IBKR Options History — August 2015

In August 2015, IBKR traded between $9.19 and $11.01. ATM implied volatility averaged 31.5%, placing in the 42.5% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded below realized volatility by 5.2% (HV 20d: 36.7%). Max pain ranged from $9.75 to $10.75. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.58.

Notable Days

  • 2015-08-24: Highest Volume — 18,976 contracts
  • 2015-08-24: Largest IV spike — 36.2% change
  • 2015-08-24: Highest IV Rank — 88.0%
  • 2015-08-24: Largest Expected Move — 13.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.29$9.19$11.01$10.61$9.97
Max Pain$9.89$9.75$10.75$10.75$9.75
ATM IV31.5%24.9%46.6%25.7%40.8%
Expected Move9.0%7.1%13.4%7.4%11.7%
HV 20d36.7%32.3%44.1%41.6%38.6%
HV 60d32.8%30.1%36.8%30.1%36.6%
IV Rank42.5%22.5%88.0%25.1%70.6%
IV Percentile86.1%69.4%99.6%78.2%98.4%
Term Structure-0.7%-6.8%3.2%-0.2%-5.4%
VWIV30.5%23.1%46.5%25.5%38.9%
Skew 25d4.4%2.5%8.7%3.5%5.3%
Skew 10d8.3%-0.7%25.0%6.8%0.0%
Call IV 25d30.4%24.2%45.2%24.2%39.3%
Put IV 25d34.8%27.3%52.0%27.7%44.6%
Bid-Ask Spread %74.0859.4583.3583.3581.85
Gamma HHI0.150.140.180.140.16
Net GEX528.3K101.5K983.5K667.8K196.8K
Net DEX-16.4M-33.0M-3.4M-21.3M-10.7M
Net VEX-92.4K-108.7K-82.1K-101.8K-86.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.580.150.980.350.46
Total Volume12,032.3812,21618,9764,40813,564
Total OI98,970.47688,148105,76499,81690,360

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-08-03$10.61$10.7525.7%7.4%41.6%25.1%25.5%3.5%-0.2%667.8K-21.3M-101.8K0.3583.35N/AN/A3,2641,14457,16042,656
2015-08-04$11.01$10.7526.7%7.7%43.3%28.1%26.1%3.4%0.6%877.2K-33.0M-108.7K0.3759.45N/AN/A11,9204,41258,38843,032
2015-08-05$10.83$10.7526.6%7.6%37.6%27.8%24.1%2.8%-1.0%880.1K-29.2M-105.8K0.6077.59N/AN/A7,1404,26858,62843,188
2015-08-06$10.73$9.7525.8%7.4%33.7%25.4%28.3%3.1%1.3%813.8K-25.1M-105.2K0.5572.35N/AN/A8,8524,87258,74043,272
2015-08-07$10.69$9.7525.3%7.3%32.3%23.9%23.1%3.7%0.8%730.5K-22.7M-101.5K0.4674.84N/AN/A8,4723,91657,71243,916
2015-08-10$10.75$9.7527.2%7.3%32.5%29.7%23.2%3.5%1.0%781.3K-25.7M-99.7K0.5167.45N/AN/A8,3764,29257,60443,964
2015-08-11$10.54$9.7527.8%7.6%32.8%31.4%25.6%3.4%1.5%634.0K-18.6M-97.5K0.1573.90N/AN/A1,92828857,59644,188
2015-08-12$10.40$9.7526.3%7.5%33.0%26.8%25.7%3.6%1.4%515.5K-15.0M-92.8K0.7165.71N/AN/A6,5004,59657,31244,320
2015-08-13$10.45$9.7525.1%7.2%33.0%23.4%25.0%2.8%3.2%576.7K-16.2M-93.1K0.7471.89N/AN/A5,8284,34057,29244,500
2015-08-14$10.54$9.7525.1%7.2%33.3%23.4%23.3%3.5%0.9%620.7K-18.4M-89.9K0.6872.70N/AN/A5,8443,96857,46444,508
2015-08-17$10.70$9.7527.9%8.0%33.8%31.6%27.8%2.5%3.1%849.2K-21.3M-85.2K0.5881.43N/AN/A6,8323,96857,60044,652
2015-08-18$10.60$9.7524.9%7.1%33.9%22.5%24.4%2.8%1.3%983.5K-19.7M-86.1K0.6175.32N/AN/A6,4043,93658,41644,664
2015-08-19$10.47$9.7524.9%7.1%33.5%22.7%26.3%2.9%2.6%696.9K-16.7M-85.8K0.3269.47N/AN/A2,21270458,82444,636
2015-08-20$10.07$9.7528.1%8.0%35.9%32.2%29.6%2.7%-0.3%202.5K-8.3M-84.7K0.5776.84N/AN/A7,6364,32860,82444,940
2015-08-21$9.76$9.7534.2%9.8%35.3%50.7%36.6%6.2%-3.5%266.0K-4.0M-83.4K0.8574.25N/AN/A9,9488,46061,50843,684
2015-08-24$9.28$9.7546.6%13.4%38.6%88.0%45.4%6.8%-3.2%101.5K-3.4M-82.1K0.9874.64N/AN/A9,5889,38848,18839,960
2015-08-25$9.19$9.7545.3%13.0%38.2%84.3%46.5%8.7%-0.8%104.0K-4.7M-84.9K0.8479.25N/AN/A10,0568,40849,00041,248
2015-08-26$9.53$9.7545.6%13.1%41.0%85.0%45.0%8.3%-6.8%124.3K-6.3M-86.0K0.7976.07N/AN/A8,8686,97650,29241,636
2015-08-27$9.94$9.7540.8%11.7%44.1%70.5%35.6%8.7%-3.4%222.5K-12.3M-90.2K0.4870.54N/AN/A9,1724,43650,62441,852
2015-08-28$10.07$9.7540.7%11.7%43.8%70.2%33.8%5.1%-6.7%248.7K-12.1M-90.4K0.4876.79N/AN/A9,1684,40847,76842,264
2015-08-31$9.97$9.7540.8%11.7%38.6%70.6%38.9%5.3%-5.4%196.8K-10.7M-86.4K0.4681.85N/AN/A9,2924,27247,94442,416