IBKR Options History — December 2015

In December 2015, IBKR traded between $10.30 and $11.16. ATM implied volatility averaged 29.8%, placing in the 39.5% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded above realized volatility by 2.5% (HV 20d: 27.3%). 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 11 of 22 days. Put/call ratio averaged 1.86.

Notable Days

  • 2015-12-07: Highest Volume — 20,140 contracts
  • 2015-12-11: Largest IV spike — 24.2% change
  • 2015-12-11: Highest IV Rank — 58.5%
  • 2015-12-11: Largest Expected Move — 10.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.76$10.30$11.16$11.07$10.93
Max Pain$9.77$9.75$10.00$10.00$9.75
ATM IV29.8%26.8%35.7%29.1%30.1%
Expected Move8.5%7.7%10.2%8.4%8.6%
HV 20d27.3%22.9%30.7%25.8%29.6%
HV 60d33.0%30.8%35.2%32.8%30.8%
IV Rank39.5%29.9%58.5%37.5%40.4%
IV Percentile71.0%54.4%90.1%72.2%72.6%
Term Structure-0.1%-6.1%2.6%-0.6%-1.0%
VWIV30.1%26.7%36.6%28.5%28.7%
Skew 25d4.4%2.1%6.7%4.2%6.2%
Skew 10d12.8%3.8%24.6%18.8%19.4%
Call IV 25d27.8%25.4%33.4%27.7%26.3%
Put IV 25d32.2%29.3%38.4%31.8%32.4%
Bid-Ask Spread %57.4327.1078.6327.1073.99
Gamma HHI0.150.130.180.130.17
Net GEX481.1K55.5K923.2K883.8K300.4K
Net DEX-11.0M-23.8M-1.1M-21.7M-9.3M
Net VEX-79.2K-93.6K-62.7K-62.7K-76.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.860.2117.510.210.76
Total Volume7,629.4553,47220,1403,4725,256
Total OI76,021.27364,25692,12464,62068,704

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-12-01$11.07$10.0029.1%8.4%25.8%37.5%28.5%4.2%-0.6%883.8K-21.7M-62.7K0.2127.10N/AN/A2,86460837,43627,184
2015-12-02$11.00$10.0029.6%8.5%25.9%38.9%29.0%2.1%-1.2%923.2K-22.3M-65.0K0.7127.89N/AN/A4,6563,30038,87227,624
2015-12-03$10.87$9.7531.7%8.4%25.6%45.6%30.6%2.7%0.0%872.5K-19.5M-67.0K0.9237.72N/AN/A3,5763,27639,19227,928
2015-12-04$11.16$9.7527.1%7.8%27.0%31.0%29.1%4.1%0.4%903.4K-23.8M-64.7K0.8367.88N/AN/A3,9363,25239,01628,280
2015-12-07$11.05$9.7531.3%8.3%22.9%44.5%30.8%4.3%0.1%909.9K-21.6M-64.1K17.5132.20N/AN/A1,08819,05238,99228,608
2015-12-08$10.93$9.7530.4%8.2%23.2%41.4%29.8%3.1%-0.1%623.0K-16.0M-87.4K3.7661.69N/AN/A3,13211,78039,56846,856
2015-12-09$10.70$9.7529.1%8.3%24.1%37.3%32.0%2.6%0.9%541.3K-11.5M-90.4K2.6066.04N/AN/A3,7809,84439,84047,292
2015-12-10$10.74$9.7528.8%8.2%24.0%36.3%31.0%3.0%0.5%568.2K-12.4M-91.6K2.9864.21N/AN/A3,1649,42039,97647,976
2015-12-11$10.37$9.7535.7%10.2%24.9%58.5%35.1%5.3%-6.1%376.9K-5.1M-93.6K1.1260.38N/AN/A2,9323,27640,44048,100
2015-12-14$10.30$9.7535.2%10.1%24.2%56.8%36.6%5.0%-3.0%369.6K-2.8M-87.1K0.7768.25N/AN/A3,7842,90440,72049,072
2015-12-15$10.58$9.7532.5%9.3%25.9%48.3%32.1%5.2%-2.0%462.3K-8.5M-88.6K0.7760.31N/AN/A3,9243,00441,58049,588
2015-12-16$10.95$9.7528.9%8.3%28.4%36.7%29.6%4.1%-0.6%549.1K-16.7M-84.1K0.7778.63N/AN/A4,0923,15241,26849,956
2015-12-17$10.74$9.7529.1%8.3%27.7%37.5%31.2%5.6%-0.1%543.3K-14.1M-83.3K0.6476.81N/AN/A4,3642,80841,95250,172
2015-12-18$10.39$9.7529.8%8.6%29.9%39.8%32.7%4.3%-0.0%61.2K-5.8M-83.7K0.7178.20N/AN/A4,1802,96441,65650,296
2015-12-21$10.46$9.7529.3%8.4%29.9%38.2%29.5%6.2%1.1%55.5K-1.1M-80.7K0.5970.67N/AN/A3,8962,28427,34036,916
2015-12-22$10.58$9.7529.1%8.4%30.1%37.5%28.4%2.8%1.8%134.6K-2.9M-81.4K0.7463.98N/AN/A2,8122,08828,54837,292
2015-12-23$10.64$9.7527.8%8.0%30.2%33.2%27.2%6.2%2.6%237.2K-3.0M-79.5K0.7758.07N/AN/A2,6081,99628,81637,364
2015-12-24$10.68$9.7527.8%8.0%30.2%33.3%26.7%4.5%1.7%194.9K-4.8M-80.8K0.7953.69N/AN/A2,4161,90429,02437,464
2015-12-28$10.79$9.7526.8%7.7%30.4%29.9%27.1%6.7%2.1%315.2K-4.7M-77.8K0.9444.03N/AN/A2,3122,18429,17637,568
2015-12-29$10.93$9.7528.5%8.2%30.7%35.4%29.4%4.1%-0.2%372.5K-7.3M-76.4K1.1548.33N/AN/A2,2122,54829,31637,768
2015-12-30$10.93$9.7527.1%7.8%29.7%31.0%27.9%4.0%1.5%387.1K-7.4M-76.0K0.9243.39N/AN/A2,7122,50829,36038,372
2015-12-31$10.93$9.7530.1%8.6%29.6%40.4%28.7%6.2%-1.0%300.4K-9.3M-76.7K0.7673.99N/AN/A2,9802,27630,22438,480