IWM Options History — March 2024

In March 2024, IWM traded between $200.70 and $210.20. ATM implied volatility averaged 19.9%, placing in the 32.7% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded below realized volatility by 0.4% (HV 20d: 20.3%). Max pain ranged from $192.00 to $200.00. Net GEX was positive for 15 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 1.35.

Notable Days

  • 2024-03-14: Highest Volume — 1,682,000 contracts
  • 2024-03-12: Largest IV drop — 11.9% change
  • 2024-03-05: Highest IV Rank — 47.1%
  • 2024-03-01: Largest Expected Move — 6.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$205.32$200.70$210.20$205.72$210.20
Max Pain$199.55$192.00$200.00$192.00$200.00
ATM IV19.9%17.6%22.3%22.0%17.9%
Expected Move5.7%5.0%6.4%6.4%5.1%
HV 20d20.3%14.4%26.7%26.7%16.5%
HV 60d21.4%20.6%22.4%22.3%20.8%
IV Rank32.7%21.6%47.1%45.0%25.9%
IV Percentile48.8%10.7%82.5%80.2%15.5%
Term Structure-0.0%-0.5%0.7%-0.5%0.7%
VWIV20.5%18.3%23.0%23.0%18.3%
Skew 25d1.0%0.2%1.6%0.8%0.9%
Skew 10d3.6%2.0%4.9%3.1%3.6%
Call IV 25d19.8%17.6%22.3%22.3%17.7%
Put IV 25d20.8%18.5%23.2%23.0%18.6%
Bid-Ask Spread %1.631.302.291.321.52
Gamma HHI0.040.030.080.040.08
Net GEX462.9M-981.2M1.58B1.51B1.58B
Net DEX-19.86B-30.12B-3.00B-29.48B-26.52B
Net VEX-275.1M-288.2M-266.1M-277.8M-282.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.350.851.971.091.14
Total Volume1,062,013.45621,3601,682,0001,111,5641,547,748
Total OI12,005,109.610,250,96913,563,13912,562,82911,709,726

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2024-03-01$205.72$192.0022.0%6.4%26.7%45.0%23.0%0.8%-0.5%1.51B-29.48B-277.8M1.091.32532,923578,6414,552,4178,010,412
2024-03-04$205.76$200.0021.8%6.1%26.6%43.9%21.8%0.8%-0.1%1.11B-28.72B-266.9M0.851.37443,655376,6414,456,9577,929,760
2024-03-05$203.39$200.0022.3%6.2%26.6%47.1%22.6%1.1%-0.1%291.3M-19.51B-284.1M1.721.30301,509517,7694,455,5828,004,868
2024-03-06$205.16$200.0022.1%6.2%26.7%46.1%22.5%1.1%-0.1%848.8M-25.42B-271.2M1.111.44432,597478,4384,506,8808,103,741
2024-03-07$206.81$200.0021.7%6.1%26.7%43.0%22.4%0.9%-0.1%1.06B-30.12B-266.1M1.431.43387,223555,2374,495,8138,159,665
2024-03-08$206.82$200.0021.6%6.1%26.5%42.1%22.2%0.9%-0.1%1.23B-29.98B-266.1M1.081.70606,337653,0274,570,9768,276,574
2024-03-11$205.14$200.0022.0%6.2%26.2%45.0%22.5%1.1%-0.4%388.2M-23.66B-271.5M1.571.45337,632529,9844,516,0118,310,074
2024-03-12$204.91$200.0019.4%5.5%25.2%27.1%20.1%0.7%-0.2%503.6M-23.45B-268.3M1.501.52481,889722,0834,551,3708,307,395
2024-03-13$205.44$200.0018.6%5.3%18.2%21.9%18.9%0.6%-0.2%710.2M-25.08B-270.8M1.301.68353,832460,9734,652,8398,421,852
2024-03-14$200.70$200.0020.3%5.7%18.2%33.6%20.8%1.6%-0.4%-724.1M-9.39B-272.3M1.901.89579,0951,102,9054,674,2598,482,773
2024-03-15$202.41$199.0020.0%5.7%16.2%31.5%20.1%1.2%-0.3%-652.9M-15.50B-279.9M1.591.73370,385588,1434,810,0048,753,135
2024-03-18$201.57$200.0019.9%5.7%15.8%30.4%20.4%1.4%-0.2%-981.2M-3.00B-276.1M1.291.65341,584439,5073,572,9116,678,058
2024-03-19$202.25$200.0019.9%5.7%14.4%30.7%20.6%1.0%-0.2%-700.2M-5.40B-275.5M1.931.59271,918525,6823,641,6386,704,455
2024-03-20$206.28$200.0019.4%5.5%15.6%30.0%19.7%0.5%-0.2%338.8M-16.28B-272.1M0.952.29781,628745,2363,749,2276,944,127
2024-03-21$208.26$200.0018.1%5.2%15.4%21.6%19.0%0.2%-0.0%1.20B-23.31B-266.5M1.161.82642,985743,6453,827,4767,070,563
2024-03-22$205.38$200.0018.3%5.2%16.4%22.7%19.0%1.1%-0.0%-60.4M-13.20B-285.7M1.021.74576,691590,9513,982,9217,321,800
2024-03-25$206.00$200.0018.3%5.2%16.3%22.5%19.8%1.2%0.5%455.2M-14.79B-280.4M1.971.81239,240472,2663,946,1937,207,981
2024-03-26$205.41$200.0017.9%5.1%15.8%21.8%18.4%1.3%0.5%30.8M-12.09B-288.2M1.071.80299,962321,3983,956,5547,320,514
2024-03-27$208.88$200.0017.6%5.0%16.5%22.2%18.3%0.9%0.7%1.11B-22.40B-280.8M1.421.66540,813768,0974,046,3967,418,295
2024-03-28$210.20$200.0017.9%5.1%16.5%25.9%18.3%0.9%0.7%1.58B-26.52B-282.1M1.141.52722,471825,2774,168,8297,540,897