IBKR Options History — October 2015

In October 2015, IBKR traded between $9.25 and $10.42. ATM implied volatility averaged 35.6%, placing in the 56.3% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded below realized volatility by 2.2% (HV 20d: 37.8%). Max pain ranged from $9.75 to $10.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 1.12.

Notable Days

  • 2015-10-08: Highest Volume — 13,552 contracts
  • 2015-10-12: Largest IV spike — 22.7% change
  • 2015-10-12: Highest IV Rank — 93.0%
  • 2015-10-02: Largest Expected Move — 11.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.87$9.25$10.42$9.83$10.31
Max Pain$9.81$9.75$10.00$9.75$10.00
ATM IV35.6%29.1%48.2%38.3%30.1%
Expected Move9.9%8.3%11.3%11.0%8.6%
HV 20d37.8%32.5%43.0%32.6%39.2%
HV 60d36.3%34.5%38.0%36.0%36.5%
IV Rank56.3%37.3%93.0%63.1%40.5%
IV Percentile88.7%79.8%99.2%94.4%80.2%
Term Structure-1.0%-3.0%0.3%0.2%0.2%
VWIV35.6%31.0%40.9%40.0%32.8%
Skew 25d5.3%2.2%7.9%4.3%5.5%
Skew 10d15.2%3.3%32.8%17.0%13.3%
Call IV 25d33.4%28.6%39.4%39.0%28.6%
Put IV 25d38.7%33.8%43.3%43.3%34.1%
Bid-Ask Spread %64.2948.4088.8881.3259.85
Gamma HHI0.150.130.180.150.14
Net GEX356.1K59.8K638.6K278.5K638.6K
Net DEX-6.6M-13.9M3.4M-5.8M-13.0M
Net VEX-74.1K-82.1K-66.9K-81.3K-71.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.120.682.100.850.80
Total Volume8,445.8181,77213,55211,8406,204
Total OI57,923.63650,62862,44456,42457,224

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-10-01$9.83$9.7538.3%11.0%32.6%63.1%40.0%4.3%0.2%278.5K-5.8M-81.3K0.8581.32N/AN/A6,3965,44432,77623,648
2015-10-02$9.78$9.7539.5%11.3%32.5%66.7%40.9%3.7%-1.0%266.2K-5.3M-82.1K1.3088.88N/AN/A5,1486,70433,86023,924
2015-10-05$10.08$9.7536.5%10.3%34.0%57.7%36.7%5.7%-1.5%352.7K-9.7M-81.2K2.1056.54N/AN/A5721,20034,16024,704
2015-10-06$9.78$9.7537.7%10.8%34.9%61.1%37.9%5.5%-1.9%275.6K-5.7M-81.3K0.9772.03N/AN/A6,1325,92034,50825,464
2015-10-07$9.84$9.7537.7%10.5%34.5%61.2%37.1%4.8%-1.3%305.6K-6.8M-81.8K1.1448.40N/AN/A4,6565,31635,56825,736
2015-10-08$9.98$9.7535.8%10.3%34.8%55.4%37.0%6.0%-1.6%388.4K-9.2M-81.5K1.3053.03N/AN/A5,8927,66036,37225,828
2015-10-09$9.75$9.7539.3%10.6%36.0%66.1%37.6%2.2%-1.9%350.5K-5.5M-79.6K1.4857.90N/AN/A3,5525,24036,45225,848
2015-10-12$9.76$9.7548.2%10.3%35.9%93.0%35.8%5.8%-1.5%353.3K-5.5M-77.1K1.2369.72N/AN/A3,9524,88036,40826,036
2015-10-13$9.50$9.7545.1%10.3%36.7%83.5%35.0%3.8%-1.1%260.4K-1.3M-71.8K1.2263.90N/AN/A3,9444,82035,97226,120
2015-10-14$9.25$9.7537.8%10.8%37.3%61.5%38.2%5.8%-1.2%59.8K3.4M-66.9K1.0861.56N/AN/A4,2964,63235,47226,568
2015-10-15$9.63$9.7534.2%9.8%40.1%50.8%38.4%5.8%-0.0%327.4K-2.3M-71.5K1.5362.44N/AN/A2,9804,56836,12826,216
2015-10-16$9.86$9.7535.5%10.2%40.9%57.7%36.5%5.8%-2.2%297.0K-9.0M-71.1K1.3958.23N/AN/A3,4164,76436,18025,884
2015-10-19$9.94$9.7534.4%9.9%40.6%54.4%35.8%5.4%-1.3%322.4K-7.3M-70.6K1.2560.71N/AN/A3,6044,49630,33620,292
2015-10-20$10.04$9.7535.3%10.1%40.1%57.0%38.0%4.7%-3.0%376.2K-8.2M-73.3K1.3663.81N/AN/A3,2764,44831,08820,728
2015-10-21$9.58$9.7534.3%9.8%42.9%53.8%34.3%7.9%-1.3%273.0K-2.8M-67.8K0.9472.38N/AN/A4,7044,42432,23620,656
2015-10-22$9.63$9.7531.2%9.0%43.0%44.2%33.0%6.0%-0.1%291.0K-3.6M-68.3K0.9461.47N/AN/A4,2764,00033,11621,168
2015-10-23$9.81$9.7531.4%9.0%42.4%44.8%31.0%5.6%-0.5%353.6K-5.4M-70.5K0.7760.38N/AN/A4,1883,24433,70421,520
2015-10-26$9.98$10.0031.4%9.0%37.3%44.6%32.1%6.7%-0.7%417.8K-7.6M-70.3K0.7762.79N/AN/A3,7882,93233,62821,580
2015-10-27$9.92$10.0031.4%9.0%37.3%44.6%31.2%5.1%0.0%421.0K-7.2M-70.2K0.8368.62N/AN/A3,5322,94833,84021,596
2015-10-28$10.42$10.0029.1%8.3%39.2%37.3%31.5%5.6%0.3%593.9K-13.9M-69.6K0.6873.16N/AN/A4,0082,72433,94021,588
2015-10-29$10.38$10.0029.9%8.6%39.2%39.9%32.7%4.5%-0.4%632.3K-13.9M-70.1K0.6857.17N/AN/A4,1122,81634,68421,564
2015-10-30$10.31$10.0030.1%8.6%39.2%40.5%32.8%5.5%0.2%638.6K-13.0M-71.3K0.8059.85N/AN/A3,4402,76435,50821,716