IWM Options History — September 2024

In September 2024, IWM traded between $207.94 and $223.75. ATM implied volatility averaged 22.6%, placing in the 31.1% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 2.2% (HV 20d: 20.3%). Max pain ranged from $211.00 to $215.00. Net GEX was positive for 8 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 1.15.

Notable Days

  • 2024-09-17: Highest Volume — 2,051,316 contracts
  • 2024-09-19: Largest IV drop — 9.1% change
  • 2024-09-06: Highest IV Rank — 45.9%
  • 2024-09-03: Largest Expected Move — 7.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$216.09$207.94$223.75$213.31$220.42
Max Pain$213.65$211.00$215.00$211.00$215.00
ATM IV22.6%19.4%25.5%24.5%21.3%
Expected Move6.5%5.6%7.5%7.5%6.3%
HV 20d20.3%18.2%22.7%22.7%18.8%
HV 60d24.8%24.3%25.2%24.7%25.2%
IV Rank31.1%14.5%45.9%41.6%24.0%
IV Percentile74.9%31.7%97.2%95.2%66.3%
Term Structure0.0%-0.6%3.3%-0.3%3.3%
VWIV23.5%20.5%26.8%26.8%22.4%
Skew 25d2.8%1.6%4.6%3.9%2.9%
Skew 10d6.1%3.7%10.3%10.1%5.4%
Call IV 25d21.5%18.7%23.7%22.9%20.3%
Put IV 25d24.4%20.9%28.3%26.8%23.1%
Bid-Ask Spread %1.991.562.861.871.92
Gamma HHI0.030.030.050.030.03
Net GEX-691.3M-2.95B2.00B-1.60B-72.3M
Net DEX-4.42B-34.42B21.24B4.52B-10.13B
Net VEX-325.2M-350.8M-301.3M-337.3M-315.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.150.742.181.471.18
Total Volume1,229,859.4752,5012,051,3161,390,242845,492
Total OI13,468,944.1511,531,14414,984,07413,455,58411,967,595

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2024-09-03$213.31$211.0024.5%7.5%22.7%41.6%26.8%3.9%-0.3%-1.60B4.52B-337.3M1.471.87562,597827,6454,626,0878,829,497
2024-09-04$213.07$211.0024.3%7.4%22.0%40.6%25.8%4.2%-0.2%-1.60B5.38B-344.4M1.261.76396,268500,7544,669,7838,961,606
2024-09-05$211.53$214.0024.9%6.9%21.5%43.5%25.1%4.4%-0.4%-1.96B11.12B-350.8M1.091.63565,720619,1794,703,3759,031,443
2024-09-06$208.20$214.0025.5%7.1%21.4%45.9%26.2%4.6%-0.3%-2.95B21.24B-350.8M2.181.56519,2441,132,5564,790,3039,122,409
2024-09-09$208.53$214.0024.4%6.8%21.4%41.1%24.3%3.8%-0.5%-2.47B18.18B-337.8M1.351.85378,667509,9894,701,7659,072,238
2024-09-10$207.94$214.0024.8%6.9%21.1%42.8%24.4%3.8%-0.6%-2.54B19.02B-338.3M0.782.04546,961427,7944,757,8929,095,758
2024-09-11$208.75$213.0023.1%6.5%20.4%35.0%24.3%3.3%-0.5%-2.22B15.44B-333.8M1.411.76550,083773,7434,901,9629,156,316
2024-09-12$211.53$213.0022.5%6.3%20.8%32.2%22.8%2.6%-0.4%-1.34B4.08B-324.9M0.741.74723,341535,3704,949,2719,211,543
2024-09-13$216.47$213.0023.4%6.6%20.6%36.3%24.5%2.0%-0.5%396.2M-13.31B-332.3M0.841.821,036,404872,9905,043,3639,272,493
2024-09-16$217.75$212.0023.7%6.7%20.7%37.7%24.2%2.3%-0.4%189.5M-15.44B-327.4M1.091.77506,346554,2995,076,7039,374,517
2024-09-17$218.94$212.0024.3%6.9%20.5%38.3%25.3%1.9%-0.5%412.1M-18.94B-325.2M1.262.19907,6601,143,6565,084,1319,495,279
2024-09-18$219.70$213.0023.4%6.7%20.2%33.7%24.6%2.5%-0.4%427.9M-19.97B-323.6M1.092.86897,912976,6735,181,8389,705,260
2024-09-19$223.75$214.0021.2%6.1%20.8%23.5%22.3%1.6%-0.2%2.00B-34.42B-301.8M0.812.28765,159617,1635,184,0699,733,191
2024-09-20$222.47$215.0020.0%5.7%20.7%17.5%21.2%1.8%0.0%664.9M-29.45B-301.3M1.222.16495,430605,1675,167,9229,816,152
2024-09-23$220.89$215.0019.9%5.7%18.2%17.1%20.7%2.4%0.3%-201.7M-11.25B-310.6M0.922.32420,927388,8643,969,1627,561,982
2024-09-24$221.30$215.0019.4%5.6%18.2%14.5%20.5%2.2%0.4%156.5M-12.71B-304.7M1.062.17365,834386,6674,009,8957,604,260
2024-09-25$217.87$215.0020.2%5.9%18.8%18.8%21.5%2.7%0.4%-930.4M-3.14B-319.3M1.202.10500,957601,6353,982,1807,693,020
2024-09-26$219.19$215.0019.8%5.8%18.8%16.9%21.1%2.1%0.5%-233.3M-8.66B-307.2M0.992.15468,152462,8004,062,9147,807,270
2024-09-27$220.16$215.0020.6%6.0%18.8%20.5%21.4%2.2%0.4%42.3M-9.93B-317.4M1.121.80570,048637,0424,092,1637,912,276
2024-09-30$220.42$215.0021.3%6.3%18.8%24.0%22.4%2.9%3.3%-72.3M-10.13B-315.2M1.181.92388,230457,2624,066,3137,901,282