IBKR Options History — May 2016

In May 2016, IBKR traded between $8.97 and $10.05. ATM implied volatility averaged 27.7%, placing in the 26.8% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 0.3% (HV 20d: 27.4%). Max pain ranged from $9.50 to $10.00. Net GEX was positive for 4 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 4.23.

Notable Days

  • 2016-05-03: Highest Volume — 12,680 contracts
  • 2016-05-31: Largest IV spike — 7.4% change
  • 2016-05-05: Highest IV Rank — 34.7%
  • 2016-05-04: Largest Expected Move — 8.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.41$8.97$10.05$9.68$10.05
Max Pain$9.60$9.50$10.00$10.00$9.75
ATM IV27.7%24.5%30.4%28.4%26.3%
Expected Move7.8%7.0%8.7%8.1%7.5%
HV 20d27.4%22.3%31.7%29.7%28.6%
HV 60d28.5%27.0%29.9%29.6%27.0%
IV Rank26.8%14.4%34.7%29.4%19.5%
IV Percentile32.0%12.3%55.2%38.1%19.8%
Term Structure1.3%-2.6%2.4%-1.3%0.9%
VWIV28.0%25.3%31.1%30.2%26.4%
Skew 25d3.6%1.2%5.0%4.8%1.2%
Skew 10d8.4%-7.0%17.8%7.4%13.5%
Call IV 25d26.7%23.8%29.6%27.7%27.0%
Put IV 25d30.2%27.1%34.6%32.5%28.3%
Bid-Ask Spread %49.3422.3988.3342.3822.39
Gamma HHI0.250.200.310.220.20
Net GEX-651.4K-1.4M188.1K-629.1K188.1K
Net DEX7.0M-6.3M16.6M3.7M-6.3M
Net VEX-55.9K-66.7K-44.9K-66.7K-44.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.231.186.214.903.06
Total Volume10,194.4765,96012,68012,6566,828
Total OI73,070.28664,90875,91673,25270,308

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-05-02$9.68$10.0028.4%8.1%29.7%29.4%30.2%4.8%-1.3%-629.1K3.7M-66.7K4.9042.38N/AN/A2,14410,51218,64454,608
2016-05-03$9.42$10.0029.9%8.6%30.2%33.5%29.1%3.0%-2.6%-730.2K7.5M-66.7K4.4238.94N/AN/A2,34010,34018,94054,684
2016-05-04$9.26$10.0030.3%8.7%29.9%34.5%29.9%5.0%-1.9%-808.4K10.3M-65.0K4.4652.70N/AN/A2,1489,58819,02455,104
2016-05-05$9.18$9.5030.4%8.2%27.5%34.7%31.1%3.8%2.0%-816.4K11.6M-64.4K5.5683.24N/AN/A1,84410,24819,11655,164
2016-05-06$9.22$9.5029.6%7.8%27.5%32.8%28.4%3.8%2.2%-868.3K11.1M-63.1K5.9038.38N/AN/A1,6569,76819,19255,528
2016-05-09$9.20$9.5029.2%7.9%26.7%31.4%28.3%3.9%2.0%-913.2K11.5M-60.5K6.2141.12N/AN/A1,5849,83219,18855,452
2016-05-10$9.34$9.5029.0%7.8%27.1%30.9%28.3%3.8%2.3%-983.3K9.4M-63.6K5.7341.50N/AN/A1,6929,69619,18855,588
2016-05-11$9.26$9.5027.1%7.8%23.3%25.9%27.8%2.1%2.3%-1.0M10.2M-58.7K6.0240.61N/AN/A1,6169,73219,34855,612
2016-05-12$9.21$9.5028.0%8.0%23.2%28.4%28.0%2.5%1.6%-1.0M11.5M-57.2K6.1442.42N/AN/A1,68410,33219,37255,604
2016-05-13$8.99$9.5028.1%8.0%24.2%28.5%29.5%3.3%2.0%-885.5K15.2M-54.6K5.5938.02N/AN/A1,7809,94819,42055,896
2016-05-16$8.99$9.5028.2%8.1%22.3%28.9%27.8%3.1%1.8%-924.3K15.8M-53.5K5.7440.40N/AN/A1,6969,74019,52455,860
2016-05-17$8.97$9.5027.6%7.9%22.3%27.3%29.8%4.1%1.9%-888.7K16.6M-53.1K5.4166.46N/AN/A1,7569,50419,47256,020
2016-05-18$9.33$9.5028.2%8.1%27.1%28.8%27.6%4.6%1.2%-1.4M10.7M-56.9K4.5480.58N/AN/A2,1569,79619,57656,152
2016-05-19$9.19$9.5027.6%7.9%27.4%27.2%28.5%4.0%1.9%-1.1M12.7M-52.0K2.0784.66N/AN/A1,9404,02019,85656,060
2016-05-20$9.41$9.5025.9%7.4%29.2%22.7%27.5%4.9%2.4%-473.4K9.8M-53.3K2.4740.68N/AN/A1,9484,80419,86055,928
2016-05-23$9.41$9.5026.5%7.6%28.5%24.3%26.5%3.3%1.7%-498.0K3.0M-47.3K2.0042.19N/AN/A2,4844,98017,68047,228
2016-05-24$9.76$9.5025.3%7.3%30.9%19.5%25.3%3.9%2.4%-226.5K-1.4M-48.4K1.1840.47N/AN/A3,9684,67618,55247,184
2016-05-25$9.95$9.5025.8%7.4%31.7%20.8%25.6%3.8%1.2%20.0K-5.3M-47.1K1.4740.51N/AN/A4,4006,47220,72847,812
2016-05-26$9.87$9.5025.4%7.3%29.5%19.0%27.8%3.3%1.1%84.7K-4.8M-49.6K2.9430.24N/AN/A1,7885,25622,96848,896
2016-05-27$10.00$9.7524.5%7.0%29.2%14.4%25.7%3.3%1.4%160.7K-5.5M-46.8K2.9988.33N/AN/A1,8525,53621,22448,916
2016-05-31$10.05$9.7526.3%7.5%28.6%19.5%26.4%1.2%0.9%188.1K-6.3M-44.9K3.0622.39N/AN/A1,6805,14821,27649,032