IBKR Options History — November 2015

In November 2015, IBKR traded between $10.31 and $10.95. ATM implied volatility averaged 30.2%, placing in the 41.0% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded below realized volatility by 3.8% (HV 20d: 34.1%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 0.98.

Notable Days

  • 2015-11-25: Highest Volume — 9,168 contracts
  • 2015-11-13: Largest IV spike — 8.3% change
  • 2015-11-13: Highest IV Rank — 48.6%
  • 2015-11-13: Largest Expected Move — 9.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.68$10.31$10.95$10.58$10.84
Max Pain$10.00$10.00$10.00$10.00$10.00
ATM IV30.2%27.8%32.6%30.6%30.1%
Expected Move8.6%8.0%9.4%8.8%8.6%
HV 20d34.1%26.3%38.8%38.8%26.3%
HV 60d35.8%32.5%38.1%36.9%32.5%
IV Rank41.0%33.3%48.6%42.2%40.6%
IV Percentile77.4%69.0%82.9%80.2%75.8%
Term Structure-0.4%-1.2%0.5%-0.6%-0.8%
VWIV32.1%29.1%36.8%32.3%31.1%
Skew 25d4.6%3.8%5.5%5.0%3.9%
Skew 10d12.4%4.5%27.7%27.7%7.8%
Call IV 25d29.0%26.6%31.5%29.9%28.6%
Put IV 25d33.6%31.3%36.0%34.9%32.5%
Bid-Ask Spread %54.5425.9371.2958.9628.98
Gamma HHI0.150.120.560.130.13
Net GEX914.0K701.1K3.0M701.1K853.9K
Net DEX-17.8M-22.0M-12.7M-16.7M-18.7M
Net VEX-60.8K-69.1K-51.1K-69.1K-62.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.980.181.810.670.69
Total Volume6,059.48609,1687,4442,328
Total OI59,988.654,16463,12857,17263,128

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-11-02$10.58$10.0030.6%8.8%38.8%42.2%32.3%5.0%-0.6%701.1K-16.7M-69.1K0.6758.96N/AN/A4,4562,98835,46421,708
2015-11-03$10.59$10.0030.6%8.8%36.9%42.3%32.5%4.0%-0.2%732.0K-17.3M-67.2K0.7842.22N/AN/A3,7162,89235,61222,000
2015-11-04$10.42$10.0029.8%8.6%37.6%39.7%33.6%4.7%-0.3%713.2K-14.9M-66.8K0.7136.51N/AN/A4,0642,88035,70422,200
2015-11-05$10.49$10.0030.5%8.8%37.3%41.9%30.4%4.6%-1.2%718.4K-15.3M-66.3K0.6356.05N/AN/A4,0362,54835,51622,452
2015-11-06$10.95$10.0029.4%8.5%38.6%38.3%31.7%4.5%-0.9%774.4K-22.0M-64.9K0.5471.29N/AN/A4,4842,42435,80822,500
2015-11-09$10.87$10.0031.8%8.7%38.8%45.9%32.6%3.8%-0.3%804.2K-21.2M-64.0K0.1853.84N/AN/A1,22422036,82023,928
2015-11-10$10.75$10.0030.4%8.5%37.5%41.4%33.2%4.7%0.0%839.6K-19.3M-62.8K1.5457.53N/AN/A3,1004,78036,90424,084
2015-11-11$10.81$10.0030.0%8.6%35.5%40.2%34.8%5.1%-0.7%873.8K-20.0M-63.0K1.4867.90N/AN/A3,1004,58437,07223,812
2015-11-12$10.49$10.0030.1%8.6%35.8%40.7%32.6%4.5%-0.5%832.5K-15.8M-60.8K1.4862.09N/AN/A2,7284,04437,21623,808
2015-11-13$10.31$10.0032.6%9.4%35.9%48.6%36.8%4.1%-0.8%724.3K-12.7M-62.3K1.4268.50N/AN/A2,7243,86437,15623,972
2015-11-16$10.39$10.0031.3%9.0%35.9%44.4%31.5%4.5%-0.3%767.6K-12.9M-60.7K0.7662.16N/AN/A48837237,23624,084
2015-11-17$10.46$10.0031.5%9.0%35.8%44.9%34.1%3.9%-0.4%832.0K-14.8M-57.6K1.7161.55N/AN/A2,4564,19237,34024,372
2015-11-18$10.76$10.0031.0%8.9%31.8%43.4%32.4%5.1%-0.1%975.7K-19.3M-56.2K1.0265.20N/AN/A3,9764,06437,40424,392
2015-11-19$10.69$10.0030.5%8.7%32.1%41.8%34.4%4.9%-0.5%1.0M-19.4M-55.5K1.8165.17N/AN/A2,2164,00838,44424,576
2015-11-20$10.75$10.0030.0%8.6%31.7%40.2%30.7%5.5%0.0%3.0M-19.6M-54.3K1.4559.46N/AN/A2,9084,20838,50424,564
2015-11-23$10.84$10.0029.9%8.6%31.4%39.8%29.6%4.1%0.5%706.3K-18.1M-51.1K0.2262.10N/AN/A1,23627632,56821,596
2015-11-24$10.84$10.0029.0%8.3%31.2%37.2%29.5%4.5%-0.5%755.8K-18.3M-51.1K0.8657.38N/AN/A3,9243,36833,15221,680
2015-11-25$10.89$10.0027.8%8.0%26.4%33.3%29.2%5.3%-0.0%826.8K-19.9M-58.0K0.9128.02N/AN/A4,8004,36835,76424,280
2015-11-27$10.89$10.0028.0%8.0%26.4%33.9%29.1%4.1%0.3%844.7K-20.2M-62.9K0.8425.93N/AN/A3,8763,26837,04425,908
2015-11-30$10.84$10.0030.1%8.6%26.3%40.6%31.1%3.9%-0.8%853.9K-18.7M-62.2K0.6928.98N/AN/A1,38094836,76426,364