IBKR Options History — July 2016

In July 2016, IBKR traded between $8.51 and $9.34. ATM implied volatility averaged 28.8%, placing in the 22.4% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded below realized volatility by 8.9% (HV 20d: 37.7%). Max pain ranged from $8.75 to $9.00. Net GEX was positive for 1 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 1.02.

Notable Days

  • 2016-07-20: Highest Volume — 11,704 contracts
  • 2016-07-05: Largest IV spike — 27.0% change
  • 2016-07-05: Highest IV Rank — 51.0%
  • 2016-07-06: Largest Expected Move — 9.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.86$8.51$9.34$8.77$8.73
Max Pain$8.94$8.75$9.00$9.00$9.00
ATM IV28.8%23.3%38.2%30.1%23.9%
Expected Move8.1%6.7%9.6%8.6%6.8%
HV 20d37.7%32.8%45.0%37.0%32.8%
HV 60d31.9%30.7%34.0%30.8%32.4%
IV Rank22.4%4.7%51.0%27.1%4.7%
IV Percentile33.5%1.2%84.9%48.0%1.2%
Term Structure-0.8%-2.4%0.7%0.5%-0.1%
VWIV28.9%22.2%35.6%35.6%22.4%
Skew 25d4.0%2.4%6.5%3.6%4.8%
Skew 10d9.7%0.9%20.5%16.1%11.6%
Call IV 25d27.1%22.2%32.5%30.8%23.2%
Put IV 25d31.1%25.8%36.8%34.4%28.1%
Bid-Ask Spread %54.4825.3491.2591.2525.34
Gamma HHI0.210.160.260.180.25
Net GEX-191.5K-347.2K58.8K-167.4K-328.4K
Net DEX5.1M-1.7M9.1M6.3M7.4M
Net VEX-58.5K-62.2K-50.6K-56.5K-56.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.020.651.481.270.81
Total Volume6,0494,02811,7044,8405,720
Total OI68,866.662,00873,80062,00873,800

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-07-01$8.77$9.0030.1%8.6%37.0%27.1%35.6%3.6%0.5%-167.4K6.3M-56.5K1.2791.25N/AN/A2,1362,70420,62041,388
2016-07-05$8.51$8.7538.2%9.5%36.1%51.0%33.1%4.9%-0.7%-261.4K8.8M-54.6K1.3652.11N/AN/A3,1164,24020,86842,340
2016-07-06$8.52$8.7536.1%9.6%36.1%44.8%34.3%3.4%-1.8%-263.9K9.1M-57.7K0.8751.16N/AN/A2,7922,44022,41644,188
2016-07-07$8.70$8.7533.8%9.0%37.4%38.1%32.2%5.6%-1.9%-266.0K7.9M-59.2K0.9836.28N/AN/A2,6162,55622,74044,996
2016-07-08$8.85$8.7532.2%9.0%38.5%33.3%35.3%6.5%-0.6%-161.9K5.3M-61.8K1.3771.10N/AN/A1,8882,59223,18045,276
2016-07-11$8.97$9.0031.5%8.9%38.3%31.2%31.0%5.3%-1.4%-90.2K3.9M-62.2K1.4865.37N/AN/A1,8722,76823,37645,744
2016-07-12$9.18$8.7532.3%8.4%38.2%33.6%32.1%5.0%-1.5%-22.1K32.2K-60.6K1.3065.89N/AN/A1,9082,47223,72445,820
2016-07-13$9.09$9.0031.4%9.0%37.3%30.8%34.9%3.2%-2.3%-7.7K1.2M-59.3K1.2374.51N/AN/A1,8042,22423,98046,212
2016-07-14$9.14$9.0030.2%8.6%37.2%27.4%31.8%4.7%-2.4%-78.6K615.5K-60.0K1.2647.67N/AN/A1,9042,40424,01246,264
2016-07-15$9.20$9.0029.8%8.5%36.8%26.3%30.3%4.7%-2.1%-117.6K-467.2K-60.7K0.6555.95N/AN/A4,0682,63624,12046,376
2016-07-18$9.23$9.0028.0%8.0%36.7%21.0%28.9%3.3%0.1%-9.6K-423.2K-58.9K1.0559.39N/AN/A2,4802,61621,11240,928
2016-07-19$9.34$9.0027.3%7.8%36.8%18.7%26.9%3.6%0.4%58.8K-1.7M-60.0K1.2342.43N/AN/A2,7883,43622,00041,016
2016-07-20$8.69$9.0024.9%7.2%45.0%12.0%26.0%2.4%-0.8%-245.1K7.4M-50.6K0.7060.45N/AN/A6,8684,83623,54042,256
2016-07-21$8.63$9.0024.8%7.1%44.8%11.5%24.4%2.4%-0.4%-311.5K8.6M-58.2K0.7839.46N/AN/A5,5364,32826,05644,456
2016-07-22$8.71$9.0023.3%6.7%43.7%7.0%22.2%3.5%0.7%-313.1K7.7M-61.7K0.7340.76N/AN/A3,7482,73226,57245,732
2016-07-25$8.68$9.0024.9%7.1%39.5%7.8%24.2%3.4%-0.5%-321.0K8.1M-58.4K0.9061.07N/AN/A3,7563,37226,93646,040
2016-07-26$8.69$9.0024.3%7.0%34.3%6.0%22.5%3.4%0.1%-347.2K8.3M-56.9K0.7249.59N/AN/A3,5522,56426,83245,900
2016-07-27$8.75$9.0024.9%7.2%34.2%8.0%23.3%3.2%-1.0%-288.2K7.0M-58.4K0.8868.72N/AN/A3,0602,69226,97646,064
2016-07-28$8.80$9.0024.6%7.1%32.8%7.0%26.7%3.8%-0.7%-287.5K6.6M-58.9K0.7831.11N/AN/A3,2282,52827,28446,192
2016-07-29$8.73$9.0023.9%6.8%32.8%4.7%22.4%4.8%-0.1%-328.4K7.4M-56.3K0.8125.34N/AN/A3,1682,55227,38046,420