,875
2024-01-08	$196.66	$194.00	20.6%	5.9%	23.4%	35.8%	22.1%	1.8%	-0.1%	109.7M	-17.20B	-259.2M	1.33	1.28	416,667	554,961	4,396,527	7,570,826
2024-01-09	$194.82	$194.00	20.4%	5.8%	23.7%	34.0%	21.6%	1.9%	-0.0%	-286.4M	-11.71B	-263.2M	1.15	1.33	376,616	434,136	4,464,595	7,691,383
2024-01-10	$194.44	$194.00	20.4%	5.8%	23.7%	34.2%	21.3%	1.4%	-0.0%	-335.8M	-10.98B	-262.4M	0.91	1.79	510,369	465,855	4,532,479	7,795,279
2024-01-11	$193.50	$194.00	19.5%	5.6%	23.8%	28.3%	19.6%	1.4%	0.0%	-612.4M	-7.62B	-263.6M	1.08	1.40	657,085	711,441	4,636,961	7,878,655
2024-01-12	$193.09	$194.00	19.5%	5.6%	20.6%	28.1%	19.6%	1.4%	0.1%	-841.1M	-6.45B	-265.2M	1.37	1.36	577,683	793,809	4,807,530	7,983,067
2024-01-16	$190.69	$194.00	20.8%	6.0%	18.6%	36.9%	21.3%	2.1%	-0.4%	-1.16B	1.10B	-266.3M	2.11	1.36	337,407	711,308	4,632,939	7,995,280
2024-01-17	$189.13	$194.00	21.3%	6.1%	18.6%	40.7%	19.2%	2.2%	-0.5%	-1.28B	5.21B	-269.7M	2.79	1.31	420,251	1,171,050	4,681,214	8,021,613
2024-01-18	$190.39	$194.00	20.7%	6.0%	18.9%	36.5%	19.2%	2.3%	-0.5%	-913.2M	-419.1M	-269.3M	1.32	1.34	464,435	612,189	4,743,140	8,076,351
2024-01-19	$192.34	$194.00	20.0%	5.8%	17.8%	31.7%	21.2%	1.6%	-0.5%	-802.1M	-7.09B	-268.8M	0.99	1.22	655,576	649,521	4,810,281	8,207,373
2024-01-22	$196.36	$193.00	20.0%	5.9%	18.4%	31.4%	20.9%	0.9%	-0.2%	-138.2M	-11.10B	-264.1M	1.02	1.29	665,750	678,775	3,686,253	6,844,206
2024-01-23	$196.01	$193.00	19.7%	5.8%	17.9%	29.0%	20.7%	1.0%	-0.2%	-218.5M	-10.32B	-263.1M	0.76	1.28	600,808	457,556	3,751,230	6,906,331
2024-01-24	$194.63	$193.00	20.1%	6.0%	17.5%	32.0%	21.4%	1.1%	-0.3%	-609.2M	-6.00B	-273.1M	1.38	1.33	625,972	862,441	3,875,655	7,067,442
2024-01-25	$195.41	$194.00	20.4%	6.2%	16.6%	34.4%	22.2%	0.9%	-0.2%	-479.8M	-7.87B	-271.0M	1.21	1.39	529,710	643,570	3,899,235	7,185,756
2024-01-26	$195.93	$194.00	20.2%	6.1%	16.7%	33.0%	21.8%	0.7%	-0.3%	-168.3M	-9.53B	-274.3M	1.27	1.34	475,961	605,627	4,043,710	7,286,665
2024-01-29	$198.75	$194.00	21.0%	6.5%	17.7%	38.5%	23.3%	0.7%	-0.2%	180.2M	-15.96B	-272.3M	0.68	1.44	647,731	440,723	3,800,497	7,316,073
2024-01-30	$197.76	$194.00	21.1%	6.5%	17.3%	38.7%	23.2%	0.5%	-0.2%	-28.3M	-13.61B	-276.2M	0.77	1.26	540,458	417,289	3,976,005	7,407,334
2024-01-31	$193.47	$194.00	20.9%	6.4%	18.2%	37.6%	22.8%	1.7%	-0.0%	-1.12B	9.2M	-288.0M	0.82	1.65	787,311	646,660	4,189,346	7,535,886