IBKR Options History — August 2016

In August 2016, IBKR traded between $8.56 and $9.03. ATM implied volatility averaged 23.1%, placing in the 2.1% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded below realized volatility by 3.6% (HV 20d: 26.7%). Max pain ranged from $9.00 to $9.25. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 21 of 23 days. Put/call ratio averaged 1.29.

Notable Days

  • 2016-08-31: Highest Volume — 7,064 contracts
  • 2016-08-10: Largest IV drop — 9.7% change
  • 2016-08-01: Highest IV Rank — 9.2%
  • 2016-08-01: Largest Expected Move — 7.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.83$8.56$9.03$8.76$8.98
Max Pain$9.21$9.00$9.25$9.00$9.25
ATM IV23.1%20.4%25.5%25.4%21.6%
Expected Move6.6%5.9%7.3%7.3%6.2%
HV 20d26.7%19.6%33.5%32.7%19.8%
HV 60d32.0%30.6%33.6%32.4%30.6%
IV Rank2.1%0.0%9.2%9.2%3.3%
IV Percentile1.8%0.0%8.7%6.7%1.2%
Term Structure3.5%-0.9%5.7%-0.9%4.6%
VWIV23.7%20.4%27.7%27.2%21.9%
Skew 25d3.6%2.6%4.7%4.2%4.2%
Skew 10d7.1%-4.0%17.8%17.8%6.5%
Call IV 25d22.0%18.7%24.8%24.8%21.6%
Put IV 25d25.6%23.3%28.9%28.9%25.7%
Bid-Ask Spread %35.4922.6264.1544.5331.64
Gamma HHI0.260.220.330.250.25
Net GEX-328.4K-532.2K-76.0K-330.5K-147.1K
Net DEX5.7M2.2M10.4M7.2M2.9M
Net VEX-45.0K-56.1K-36.8K-55.1K-39.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.290.173.500.840.76
Total Volume4,803.6527607,0646,4327,064
Total OI72,283.65263,70877,17674,18068,012

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-08-01$8.76$9.0025.4%7.3%32.7%9.2%27.2%4.2%-0.9%-330.5K7.2M-55.1K0.8444.53N/AN/A3,4962,93627,54446,636
2016-08-02$8.56$9.0025.1%7.2%31.9%6.0%24.6%3.6%1.1%-461.6K10.4M-51.3K0.7831.59N/AN/A3,5402,76827,86446,608
2016-08-03$8.69$9.0025.0%7.2%32.4%5.6%27.7%3.9%-0.2%-388.7K8.5M-53.8K0.7644.95N/AN/A3,6002,72427,88046,676
2016-08-04$8.71$9.2523.7%6.8%31.6%1.5%23.1%4.5%3.3%-413.0K8.4M-51.0K0.7625.56N/AN/A3,4442,61228,15646,704
2016-08-05$9.03$9.2523.9%6.7%33.5%2.0%24.3%4.1%2.5%-76.0K2.6M-56.1K0.7539.34N/AN/A3,8962,90428,07646,736
2016-08-08$8.94$9.2525.4%6.8%33.4%6.7%25.8%3.5%2.8%-150.0K3.2M-53.2K1.1339.53N/AN/A1,9482,20428,51646,604
2016-08-09$8.88$9.2525.5%6.9%32.3%7.0%25.6%4.1%2.8%-273.2K5.2M-50.4K1.3943.83N/AN/A1,8802,60428,51246,804
2016-08-10$8.75$9.2523.0%6.6%32.5%0.0%24.9%2.8%3.6%-427.4K7.3M-48.5K1.4644.30N/AN/A1,8562,70428,54447,424
2016-08-11$8.82$9.2523.5%6.7%32.6%1.4%23.7%3.5%2.9%-373.3K6.3M-47.2K1.5232.77N/AN/A1,8522,81228,60847,568
2016-08-12$8.89$9.2522.6%6.5%32.7%0.0%23.8%3.8%3.6%-308.4K5.3M-48.2K1.2458.50N/AN/A2,0442,54028,62847,764
2016-08-15$8.97$9.2522.6%6.5%32.8%0.0%23.3%3.0%3.7%-143.0K3.2M-46.0K1.3928.56N/AN/A1,9522,70428,77247,764
2016-08-16$8.88$9.2523.6%6.8%32.7%3.1%23.8%2.6%3.5%-295.6K4.7M-44.3K1.4127.93N/AN/A1,9802,80029,02447,856
2016-08-17$8.85$9.2523.0%6.6%19.9%1.4%22.2%3.8%4.1%-370.3K5.7M-43.2K0.1734.42N/AN/A65210829,04047,740
2016-08-18$8.81$9.2523.0%6.6%19.8%1.3%22.7%3.7%3.8%-532.2K6.5M-41.2K3.5033.28N/AN/A21675629,31647,716
2016-08-19$8.80$9.2522.5%6.4%19.6%0.0%22.8%3.0%4.2%-324.6K6.1M-41.4K1.6229.69N/AN/A2,0443,30429,39247,784
2016-08-22$8.73$9.2522.2%6.4%19.8%0.0%22.9%3.1%4.4%-405.1K6.4M-39.8K2.5422.62N/AN/A1,1242,86022,21641,492
2016-08-23$8.81$9.2522.1%6.3%20.1%0.0%22.1%2.6%4.6%-406.4K5.7M-37.4K1.5025.77N/AN/A1,8642,80422,31641,888
2016-08-24$8.77$9.2522.1%6.3%20.1%0.0%21.9%2.9%5.0%-437.9K6.5M-36.9K0.7426.95N/AN/A97272423,05642,036
2016-08-25$8.66$9.2522.1%6.3%20.4%0.0%25.5%3.5%4.4%-523.4K8.1M-36.8K1.4264.15N/AN/A1,9602,78023,04042,448
2016-08-26$8.83$9.2521.4%6.1%21.5%0.0%21.5%4.0%5.7%-439.4K6.1M-37.2K1.0833.12N/AN/A2,8123,02423,06442,716
2016-08-29$8.94$9.0020.9%6.0%21.9%0.0%23.3%2.8%5.0%-212.5K3.0M-38.3K1.1328.96N/AN/A2,6523,00023,90842,764
2016-08-30$9.03$9.2520.4%5.9%20.1%0.0%20.4%4.7%5.6%-114.7K2.2M-38.2K1.8624.28N/AN/A2,0843,88024,30443,008
2016-08-31$8.98$9.2521.6%6.2%19.8%3.3%21.9%4.2%4.6%-147.1K2.9M-39.7K0.7631.64N/AN/A4,0123,05224,52043,492