IBKR Options History — June 2016

In June 2016, IBKR traded between $8.46 and $10.06. ATM implied volatility averaged 30.2%, placing in the 28.2% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded above realized volatility by 0.6% (HV 20d: 29.6%). Max pain ranged from $9.00 to $9.75. Net GEX was positive for 9 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 2.51.

Notable Days

  • 2016-06-22: Highest Volume — 12,648 contracts
  • 2016-06-24: Largest IV spike — 26.8% change
  • 2016-06-28: Highest IV Rank — 63.2%
  • 2016-06-28: Largest Expected Move — 12.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.38$8.46$10.06$9.99$8.85
Max Pain$9.48$9.00$9.75$9.75$9.00
ATM IV30.2%25.7%42.3%26.2%32.5%
Expected Move8.7%7.4%12.1%7.5%9.3%
HV 20d29.6%24.1%37.4%26.7%37.4%
HV 60d28.0%26.5%31.8%26.7%31.5%
IV Rank28.2%15.0%63.2%19.2%34.3%
IV Percentile44.5%15.5%92.5%18.7%63.5%
Term Structure-0.4%-5.1%2.1%1.1%-0.2%
VWIV32.1%26.1%42.7%26.1%35.2%
Skew 25d4.7%2.1%11.9%2.6%3.2%
Skew 10d10.8%1.5%38.3%14.7%3.3%
Call IV 25d29.0%24.4%38.5%26.0%32.6%
Put IV 25d33.7%27.4%48.0%28.6%35.8%
Bid-Ask Spread %65.0246.2191.8246.2186.04
Gamma HHI0.230.110.600.200.17
Net GEX-154.5K-1.5M412.1K172.2K-157.5K
Net DEX1.5M-6.7M12.4M-5.4M5.2M
Net VEX-41.8K-59.4K-29.6K-44.6K-59.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.510.864.363.110.86
Total Volume7,414.9094,21612,6486,8124,352
Total OI65,266.54536,08078,61270,44861,184

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-06-01$9.99$9.7526.2%7.5%26.7%19.2%26.1%2.6%1.1%172.2K-5.4M-44.6K3.1146.21N/AN/A1,6565,15621,46048,988
2016-06-02$10.02$9.7525.8%7.7%25.6%18.2%27.4%4.6%0.7%242.5K-5.9M-44.1K3.5349.48N/AN/A1,4405,08421,59649,088
2016-06-03$9.80$9.7526.0%8.2%26.9%18.7%29.6%2.8%-0.4%78.5K-2.5M-43.3K3.3767.96N/AN/A2,1447,22021,71249,204
2016-06-06$10.05$9.7526.4%7.5%27.9%16.9%28.0%4.5%0.5%260.5K-6.2M-43.4K4.3666.69N/AN/A1,8648,12022,19652,672
2016-06-07$10.06$9.7525.7%7.7%27.9%15.0%28.0%4.3%1.0%303.9K-6.7M-41.6K3.8967.75N/AN/A1,7486,80822,29254,856
2016-06-08$10.06$9.7525.9%7.4%27.6%15.6%26.5%3.0%2.1%360.7K-6.5M-38.6K1.9351.27N/AN/A3,4446,66022,32054,852
2016-06-09$10.00$9.7526.2%7.5%27.5%16.4%26.8%3.2%1.4%412.1K-6.2M-40.0K3.4451.76N/AN/A1,9126,56822,51654,844
2016-06-10$9.74$9.7528.2%8.1%29.3%22.2%28.1%3.1%0.4%24.2K-973.8K-40.4K2.6459.24N/AN/A1,9405,11222,56454,880
2016-06-13$9.46$9.7530.6%8.8%30.2%29.2%31.8%5.9%-0.4%-512.2K3.1M-34.8K2.8065.47N/AN/A1,9365,42822,54854,848
2016-06-14$9.22$9.7532.0%9.2%31.7%33.2%36.6%5.2%-1.2%-1.0M8.8M-33.8K3.1062.51N/AN/A1,6965,26022,51254,936
2016-06-15$9.31$9.7531.6%9.1%31.8%32.1%36.3%5.1%-1.2%-1.2M6.9M-33.6K3.7379.58N/AN/A1,3765,12822,68855,112
2016-06-16$9.16$9.7531.2%9.0%29.2%31.1%34.5%5.9%-1.2%-1.5M10.0M-32.2K3.1459.47N/AN/A1,6605,21222,68455,612
2016-06-17$9.10$9.7530.8%8.8%28.8%29.7%37.1%6.0%0.4%-102.1K12.4M-31.7K3.4562.03N/AN/A1,5405,31622,75255,860
2016-06-20$9.16$9.7528.1%8.0%27.5%21.9%28.5%2.1%1.4%-107.8K2.2M-29.6K0.9662.41N/AN/A2,8802,7728,70027,380
2016-06-21$9.10$9.0029.3%8.4%27.5%25.6%28.9%2.9%0.4%-42.7K1.9M-32.7K1.4646.67N/AN/A1,8802,74810,81627,676
2016-06-22$9.17$9.0029.6%8.5%24.1%26.3%29.8%6.2%-1.1%-10.6K1.2M-34.3K1.4453.26N/AN/A5,1887,46011,74027,904
2016-06-23$9.42$9.0026.9%7.7%25.2%17.8%28.7%5.9%-0.4%52.1K-1.3M-44.4K1.3583.91N/AN/A3,5084,72415,36431,864
2016-06-24$8.93$9.0034.1%9.8%31.0%38.9%37.0%4.5%-1.4%-13.4K2.7M-48.4K2.9791.82N/AN/A2,8008,30417,22833,956
2016-06-27$8.46$9.0040.6%11.6%34.7%58.1%42.7%6.4%-4.2%-186.3K7.7M-53.1K1.4960.81N/AN/A2,4763,70018,38438,460
2016-06-28$8.56$9.0042.3%12.1%35.2%63.2%42.7%11.9%-5.1%-210.0K7.8M-55.8K1.2776.10N/AN/A2,0642,62819,23640,232
2016-06-29$8.80$9.0033.5%9.6%37.4%37.3%35.2%4.0%-1.9%-183.2K5.8M-59.4K0.9479.99N/AN/A2,1762,04019,40840,740
2016-06-30$8.85$9.0032.5%9.3%37.4%34.3%35.2%3.2%-0.2%-157.5K5.2M-59.0K0.8686.04N/AN/A2,3402,01220,10841,076