IBKR Options History — January 2016

In January 2016, IBKR traded between $7.87 and $10.63. ATM implied volatility averaged 40.8%, placing in the 65.8% IV rank vs the trailing year. The 30-day expected move averaged 10.7%. IV traded above realized volatility by 5.5% (HV 20d: 35.3%). Max pain ranged from $8.75 to $11.00. Net GEX was positive for 2 of 19 trading days. Term structure was in contango for 1 of 19 days. Put/call ratio averaged 1.35.

Notable Days

  • 2016-01-07: Highest Volume — 13,940 contracts
  • 2016-01-05: Largest IV spike — 33.3% change
  • 2016-01-11: Highest IV Rank — 100.0%
  • 2016-01-15: Largest Expected Move — 12.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.74$7.87$10.63$10.63$7.88
Max Pain$9.87$8.75$11.00$11.00$8.75
ATM IV40.8%35.1%54.8%36.1%36.4%
Expected Move10.7%9.1%12.4%9.1%10.4%
HV 20d35.3%30.8%38.1%30.9%36.6%
HV 60d33.3%31.3%35.2%31.3%33.2%
IV Rank65.8%47.4%100.0%59.6%50.7%
IV Percentile91.5%82.5%100.0%90.5%84.9%
Term Structure-2.1%-7.1%0.3%-1.8%-1.0%
VWIV36.5%31.5%42.4%31.5%33.3%
Skew 25d6.6%4.2%9.8%4.2%6.3%
Skew 10d12.6%6.2%21.2%10.0%18.3%
Call IV 25d35.4%30.4%40.4%30.9%34.5%
Put IV 25d42.0%35.0%50.2%35.1%40.9%
Bid-Ask Spread %55.6837.7674.6740.5368.59
Gamma HHI0.180.120.260.170.12
Net GEX-192.7K-496.0K181.5K181.5K-136.4K
Net DEX17.4M-3.8M25.2M-3.8M21.6M
Net VEX-41.6K-75.1K-28.7K-75.1K-36.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.350.682.520.742.52
Total Volume7,724.2115,08813,9405,0889,744
Total OI68,742.31651,95679,29669,28070,632

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-01-04$10.63$11.0036.1%9.1%30.9%59.6%31.5%4.2%-1.8%181.5K-3.8M-75.1K0.7440.53N/AN/A2,9282,16030,59638,684
2016-01-05$10.31$11.0048.1%9.2%30.8%98.0%33.3%4.7%-1.0%83.9K548.6K-71.1K0.7767.70N/AN/A2,9362,25230,60038,760
2016-01-06$9.90$11.0035.8%9.6%33.4%58.8%31.8%4.7%-2.6%-63.3K8.9M-64.0K0.7244.38N/AN/A3,1362,26030,82038,852
2016-01-07$9.42$11.0039.3%10.5%36.9%70.0%38.8%6.7%-1.9%-178.1K14.9M-52.5K1.6148.35N/AN/A5,3408,60031,13639,268
2016-01-08$9.33$10.7543.8%10.6%36.5%84.2%38.6%7.6%-1.4%-368.3K16.7M-55.3K1.0254.40N/AN/A3,4483,50032,81643,408
2016-01-11$9.12$10.7554.8%10.7%36.7%100.0%38.0%7.1%-2.6%-496.0K19.8M-46.6K1.7060.83N/AN/A2,3043,91232,96843,656
2016-01-12$8.95$10.7552.9%10.4%35.5%94.9%35.7%7.2%-2.0%-495.4K22.0M-41.6K1.1350.00N/AN/A2,8003,17633,05243,864
2016-01-13$8.59$10.5041.3%11.9%37.5%64.0%38.2%7.7%-2.9%-352.5K23.3M-34.7K0.9367.64N/AN/A2,9442,74033,39644,384
2016-01-14$8.74$10.5041.8%12.0%36.5%65.3%42.0%8.4%-7.1%-472.2K23.1M-37.1K1.5767.84N/AN/A2,6644,17233,67244,432
2016-01-15$8.52$10.2543.1%12.4%33.0%68.6%42.4%9.8%-3.8%-276.1K25.2M-31.3K1.6944.17N/AN/A2,5684,33233,79645,500
2016-01-19$8.38$10.0039.8%11.4%33.0%60.0%39.7%6.2%-2.7%-254.0K19.1M-31.2K0.8851.97N/AN/A5,4884,81615,82836,128
2016-01-20$8.36$8.7539.5%11.3%32.2%59.1%37.5%5.7%-1.7%-186.4K18.6M-33.7K0.6837.76N/AN/A5,3403,62819,52437,748
2016-01-21$7.99$8.7539.6%11.4%33.7%59.4%39.4%7.2%-2.9%-109.6K19.0M-31.3K0.8242.96N/AN/A5,3484,36822,19238,064
2016-01-22$8.29$8.7535.1%10.1%37.3%47.4%36.7%6.9%-0.6%-100.7K19.2M-31.3K1.4943.95N/AN/A3,2124,78822,50439,732
2016-01-25$7.95$8.7537.8%10.8%38.1%54.6%37.5%5.3%-1.2%-114.5K20.2M-29.2K1.9967.24N/AN/A2,4324,82823,21640,332
2016-01-26$7.89$8.7536.5%10.5%37.6%51.1%33.0%6.9%-1.8%-119.3K20.7M-28.7K1.3259.74N/AN/A3,0524,03223,46840,948
2016-01-27$7.99$8.7535.9%10.3%37.9%49.5%33.4%6.9%-1.2%-91.3K20.2M-30.1K1.6374.67N/AN/A2,7724,51624,46041,180
2016-01-28$7.87$8.7537.8%10.8%36.5%54.5%33.1%5.7%0.3%-112.1K20.8M-29.1K2.5265.25N/AN/A2,9087,31624,68041,808
2016-01-29$7.88$8.7536.4%10.4%36.6%50.7%33.3%6.3%-1.0%-136.4K21.6M-36.3K2.5268.59N/AN/A2,7726,97224,97245,660