IBKR Options History — February 2016

In February 2016, IBKR traded between $7.53 and $8.73. ATM implied volatility averaged 37.7%, placing in the 54.2% IV rank vs the trailing year. The 30-day expected move averaged 10.7%. IV traded above realized volatility by 0.5% (HV 20d: 37.2%). Max pain ranged from $8.75 to $10.25. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 1.48.

Notable Days

  • 2016-02-01: Highest Volume — 11,480 contracts
  • 2016-02-08: Largest IV spike — 25.5% change
  • 2016-02-09: Highest IV Rank — 81.8%
  • 2016-02-09: Largest Expected Move — 13.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.09$7.53$8.73$8.18$8.57
Max Pain$10.03$8.75$10.25$8.75$10.25
ATM IV37.7%32.8%48.0%34.6%34.9%
Expected Move10.7%9.4%13.7%9.9%10.0%
HV 20d37.2%32.3%40.9%40.8%33.8%
HV 60d34.4%32.9%36.0%34.2%35.8%
IV Rank54.2%41.3%81.8%45.9%46.7%
IV Percentile82.3%67.9%98.0%79.4%75.0%
Term Structure-0.4%-6.1%1.8%-0.4%-0.4%
VWIV38.6%31.9%47.2%34.9%37.0%
Skew 25d6.8%5.1%10.0%5.7%5.1%
Skew 10d17.9%2.5%29.2%8.9%12.9%
Call IV 25d35.5%31.4%42.3%33.6%32.5%
Put IV 25d42.3%36.9%52.3%39.3%37.6%
Bid-Ask Spread %73.8262.5783.4362.5771.41
Gamma HHI0.110.090.180.180.09
Net GEX-171.5K-249.7K-77.5K-77.5K-96.0K
Net DEX21.0M17.6M24.2M20.8M18.1M
Net VEX-38.1K-47.4K-34.8K-39.6K-37.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.480.752.592.110.75
Total Volume6,965.25,27611,48011,4807,884
Total OI76,282.667,81283,40873,54870,220

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-02-01$8.18$8.7534.6%9.9%40.8%45.9%34.9%5.7%-0.4%-77.5K20.8M-39.6K2.1162.57N/AN/A3,6967,78426,04047,508
2016-02-02$7.96$8.7535.8%10.3%40.8%49.2%36.3%7.9%0.5%-210.5K20.5M-47.4K2.5969.70N/AN/A2,6366,82426,69248,772
2016-02-03$7.94$8.7537.3%10.7%40.5%53.1%40.6%6.4%-1.4%-142.8K21.6M-38.4K1.4372.06N/AN/A2,8644,09226,94049,352
2016-02-04$7.89$10.2536.9%10.2%39.3%52.1%36.7%6.8%0.0%-169.9K22.8M-36.8K1.7469.21N/AN/A2,5604,46027,11250,216
2016-02-05$7.75$10.2537.7%10.6%36.7%54.2%37.5%5.5%0.9%-219.1K23.0M-39.0K1.5074.64N/AN/A2,5563,82427,38850,860
2016-02-08$7.53$10.2547.3%12.0%37.3%79.9%41.2%7.5%-2.2%-220.1K24.2M-34.8K1.4168.86N/AN/A2,6923,79227,59651,056
2016-02-09$7.65$10.2548.0%13.7%38.3%81.8%44.9%10.0%-6.1%-199.6K23.9M-35.8K1.0873.52N/AN/A3,5283,80427,95251,196
2016-02-10$7.75$10.2540.0%11.5%38.8%60.4%42.6%6.4%0.2%-230.7K22.7M-41.5K1.5075.66N/AN/A2,4883,74428,83251,348
2016-02-11$7.63$10.2544.0%12.6%36.9%71.0%47.2%8.2%-2.5%-192.5K23.5M-38.9K1.8175.59N/AN/A2,5884,68428,72051,556
2016-02-12$7.67$10.2543.4%12.4%36.1%69.5%44.7%9.6%-0.8%-249.7K23.6M-38.2K1.2679.35N/AN/A2,8923,64028,94051,888
2016-02-16$7.95$10.2539.3%11.3%38.3%58.6%39.5%6.8%-1.1%-233.4K22.2M-39.2K1.0274.49N/AN/A3,2403,30029,55251,920
2016-02-17$8.27$10.2535.4%10.2%40.8%48.2%42.2%5.9%0.9%-164.1K20.8M-38.1K1.8477.80N/AN/A2,6244,82830,19251,864
2016-02-18$8.21$10.2535.0%10.0%40.9%47.2%37.2%6.8%1.0%-181.3K20.8M-37.4K1.6877.68N/AN/A2,2523,77230,52452,884
2016-02-19$8.36$10.2534.2%9.8%37.9%44.8%35.2%5.4%1.8%-153.2K19.2M-35.7K1.4583.43N/AN/A2,4243,50830,50852,884
2016-02-22$8.48$10.2533.8%9.7%35.9%43.8%35.3%5.9%1.3%-159.4K18.9M-38.0K1.6972.63N/AN/A1,9603,31620,49647,316
2016-02-23$8.41$10.2533.8%9.7%32.3%43.9%35.7%6.9%1.4%-142.8K18.9M-35.8K1.1170.41N/AN/A2,7123,02420,64847,516
2016-02-24$8.35$10.2535.9%10.3%32.3%49.4%35.8%6.9%0.7%-124.9K19.3M-36.0K1.0077.72N/AN/A2,8962,89621,49648,060
2016-02-25$8.58$10.2533.6%9.6%33.2%43.3%35.1%5.8%-1.3%-121.8K18.4M-35.8K1.4776.40N/AN/A2,4523,60021,53648,160
2016-02-26$8.73$10.2532.8%9.4%32.7%41.3%31.9%5.5%-0.4%-141.0K17.6M-38.6K1.1173.20N/AN/A3,5363,93221,52848,384
2016-02-29$8.57$10.2534.9%10.0%33.8%46.7%37.0%5.1%-0.4%-96.0K18.1M-37.9K0.7571.41N/AN/A4,5083,37622,40047,820