IBKR Options History — May 2015

In May 2015, IBKR traded between $8.59 and $9.00. ATM implied volatility averaged 19.5%, placing in the 5.9% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded below realized volatility by 4.7% (HV 20d: 24.2%). Max pain ranged from $7.50 to $8.25. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 6.77.

Notable Days

  • 2015-05-27: Highest Volume — 30,772 contracts
  • 2015-05-11: Largest IV spike — 23.3% change
  • 2015-05-06: Highest IV Rank — 15.8%
  • 2015-05-06: Largest Expected Move — 6.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.80$8.59$9.00$8.61$8.94
Max Pain$7.61$7.50$8.25$8.25$8.25
ATM IV19.5%17.4%22.9%21.1%19.4%
Expected Move5.5%5.0%6.2%6.0%5.6%
HV 20d24.2%13.6%29.0%28.5%13.6%
HV 60d22.6%22.0%23.1%23.0%22.1%
IV Rank5.9%0.0%15.8%10.5%6.1%
IV Percentile12.2%0.0%47.2%25.0%9.9%
Term Structure2.4%-0.4%3.4%-0.4%2.5%
VWIV20.6%18.0%22.7%22.1%21.4%
Skew 25d2.6%0.9%6.4%6.4%2.4%
Skew 10d10.1%0.2%18.2%18.1%12.2%
Call IV 25d18.7%17.0%20.5%17.0%19.8%
Put IV 25d21.3%19.1%23.4%23.4%22.2%
Bid-Ask Spread %53.5324.0588.2338.2678.41
Gamma HHI0.240.180.380.240.19
Net GEX273.7K113.6K585.2K258.3K206.5K
Net DEX-15.7M-17.6M-10.4M-14.6M-10.4M
Net VEX-30.7K-40.6K-24.0K-40.6K-27.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.770.0513.319.214.48
Total Volume19,702.256830,77225,78030,088
Total OI83,41471,28090,73689,61671,548

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-05-01$8.61$8.2521.1%6.0%28.5%10.5%22.1%6.4%-0.4%258.3K-14.6M-40.6K9.2138.26N/AN/A2,52423,25629,45260,164
2015-05-04$8.69$7.5020.3%5.7%28.5%7.9%20.1%3.3%2.2%299.8K-16.2M-38.4K0.1566.72N/AN/A68410429,94460,224
2015-05-05$8.71$7.5020.4%5.7%28.4%8.4%21.0%2.0%2.1%363.1K-17.4M-35.2K9.7734.85N/AN/A2,31622,62829,84460,196
2015-05-06$8.59$7.5022.9%6.2%28.9%15.8%22.3%2.2%1.9%405.3K-15.7M-36.5K12.4835.77N/AN/A1,79222,35630,05660,016
2015-05-07$8.66$7.5020.8%5.8%29.0%9.5%21.1%2.6%2.2%398.5K-16.6M-36.9K10.1936.84N/AN/A2,20422,46430,08460,144
2015-05-08$8.65$7.5017.8%5.7%29.0%0.3%19.9%1.3%2.3%585.2K-16.9M-35.5K0.0553.89N/AN/A2,70014029,98060,196
2015-05-11$8.67$7.5021.9%5.7%28.9%12.9%22.0%1.9%2.3%467.9K-16.3M-33.7K0.1624.05N/AN/A66810428,49660,336
2015-05-12$8.74$7.5022.4%5.8%28.6%14.5%22.7%2.5%1.7%532.1K-17.6M-32.2K4.8160.30N/AN/A4,92023,66828,90060,340
2015-05-13$8.73$7.5019.6%5.6%28.5%6.0%22.0%1.9%2.5%216.7K-17.3M-30.7K10.6630.91N/AN/A2,09622,34828,92861,808
2015-05-14$8.76$7.5019.1%5.5%28.5%4.2%20.9%2.7%2.4%113.6K-17.6M-29.5K9.4545.72N/AN/A2,34822,18828,91661,788
2015-05-15$8.74$7.5019.0%5.4%27.6%4.0%19.3%2.3%2.2%133.0K-16.1M-28.7K8.3862.68N/AN/A2,66422,33628,60461,688
2015-05-18$8.97$7.5018.2%5.2%28.6%1.5%19.2%3.9%3.3%163.2K-15.9M-25.1K0.5278.91N/AN/A1,15260023,07652,340
2015-05-19$8.94$7.5018.6%5.3%27.9%3.0%19.5%2.0%3.0%173.3K-15.8M-26.0K1.3325.95N/AN/A24432423,33652,596
2015-05-20$8.88$7.5018.6%5.3%17.7%2.7%18.4%2.1%3.4%161.0K-15.6M-24.0K11.8638.89N/AN/A1,88422,34823,42452,732
2015-05-21$8.90$7.5017.4%5.0%17.2%0.0%18.6%1.9%3.3%173.4K-15.5M-26.6K11.8530.16N/AN/A1,88822,36823,54452,876
2015-05-22$8.96$7.5017.4%5.0%17.2%0.2%18.0%2.9%3.1%178.8K-16.1M-24.4K9.8887.62N/AN/A2,26022,32023,55253,044
2015-05-26$8.94$7.5019.1%5.5%16.0%5.1%20.7%2.3%2.9%210.3K-15.5M-28.7K13.3188.23N/AN/A1,67622,30824,24453,164
2015-05-27$8.96$7.5018.2%5.2%15.7%2.4%20.3%0.9%3.3%229.0K-15.8M-27.3K2.5877.30N/AN/A8,60022,17224,24453,176
2015-05-28$9.00$8.2518.4%5.3%15.5%3.1%22.1%3.4%2.7%205.4K-10.6M-26.6K4.2775.03N/AN/A5,18022,12418,06453,216
2015-05-29$8.94$8.2519.4%5.6%13.6%6.1%21.4%2.4%2.5%206.5K-10.4M-27.7K4.4878.41N/AN/A5,48824,60018,28853,260