IBKR Options History — March 2016

In March 2016, IBKR traded between $8.91 and $9.84. ATM implied volatility averaged 30.0%, placing in the 33.8% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded below realized volatility by 0.7% (HV 20d: 30.7%). Max pain ranged from $9.00 to $10.25. Net GEX was positive for 2 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 2.20.

Notable Days

  • 2016-03-22: Highest Volume — 14,168 contracts
  • 2016-03-02: Largest IV drop — 7.1% change
  • 2016-03-01: Highest IV Rank — 41.0%
  • 2016-03-08: Largest Expected Move — 9.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.54$8.91$9.84$8.91$9.84
Max Pain$9.58$9.00$10.25$10.25$9.75
ATM IV30.0%27.7%32.7%32.7%30.0%
Expected Move8.7%7.9%9.4%9.4%8.6%
HV 20d30.7%26.3%34.1%34.1%26.3%
HV 60d36.9%35.8%37.9%36.8%36.3%
IV Rank33.8%27.5%41.0%41.0%33.6%
IV Percentile54.1%40.1%67.1%67.1%52.8%
Term Structure-0.6%-1.9%3.0%-0.5%-1.8%
VWIV31.6%27.3%36.6%34.8%30.2%
Skew 25d4.8%2.2%7.7%7.7%4.2%
Skew 10d14.5%-0.7%23.9%23.9%11.0%
Call IV 25d28.3%24.4%30.8%30.8%27.0%
Put IV 25d33.1%29.9%38.5%38.5%31.2%
Bid-Ask Spread %56.9223.0683.0276.1238.00
Gamma HHI0.220.090.370.090.24
Net GEX-189.1K-527.9K36.4K-64.7K-233.5K
Net DEX6.3M-2.5M16.5M16.5M-688.1K
Net VEX-57.6K-72.5K-39.9K-41.3K-68.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.200.918.471.162.39
Total Volume7,754.3644,42014,1686,5524,784
Total OI68,77440,70083,21271,78454,888

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-03-01$8.91$10.2532.7%9.4%34.1%41.0%34.8%7.7%-0.5%-64.7K16.5M-41.3K1.1676.12N/AN/A3,0363,51623,74848,036
2016-03-02$8.91$10.2530.4%8.7%32.1%34.8%34.1%5.0%3.0%-33.6K16.1M-39.9K1.5966.80N/AN/A4,0286,40423,92848,244
2016-03-03$9.26$9.0029.2%8.8%33.9%31.6%30.1%5.7%-0.8%-176.1K12.9M-47.7K1.4564.85N/AN/A5,7248,32024,72449,020
2016-03-04$9.47$9.2529.8%9.0%33.9%33.2%33.5%3.6%-1.2%-287.0K9.0M-54.7K1.2359.80N/AN/A5,1166,31226,33249,688
2016-03-07$9.68$9.2531.2%9.0%32.6%37.0%35.5%6.1%-0.9%-527.9K7.5M-59.3K0.9160.73N/AN/A5,3764,88026,61651,492
2016-03-08$9.58$9.2532.2%9.4%30.0%39.6%36.6%5.5%-1.5%-372.6K7.4M-61.3K1.3477.45N/AN/A3,7044,96428,78451,996
2016-03-09$9.46$9.2531.9%9.1%31.2%38.7%34.5%4.4%-1.3%-206.7K9.3M-58.7K1.4256.89N/AN/A2,9844,23229,00452,580
2016-03-10$9.50$9.2532.3%9.3%31.2%39.9%34.0%6.5%-1.9%-222.3K8.9M-57.7K1.8268.21N/AN/A2,3444,25628,89652,656
2016-03-11$9.75$9.5030.9%8.8%30.1%36.0%32.5%6.5%-1.1%-452.1K6.8M-59.0K1.7258.23N/AN/A2,2003,77629,05252,692
2016-03-14$9.68$9.5029.4%8.4%30.8%32.2%31.6%5.2%-0.2%-286.9K7.4M-56.1K1.7423.06N/AN/A2,2403,90829,24852,744
2016-03-15$9.50$9.5030.5%8.8%31.2%35.1%30.9%4.7%-1.6%-30.3K9.7M-53.8K1.9732.33N/AN/A2,2124,34829,07653,164
2016-03-16$9.47$9.5030.5%8.7%29.3%35.0%30.5%5.2%-1.2%-13.3K9.6M-53.6K1.9683.02N/AN/A2,2804,47229,26853,784
2016-03-17$9.44$9.5029.2%8.4%29.1%31.6%29.0%2.7%-0.5%36.4K10.2M-51.7K1.6673.98N/AN/A2,3123,83629,08053,732
2016-03-18$9.79$9.5027.7%7.9%30.7%27.5%29.5%6.7%0.1%3.6K5.9M-51.6K1.9370.81N/AN/A2,6605,12829,19654,016
2016-03-21$9.70$9.7528.9%8.3%31.2%30.8%28.8%2.8%0.5%-19.4K-2.0M-52.3K2.1863.84N/AN/A1,3923,02814,19626,504
2016-03-22$9.71$9.7528.1%8.1%30.8%28.7%27.3%6.3%0.1%-267-2.5M-52.1K8.4756.96N/AN/A1,49612,67214,55626,756
2016-03-23$9.55$9.7528.7%8.2%31.5%30.3%28.0%3.3%0.1%-188.8K1.1M-64.8K3.7049.18N/AN/A2,0567,61614,89633,776
2016-03-24$9.58$9.7529.6%8.5%30.6%32.5%29.6%2.2%0.8%-297.4K2.6M-72.5K2.1140.97N/AN/A2,0564,33615,29638,232
2016-03-28$9.65$9.7530.0%8.6%30.3%33.7%31.6%2.5%-1.3%-294.1K1.7M-71.3K2.5640.44N/AN/A1,6404,19615,37238,636
2016-03-29$9.75$9.7527.9%8.0%28.9%28.1%31.8%4.7%-0.4%-255.4K672.9K-70.3K2.5658.58N/AN/A1,5443,95215,51238,840
2016-03-30$9.81$9.7529.6%8.5%26.3%32.8%30.0%3.1%-1.7%-237.8K-195.9K-69.6K2.5731.97N/AN/A1,4723,78815,80438,968
2016-03-31$9.84$9.7530.0%8.6%26.3%33.6%30.2%4.2%-1.8%-233.5K-688.1K-68.8K2.3938.00N/AN/A1,4123,37215,88039,008