IBKR Options History — June 2015

In June 2015, IBKR traded between $9.04 and $10.61. ATM implied volatility averaged 21.9%, placing in the 13.6% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 6.8% (HV 20d: 15.1%). Max pain ranged from $8.25 to $10.25. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 2.65.

Notable Days

  • 2015-06-18: Highest Volume — 34,600 contracts
  • 2015-06-29: Largest IV spike — 12.8% change
  • 2015-06-17: Highest IV Rank — 20.4%
  • 2015-06-17: Largest Expected Move — 6.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.95$9.04$10.61$9.04$10.43
Max Pain$9.38$8.25$10.25$8.25$10.25
ATM IV21.9%19.4%24.2%19.8%21.7%
Expected Move6.4%5.6%6.9%5.7%6.2%
HV 20d15.1%13.0%22.0%13.3%22.0%
HV 60d21.2%20.0%22.3%22.0%22.1%
IV Rank13.6%6.0%20.4%7.3%13.0%
IV Percentile40.6%9.9%65.5%13.5%39.7%
Term Structure0.3%-2.1%2.3%2.3%2.2%
VWIV23.6%20.2%27.6%23.4%23.7%
Skew 25d2.9%0.1%5.7%2.9%5.7%
Skew 10d11.2%2.3%21.8%18.1%14.9%
Call IV 25d22.2%18.8%25.4%18.8%22.1%
Put IV 25d25.1%21.4%28.3%21.7%27.8%
Bid-Ask Spread %78.1254.3587.5575.5078.05
Gamma HHI0.200.130.290.210.16
Net GEX330.6K158.5K445.4K158.5K439.9K
Net DEX-19.5M-25.8M-10.4M-10.4M-21.1M
Net VEX-45.9K-69.3K-24.5K-30.6K-69.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.650.555.855.850.60
Total Volume22,623.09184434,60028,94811,000
Total OI75,648.90953,05296,45274,05662,308

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-06-01$9.04$8.2519.8%5.7%13.3%7.3%23.4%2.9%2.3%158.5K-10.4M-30.6K5.8575.50N/AN/A4,22824,72018,45255,604
2015-06-02$9.15$8.2519.9%5.7%13.5%7.4%20.2%0.8%1.9%189.8K-12.0M-25.8K1.1574.42N/AN/A39245218,46855,764
2015-06-03$9.25$8.2519.4%5.6%13.7%6.0%22.5%3.0%1.4%187.4K-13.1M-24.5K2.7772.81N/AN/A8,16022,62018,82456,148
2015-06-04$9.40$9.0019.4%6.3%13.0%6.0%22.5%4.4%-0.4%258.9K-14.8M-30.2K3.8555.51N/AN/A5,91622,78421,54856,272
2015-06-05$9.59$9.0020.9%6.7%14.0%10.6%23.3%0.1%-1.0%242.7K-16.4M-27.2K3.5154.35N/AN/A6,46022,67221,99656,924
2015-06-08$9.53$9.0021.2%6.6%14.4%11.6%23.8%1.2%-0.2%298.5K-16.2M-36.5K5.0575.96N/AN/A4,59223,19624,29257,452
2015-06-09$9.54$9.2521.7%6.9%14.4%13.0%23.2%1.7%-1.8%273.0K-16.4M-33.8K4.1181.42N/AN/A5,63223,12424,28458,256
2015-06-10$9.75$9.0022.5%6.5%15.5%15.5%23.3%4.3%-0.4%262.7K-18.5M-33.7K4.5387.55N/AN/A5,16423,37624,94058,276
2015-06-11$9.87$9.0024.1%6.9%15.5%20.3%23.7%2.6%-2.1%267.0K-19.1M-35.2K2.4881.53N/AN/A9,36423,22825,01658,236
2015-06-12$9.99$9.0023.6%6.8%15.6%18.8%24.5%4.7%-1.6%364.6K-21.9M-47.8K3.0179.14N/AN/A8,04824,22829,35258,256
2015-06-15$10.00$9.5023.7%6.8%15.5%18.9%25.5%2.9%0.0%388.5K-23.1M-48.7K3.6682.63N/AN/A6,61624,20031,80459,200
2015-06-16$10.20$9.5023.9%6.8%14.5%19.6%27.3%5.3%-0.6%375.9K-24.2M-52.5K3.3381.14N/AN/A7,18823,96431,95659,272
2015-06-17$10.25$9.5024.2%6.9%14.1%20.4%27.6%5.1%-1.5%382.6K-25.8M-47.6K3.4287.46N/AN/A7,21624,67232,68059,536
2015-06-18$10.21$9.5022.2%6.4%13.7%14.5%24.8%1.7%0.2%386.8K-24.8M-55.3K2.8581.07N/AN/A8,97625,62433,25660,496
2015-06-19$10.19$9.7522.6%6.5%13.9%15.7%23.4%3.6%-0.0%354.9K-25.6M-54.5K2.7078.20N/AN/A9,13224,64434,97661,476
2015-06-22$10.30$10.0022.3%6.4%14.0%14.9%23.1%3.6%0.7%405.2K-20.2M-54.8K0.5582.94N/AN/A5,7963,20829,34823,704
2015-06-23$10.49$10.0020.6%5.9%14.1%9.6%21.8%2.7%1.6%445.4K-22.0M-53.6K1.0086.82N/AN/A4,7564,75229,87623,980
2015-06-24$10.39$10.0020.8%6.0%15.3%10.4%23.6%1.0%2.1%410.1K-21.2M-57.9K1.0381.45N/AN/A4,3764,52830,67225,776
2015-06-25$10.46$10.0022.7%6.5%15.3%16.0%21.9%0.8%0.3%391.8K-20.6M-64.0K0.9483.86N/AN/A4,8924,61630,79626,536
2015-06-26$10.61$10.0021.0%6.0%14.5%11.0%22.3%5.4%1.2%438.4K-22.6M-64.0K1.1376.18N/AN/A3,9124,42031,88026,852
2015-06-29$10.22$10.2523.7%6.8%21.6%19.1%24.0%0.6%1.4%350.8K-18.8M-63.0K0.6680.69N/AN/A6,5484,31631,83627,700
2015-06-30$10.43$10.2521.7%6.2%22.0%13.0%23.7%5.7%2.2%439.9K-21.1M-69.3K0.6078.05N/AN/A6,8724,12833,72828,580