IWM Options History — November 2024

In November 2024, IWM traded between $218.78 and $243.31. ATM implied volatility averaged 22.3%, placing in the 28.7% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded below realized volatility by 3.2% (HV 20d: 25.5%). Max pain ranged from $210.00 to $226.00. Net GEX was positive for 11 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 1.26.

Notable Days

  • 2024-11-06: Highest Volume — 2,275,243 contracts
  • 2024-11-06: Largest IV drop — 17.5% change
  • 2024-11-05: Highest IV Rank — 52.9%
  • 2024-11-01: Largest Expected Move — 9.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$233.98$218.78$243.31$218.78$242.57
Max Pain$221.15$210.00$226.00$217.00$226.00
ATM IV22.3%20.2%27.4%26.3%21.5%
Expected Move6.6%6.0%9.2%9.2%6.7%
HV 20d25.5%15.8%28.4%16.1%27.6%
HV 60d20.7%17.8%21.7%17.8%20.9%
IV Rank28.7%18.5%52.9%48.0%24.6%
IV Percentile66.5%42.5%98.4%97.2%58.3%
Term Structure-0.2%-1.0%0.7%-0.6%-0.5%
VWIV24.2%22.1%33.0%33.0%24.5%
Skew 25d2.0%0.6%3.2%3.1%1.8%
Skew 10d5.3%2.7%8.0%7.8%4.8%
Call IV 25d21.7%19.7%26.2%25.3%21.4%
Put IV 25d23.7%20.7%29.0%28.4%23.2%
Bid-Ask Spread %1.881.482.861.761.58
Gamma HHI0.040.030.070.040.04
Net GEX163.9M-1.36B1.56B-1.36B665.8M
Net DEX-23.55B-46.58B745.9M745.9M-33.56B
Net VEX-275.6M-297.5M-245.6M-295.5M-266.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.260.782.381.310.83
Total Volume1,382,937.75585,4212,275,243883,462585,421
Total OI11,747,034.910,855,08312,887,80411,181,65312,097,162

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2024-11-01$218.78$217.0026.3%9.2%16.1%48.0%33.0%3.1%-0.6%-1.36B745.9M-295.5M1.311.76382,825500,6373,696,1767,485,477
2024-11-04$220.31$210.0026.8%7.4%15.8%50.1%27.0%3.2%-0.6%-674.2M-3.23B-297.5M1.622.20426,178690,5923,543,6637,342,902
2024-11-05$223.75$210.0027.4%7.5%16.6%52.9%28.0%2.8%-0.7%-97.7M-10.96B-288.8M1.142.09690,168789,8603,577,9357,440,517
2024-11-06$237.33$212.0022.6%6.6%26.3%29.9%24.2%0.6%0.0%1.43B-42.45B-245.6M1.051.661,111,6201,163,6233,729,4337,579,154
2024-11-07$236.53$215.0020.8%6.2%26.2%21.7%22.4%0.7%0.2%1.27B-39.21B-246.5M1.001.97766,885769,6253,810,4037,855,812
2024-11-08$237.81$219.0020.2%6.0%25.3%18.5%22.3%0.6%0.4%1.34B-40.35B-259.2M0.931.78602,442557,9503,976,4208,094,370
2024-11-11$241.69$220.0021.0%6.2%25.6%22.6%23.1%1.0%0.6%1.56B-46.58B-248.6M1.141.70639,275726,2073,968,4958,118,173
2024-11-12$237.00$220.0021.4%6.3%27.0%24.5%23.0%1.4%0.5%565.2M-33.88B-266.8M1.521.48739,4481,120,8343,983,9288,246,629
2024-11-13$235.87$224.0020.2%6.0%26.7%18.6%22.3%1.3%0.7%-16.7M-30.45B-275.0M1.291.96586,068757,0074,073,2258,521,350
2024-11-14$231.68$224.0020.4%6.0%27.5%19.4%22.1%1.7%0.7%-563.1M-18.61B-284.0M2.382.18472,4781,122,4354,100,3078,652,452
2024-11-15$228.46$224.0021.0%6.2%28.1%22.5%22.8%2.0%0.7%-845.5M-8.26B-287.5M2.052.86554,3091,138,7594,152,5708,735,234
2024-11-18$229.20$224.0021.3%6.2%27.3%23.7%22.1%2.6%-0.7%-743.6M-7.40B-282.3M1.321.84527,345693,5403,525,2147,329,869
2024-11-19$230.34$225.0021.8%6.3%27.2%26.2%23.9%2.7%-0.8%-786.2M-9.06B-287.7M1.571.60491,466773,8803,597,3157,558,324
2024-11-20$230.05$225.0022.8%6.5%26.9%31.2%23.3%3.1%-0.9%-822.6M-8.12B-286.3M1.342.00427,158570,3933,662,7547,745,775
2024-11-21$234.94$225.0022.7%6.5%27.7%30.4%24.2%2.9%-1.0%258.5M-18.79B-286.1M0.781.92816,329636,1423,707,0997,847,582
2024-11-22$238.54$225.0021.9%6.4%27.9%26.4%23.6%2.5%-0.9%716.3M-27.83B-278.0M0.951.96794,379753,7133,825,3597,892,936
2024-11-25$243.31$226.0022.2%6.6%28.1%28.3%24.3%1.7%-0.4%986.5M-36.28B-271.3M0.921.62971,330890,0113,802,7707,858,698
2024-11-26$240.54$226.0021.8%6.6%28.4%26.1%23.4%1.7%-0.4%77.3M-27.81B-276.2M1.201.67615,157737,0623,816,2407,983,295
2024-11-27$240.94$226.0022.1%6.7%28.4%27.6%24.4%2.0%-0.4%320.9M-28.82B-281.9M0.881.73566,122500,0823,916,8948,088,787
2024-11-29$242.57$226.0021.5%6.7%27.6%24.6%24.5%1.8%-0.5%665.8M-33.56B-266.9M0.831.58320,616264,8053,929,6628,167,500