IBKR Options History — September 2015

In September 2015, IBKR traded between $9.36 and $10.14. ATM implied volatility averaged 37.5%, placing in the 60.5% IV rank vs the trailing year. The 30-day expected move averaged 10.6%. IV traded above realized volatility by 1.6% (HV 20d: 35.8%). Max pain ranged from $9.50 to $10.00. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 1.02.

Notable Days

  • 2015-09-03: Highest Volume — 22,824 contracts
  • 2015-09-28: Largest IV spike — 32.7% change
  • 2015-09-02: Highest IV Rank — 94.5%
  • 2015-09-02: Largest Expected Move — 14.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.66$9.36$10.14$9.61$9.86
Max Pain$9.64$9.50$10.00$9.75$9.75
ATM IV37.5%31.7%48.7%44.7%38.2%
Expected Move10.6%9.1%14.0%12.8%10.9%
HV 20d35.8%26.8%39.2%37.3%33.3%
HV 60d37.5%37.0%38.0%37.4%38.0%
IV Rank60.5%43.1%94.5%82.4%62.7%
IV Percentile94.3%88.9%99.6%98.4%94.4%
Term Structure-0.7%-5.1%1.9%-5.1%-2.7%
VWIV38.2%31.9%47.3%46.6%41.9%
Skew 25d5.6%-5.4%9.0%7.5%9.0%
Skew 10d15.0%5.3%25.1%19.4%21.8%
Call IV 25d36.3%30.7%55.6%40.5%35.8%
Put IV 25d41.9%36.6%50.2%48.0%44.8%
Bid-Ask Spread %73.5855.8181.9979.4178.24
Gamma HHI0.180.140.290.160.15
Net GEX-38.1K-629.8K398.8K126.1K264.0K
Net DEX-3.3M-9.9M2.4M-5.5M-5.9M
Net VEX-77.5K-90.0K-66.1K-84.4K-81.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.020.631.530.880.87
Total Volume12,114.0951,39222,82417,52811,928
Total OI79,872.1943,496100,13691,01655,780

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-09-01$9.61$9.7544.7%12.8%37.3%82.4%46.6%7.5%-5.1%126.1K-5.5M-84.4K0.8879.41N/AN/A9,3168,21248,42442,592
2015-09-02$9.44$9.7548.7%14.0%37.4%94.5%47.3%-5.4%-4.4%-61.1K-414.1K-86.1K1.0879.96N/AN/A10,38411,23248,32847,364
2015-09-03$9.36$10.0043.9%11.5%37.4%79.8%40.7%4.0%-0.4%-168.5K740.6K-90.0K0.9955.81N/AN/A11,45611,36848,54451,592
2015-09-04$9.39$9.5046.4%11.6%37.6%87.4%41.2%6.6%-3.9%-217.6K2.4M-87.0K0.8463.07N/AN/A9,1567,73248,19251,532
2015-09-08$9.64$9.5039.3%10.2%39.1%65.9%37.0%6.3%-0.1%-232.0K-2.0M-86.0K0.9167.42N/AN/A72866448,39651,604
2015-09-09$9.52$9.5037.0%10.6%38.8%59.0%37.7%3.9%-0.2%-285.1K-330.7K-81.5K0.8874.47N/AN/A8,7007,65648,16851,440
2015-09-10$9.54$9.5034.8%10.0%38.8%52.4%39.4%6.0%0.6%-352.6K-267.6K-79.2K0.6468.72N/AN/A8,5725,44847,96851,460
2015-09-11$9.57$9.5035.2%10.1%38.8%53.6%38.1%5.9%-0.1%-420.8K-678.9K-78.1K0.6371.76N/AN/A8,0605,06048,00051,476
2015-09-14$9.52$9.5035.3%10.1%38.5%54.0%34.5%6.2%0.6%-470.7K924.3K-73.6K0.6580.26N/AN/A7,7965,04448,01651,552
2015-09-15$9.69$9.5034.0%9.8%38.7%50.2%34.3%5.8%-0.6%-546.2K-2.0M-72.4K1.5375.75N/AN/A7041,07648,02451,472
2015-09-16$9.83$9.5033.4%9.6%39.2%48.1%35.0%6.8%-0.8%-336.3K-6.2M-71.6K1.3077.21N/AN/A4,7526,16447,95251,280
2015-09-17$9.75$9.5033.6%9.6%39.1%48.9%36.0%6.5%-1.4%-629.8K-5.5M-69.6K1.2081.99N/AN/A4,7845,75247,91651,564
2015-09-18$9.68$9.5033.1%9.5%36.9%47.3%33.8%5.1%-0.0%230.9K-916.6K-66.1K0.9568.68N/AN/A6,3726,03248,06451,456
2015-09-21$9.85$9.7533.1%9.5%35.8%47.2%34.2%7.0%1.0%359.8K-7.2M-68.7K1.0372.02N/AN/A3,3323,43227,78015,716
2015-09-22$9.67$9.7534.1%9.8%31.2%50.3%31.9%7.1%1.7%355.1K-6.4M-70.2K0.9875.41N/AN/A3,6643,58029,14416,236
2015-09-23$9.88$9.7531.7%9.1%31.7%43.1%35.2%7.8%1.5%398.8K-7.9M-73.0K1.4172.76N/AN/A3,6365,12429,55216,520
2015-09-24$9.88$9.7534.2%9.8%29.2%50.5%36.1%5.5%0.5%366.0K-6.9M-75.1K1.2876.34N/AN/A3,5164,51629,66417,992
2015-09-25$10.14$9.7532.2%9.2%26.8%44.7%32.8%5.5%1.9%380.9K-9.9M-77.2K1.2375.83N/AN/A5,3926,62029,70018,724
2015-09-28$9.57$9.7542.8%12.3%33.5%76.5%44.0%1.8%-2.9%252.9K-4.2M-78.2K1.2677.71N/AN/A7,1288,99631,54821,052
2015-09-29$9.52$9.7541.5%11.9%33.4%72.8%44.3%7.9%-0.8%185.6K-2.2M-78.5K0.8972.41N/AN/A5,9965,31632,14023,392
2015-09-30$9.86$9.7538.2%10.9%33.3%62.7%41.9%9.0%-2.7%264.0K-5.9M-81.2K0.8778.24N/AN/A6,3885,54032,22823,552