Russell 2000 Index
RUT options: expected move, IV and max pain
The Russell 2000 Index (RUT) stood near 2,811.87 at the last snapshot. Option prices for the 20 Nov monthly expiry, which is 21 days away, imply a move of about 80.41 points either way (2.86%), a range of 2,731.47 to 2,892.28.
- Index level
- 2,811.87
- Expected move
- ±80.41 points
- 2.86% · to 20 Nov
- ATM IV
- 20.3%
- 20 Nov expiry
- Data as of
Source: ThetaData
What stands out in the RUT data
- For the 20 Nov monthly expiry, the straddle implies ±2.86% and the one standard deviation range spans about ±4.84%, about 1.7 times the straddle.
- The 20 Nov chain lists 284 strikes and 109,794 contracts of open interest.
- Open interest is largest at the 18 Dec expiry, at 237,750 contracts.
Expected move by expiry
What the options market is pricing for RUT at each of the expiries below.
| Expiry | Time left | ATM IV | Expected move | Level range |
|---|---|---|---|---|
| 20 Nov 2026NearestMonthlyClosest to 30 daysAM-settled | Time left21 days | ATM IV20.3% | Expected move±80.41 points (2.86%) | Level range2,731.47 to 2,892.28 |
| 18 Dec 2026Next monthlyClosest to 60 daysAM-settled | Time left49 days | ATM IV19.8% | Expected move±119.81 points (4.26%) | Level range2,692.07 to 2,931.68 |
Expected move is the price of the at-the-money straddle for the expiry, using midpoint prices (the average of bid and ask, or the last trade when a side has no quote). It is the same figure the Options Matrix shows. The range is the last level plus and minus that move. AM-settled: settles on the opening prices of expiry day, and trading ends the day before.
The market prices 2.86% for the 20 Nov monthly expiry and 4.26% for the 18 Dec expiry.
For the 20 Nov monthly expiry, the Visualizer's one standard deviation range, which covers about 68% of modelled outcomes, runs from 2,680.33 to 2,952.58. That is about ±4.84% against the straddle's ±2.86%.
Implied volatility and term structure
How much volatility option prices carry, and how it changes from one expiry to the next.
Monthly ATM IV
20.3%
20 Nov 2026, 21 days
Longest ATM IV
19.8%
18 Dec 2026, 49 days
30-day IV
20.2%
Stored reading, 23 Oct 2026
Among expiries a week or more away, at-the-money IV runs from 20.3% at 20 Nov to 19.8% at 18 Dec. The curve is close to flat: every expiry carries about the same annualised volatility.
Put wall, call wall and max pain
Where open interest and gamma exposure concentrate for the next two monthly expiries.
| Expiry | Gamma put wall | Open-interest put wall | Gamma call wall | Open-interest call wall | Max pain |
|---|---|---|---|---|---|
| 20 Nov 2026NearestMonthlyClosest to 30 daysAM-settled | Gamma put wall2,6505.8% below spot | Open-interest put wall2,6505.8% below spot | Gamma call wall2,8752.2% above spot | Open-interest call wall2,7651.7% below spot | Max pain2,8300.6% above spot |
| The open-interest call wall at 2,765 sits below the last price, so those calls are in the money. | |||||
| 18 Dec 2026Next monthlyClosest to 60 daysAM-settled | Gamma put wall2,7004.0% below spot | Open-interest put wall2,9003.1% above spot | Gamma call wall2,8000.4% below spot | Open-interest call wall2,9003.1% above spot | Max pain2,8000.4% below spot |
| The open-interest put and call walls coincide at 2,900 (3.1% above spot), where open interest is largest on both sides. The put wall sits above the last price, so those puts are in the money.The gamma call wall at 2,800 sits below the last price, so those calls are in the money. | |||||
For the 20 Nov expiry, gamma and open interest agree on the 2,650 put wall. On calls, open interest places the wall nearer to the last price than gamma does.
Contract terms
RUT contract terms
- Exercise style
- European style: exercise happens only at expiry.
- Settlement
- Cash settled: no shares change hands. Standard monthly SPX and RUT expiries settle on the opening prices of expiry day and stop trading the day before. Weekly and daily expiries settle on the closing level. Every expiry shown here is an AM-settled monthly. The PM-settled RUTW weeklies and dailies are not shown.
- Contract size
- One index point is worth $100 per contract.
- Last trading day
- By expiry shown:
- 20 Nov 2026: trades until the close on 19 Nov 2026, then settles on the opening prices of 20 Nov.
- 18 Dec 2026: trades until the close on 17 Dec 2026, then settles on the opening prices of 18 Dec.
- Earnings
- Not applicable. RUT is an index and does not report earnings.
How to read these numbers
- Expected move
- The at-the-money straddle price at midpoint prices: the size of move the market charges for in either direction, not a forecast.Breakevens and max loss
- ATM implied volatility
- Annualised volatility implied by at-the-money prices for one expiry; across expiries it forms the term structure.Implied volatility explained
- Gamma and open-interest walls
- Gamma walls are the strikes with the most positive (call) and most negative (put) net gamma exposure; open-interest walls are the strikes with the most open calls and puts. A wall can sit on either side of the last price.Put wall vs max pain
- Max pain
- The strike where option holders would collect the least at expiry, given open interest. It does not predict the settlement price.Open interest vs volume
Model RUT trades with these numbers
The Visualizer reprices RUT live when you open it, then draws the expected move and probability range beside your payoff chart. The figures here are a snapshot from the time shown above, so they can differ slightly from the live screens.
More options data
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- SPX optionsS&P 500 Index
- SPY optionsSPDR S&P 500 ETF Trust
- LQDT optionsLiquidity Services
Educational and informational only, not financial advice. Option figures are calculated from ThetaData quotes and open interest at the time shown. 30-day IV, IV rank and IV percentile come from stored daily readings, and earnings dates come from an earnings calendar. The figures describe what option prices imply, not what will happen. You make every trading decision. Options trading involves risk and is not suitable for all investors.