IBKR Options History — April 2016

In April 2016, IBKR traded between $9.39 and $10.06. ATM implied volatility averaged 28.7%, placing in the 30.1% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded above realized volatility by 2.2% (HV 20d: 26.5%). Max pain ranged from $9.50 to $10.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 0 of 21 days. Put/call ratio averaged 5.20.

Notable Days

  • 2016-04-21: Highest Volume — 19,004 contracts
  • 2016-04-11: Largest IV spike — 29.0% change
  • 2016-04-11: Highest IV Rank — 55.0%
  • 2016-04-19: Largest Expected Move — 8.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.81$9.39$10.06$9.99$9.49
Max Pain$9.76$9.50$10.00$9.75$10.00
ATM IV28.7%25.3%38.0%27.4%28.8%
Expected Move8.1%7.4%8.8%7.8%8.3%
HV 20d26.5%23.5%29.5%23.6%29.2%
HV 60d32.0%29.0%35.9%35.9%29.5%
IV Rank30.1%21.1%55.0%26.6%30.6%
IV Percentile41.7%25.8%85.7%34.5%40.5%
Term Structure-1.2%-2.4%-0.2%-0.2%-1.1%
VWIV29.4%25.1%33.1%29.8%28.0%
Skew 25d4.0%2.3%7.1%7.1%5.4%
Skew 10d9.8%0.7%23.6%19.6%3.6%
Call IV 25d27.6%25.0%29.8%25.2%27.1%
Put IV 25d31.6%28.1%34.5%32.4%32.6%
Bid-Ask Spread %51.6640.1870.0560.8649.11
Gamma HHI0.230.200.270.230.23
Net GEX-347.0K-697.7K-101.2K-196.3K-697.7K
Net DEX272.6K-2.7M6.1M-1.6M6.1M
Net VEX-69.4K-75.8K-65.2K-68.3K-69.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.202.079.772.294.85
Total Volume11,738.2865,16819,0045,34814,120
Total OI66,437.71455,44873,73255,44873,732

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-04-01$9.99$9.7527.4%7.8%23.6%26.6%29.8%7.1%-0.2%-196.3K-1.6M-68.3K2.2960.86N/AN/A1,6243,72415,96839,480
2016-04-04$9.83$9.5030.1%8.3%23.5%33.9%29.1%3.7%-1.3%-201.2K-603.3K-67.3K2.0751.18N/AN/A1,6923,50816,44839,580
2016-04-05$9.62$9.5027.4%8.5%23.7%26.6%29.0%3.9%-1.6%-269.1K1.3M-67.9K2.4056.86N/AN/A1,5203,64816,55639,744
2016-04-06$9.79$9.5025.3%8.4%24.3%21.1%29.7%3.8%-1.3%-236.7K-25.8K-67.6K2.5152.48N/AN/A1,4803,71616,55640,268
2016-04-07$9.46$9.5028.2%8.7%27.0%28.9%31.2%4.3%-1.5%-341.8K3.8M-69.2K6.7046.40N/AN/A1,78811,97616,69240,480
2016-04-08$9.39$9.5029.4%8.4%27.1%32.2%31.6%4.9%-1.1%-452.4K5.0M-75.8K5.2750.17N/AN/A1,8329,64817,28448,484
2016-04-11$9.54$9.5038.0%8.5%26.1%55.0%30.3%4.5%-1.6%-396.2K2.7M-70.7K3.7354.15N/AN/A2,75610,27617,58448,928
2016-04-12$9.63$9.5033.3%8.3%26.2%42.6%31.9%3.4%-1.4%-342.0K2.1M-74.3K4.1047.68N/AN/A2,77611,37618,40449,468
2016-04-13$9.98$9.5028.5%8.2%28.2%29.8%33.0%4.0%-2.1%-107.8K-2.4M-70.8K4.6853.68N/AN/A2,16410,12418,44449,116
2016-04-14$9.89$9.7529.2%8.4%28.4%31.5%31.4%3.7%-1.4%-101.2K-1.7M-69.5K3.7248.40N/AN/A2,5729,57618,62049,436
2016-04-15$9.85$9.7529.5%8.5%28.4%32.5%29.4%4.0%-1.6%-261.0K-1.2M-70.1K2.8659.01N/AN/A3,1969,13619,05249,524
2016-04-18$10.06$9.7529.5%8.4%26.4%32.3%31.0%4.4%-2.4%-193.6K-2.7M-67.5K5.7552.43N/AN/A1,5248,75617,26846,488
2016-04-19$9.97$10.0030.6%8.8%26.3%35.4%33.1%4.1%-2.2%-199.0K-2.5M-65.2K8.0346.40N/AN/A1,92415,45217,63246,752
2016-04-20$10.04$10.0026.9%7.7%26.4%25.5%28.7%4.3%-1.5%-401.0K-1.9M-67.6K7.3552.36N/AN/A2,03214,93617,69652,856
2016-04-21$10.02$10.0026.4%7.6%25.6%24.0%28.4%3.8%-0.7%-395.6K-1.8M-67.7K9.7748.91N/AN/A1,76417,24018,06852,876
2016-04-22$10.04$10.0025.9%7.4%25.6%22.8%25.9%3.2%-0.3%-421.0K-1.8M-70.7K6.5349.18N/AN/A1,65210,78418,22454,616
2016-04-25$9.83$10.0027.6%7.9%26.8%27.2%27.5%2.7%-0.3%-520.8K920.8K-69.1K6.3043.34N/AN/A1,72010,83618,26454,700
2016-04-26$9.99$10.0026.3%7.5%27.1%23.7%26.5%3.1%-1.0%-440.2K-1.1M-69.9K5.6052.00N/AN/A1,7809,97218,40054,688
2016-04-27$9.95$10.0026.5%7.6%27.1%24.3%27.3%2.3%-0.3%-467.8K-842.2K-69.1K8.3270.05N/AN/A1,1569,62018,60454,724
2016-04-28$9.63$10.0027.2%7.8%29.5%26.3%25.1%3.2%-0.7%-644.8K4.0M-69.5K6.3240.18N/AN/A1,5209,60818,58454,904
2016-04-29$9.49$10.0028.8%8.3%29.2%30.6%28.0%5.4%-1.1%-697.7K6.1M-69.7K4.8549.11N/AN/A2,41211,70818,66055,072