IBKR Options History — July 2015 In July 2015, IBKR traded between $10.03 and $11.34. ATM implied volatility averaged 25.7%, placing in the 25.1% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded below realized volatility by 12.0% (HV 20d: 37.7%). Max pain ranged from $10.25 to $11.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 0.72.
Notable Days 2015-07-08 : Highest Volume — 24,128 contracts2015-07-08 : Largest IV spike — 37.4% change2015-07-08 : Highest IV Rank — 52.6%2015-07-08 : Largest Expected Move — 8.5%Monthly Statistics Metric Avg Min Max Open Close Price $10.88 $10.03 $11.34 $10.68 $10.03 Max Pain $10.67 $10.25 $11.00 $10.25 $11.00 ATM IV 25.7% 20.9% 34.8% 22.0% 22.4% Expected Move 7.4% 6.0% 8.5% 6.3% 6.4% HV 20d 37.7% 22.9% 43.3% 22.9% 35.8% HV 60d 27.2% 22.5% 29.6% 22.5% 28.1% IV Rank 25.1% 10.6% 52.6% 13.9% 15.0% IV Percentile 72.9% 29.8% 98.8% 44.0% 47.2% Term Structure -0.7% -3.1% 2.1% 2.1% 1.0% VWIV 26.5% 21.2% 32.0% 21.2% 23.1% Skew 25d 3.1% 1.4% 5.7% 3.3% 2.1% Skew 10d 5.2% -9.7% 18.7% 17.5% -5.1% Call IV 25d 25.2% 20.5% 29.4% 21.1% 22.9% Put IV 25d 28.3% 23.2% 32.3% 24.4% 24.9% Bid-Ask Spread % 65.76 42.62 90.51 73.53 75.85 Gamma HHI 0.15 0.13 0.19 0.17 0.15 Net GEX 699.0K 362.7K 949.7K 445.5K 362.7K Net DEX -28.0M -39.8M -8.9M -25.0M -8.9M Net VEX -86.8K -99.0K -52.3K -61.0K -90.7K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.72 0.35 1.51 0.64 0.64 Total Volume 15,933.091 11,232 24,128 11,232 13,140 Total OI 86,947.455 62,868 97,356 62,868 97,356
Daily Data (22 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2015-07-01 $10.68 $10.25 22.0% 6.3% 22.9% 13.9% 21.2% 3.3% 2.1% 445.5K -25.0M -61.0K 0.64 73.53 N/A N/A 6,844 4,388 33,940 28,928 2015-07-02 $11.20 $10.25 26.8% 7.7% 26.8% 28.3% 28.0% 1.6% -0.3% 395.9K -30.8M -52.3K 0.47 42.62 N/A N/A 13,552 6,332 34,160 29,504 2015-07-06 $11.34 $10.50 28.0% 7.9% 26.5% 32.1% 28.9% 3.4% -1.1% 684.8K -35.8M -60.6K 0.35 45.67 N/A N/A 15,344 5,308 41,488 30,940 2015-07-07 $11.08 $10.50 25.4% 8.1% 28.3% 24.0% 29.1% 5.3% -1.2% 912.2K -34.4M -81.4K 1.17 61.28 N/A N/A 10,860 12,684 48,052 31,796 2015-07-08 $10.43 $10.75 34.8% 8.5% 37.2% 52.6% 28.5% 1.4% -1.6% 663.4K -23.7M -91.8K 0.70 69.84 N/A N/A 14,152 9,976 48,528 35,576 2015-07-09 $10.94 $10.50 28.0% 8.4% 39.8% 32.1% 29.7% 5.7% -3.1% 765.6K -29.2M -90.9K 0.93 65.45 N/A N/A 10,328 9,640 47,936 36,720 2015-07-10 $11.21 $10.50 29.3% 8.1% 40.3% 35.9% 29.0% 2.6% -0.1% 868.7K -36.7M -87.1K 0.48 57.78 N/A N/A 9,900 4,764 50,612 37,708 2015-07-13 $11.16 $10.50 24.6% 7.9% 40.4% 21.7% 27.9% 2.8% -0.7% 944.7K -35.3M -91.2K 0.39 62.33 N/A N/A 11,948 4,612 51,476 38,224 2015-07-14 $11.26 $10.50 25.2% 8.0% 40.4% 23.7% 28.6% 3.5% -1.5% 776.3K -37.1M -85.3K 0.46 52.06 N/A N/A 9,896 4,568 50,728 38,792 2015-07-15 $11.21 $10.50 27.1% 7.8% 40.2% 29.3% 32.0% 2.3% -1.1% 896.2K -38.8M -88.8K 0.58 61.12 N/A N/A 7,532 4,380 53,288 38,832 2015-07-16 $11.25 $10.50 26.8% 7.7% 40.2% 28.4% 28.4% 3.0% -1.9% 949.7K -38.9M -90.0K 0.51 62.69 N/A N/A 8,616 4,388 53,540 38,868 2015-07-17 $11.26 $10.50 27.0% 7.7% 40.1% 28.8% 27.0% 3.5% -2.0% 862.6K -39.8M -91.0K 1.51 63.71 N/A N/A 6,340 9,600 54,328 39,404 2015-07-20 $11.31 $10.75 27.6% 7.9% 40.0% 30.6% 29.4% 4.3% -2.0% 776.3K -34.3M -93.1K 0.99 54.50 N/A N/A 6,676 6,580 48,588 36,432 2015-07-21 $11.25 $10.75 28.4% 8.1% 40.2% 33.3% 28.4% 3.8% -3.1% 858.3K -34.9M -92.5K 1.06 62.67 N/A N/A 7,024 7,428 50,600 36,816 2015-07-22 $11.02 $10.75 22.1% 6.3% 40.7% 14.1% 22.8% 4.0% 0.3% 917.5K -28.9M -97.6K 1.47 74.37 N/A N/A 4,788 7,036 52,088 38,288 2015-07-23 $10.94 $10.75 20.9% 6.0% 40.6% 10.6% 22.3% 2.8% 0.0% 867.0K -27.6M -93.0K 0.42 73.39 N/A N/A 14,240 5,964 52,528 39,524 2015-07-24 $10.54 $11.00 23.1% 6.6% 43.0% 17.1% 23.0% 2.5% 0.5% 545.7K -17.2M -91.9K 0.77 70.09 N/A N/A 7,284 5,572 49,816 39,980 2015-07-27 $10.33 $11.00 25.1% 7.2% 43.3% 23.1% 24.9% 2.9% -0.9% 423.8K -13.3M -87.8K 0.64 70.46 N/A N/A 8,044 5,164 49,960 40,588 2015-07-28 $10.42 $11.00 23.7% 6.8% 41.3% 18.9% 24.4% 3.3% 1.7% 529.3K -16.7M -99.0K 0.43 76.00 N/A N/A 11,908 5,080 53,868 41,084 2015-07-29 $10.31 $11.00 23.7% 6.8% 40.9% 18.9% 23.3% 2.4% 0.2% 482.1K -14.8M -97.2K 0.43 90.51 N/A N/A 11,944 5,184 54,136 41,644 2015-07-30 $10.23 $11.00 23.6% 6.8% 39.9% 18.8% 23.6% 2.5% 0.5% 448.9K -13.0M -95.7K 0.78 80.71 N/A N/A 6,472 5,048 54,568 41,612 2015-07-31 $10.03 $11.00 22.4% 6.4% 35.8% 15.0% 23.1% 2.1% 1.0% 362.7K -8.9M -90.7K 0.64 75.85 N/A N/A 8,020 5,120 55,716 41,640
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