IBKR Options History — September 2016

In September 2016, IBKR traded between $8.76 and $9.09. ATM implied volatility averaged 25.2%, placing in the 15.5% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded above realized volatility by 6.7% (HV 20d: 18.5%). Max pain ranged from $8.75 to $9.25. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 1.42.

Notable Days

  • 2016-09-20: Highest Volume — 8,620 contracts
  • 2016-09-13: Largest IV spike — 19.5% change
  • 2016-09-30: Highest IV Rank — 26.6%
  • 2016-09-30: Largest Expected Move — 8.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.87$8.76$9.09$8.78$8.84
Max Pain$8.92$8.75$9.25$9.25$8.75
ATM IV25.2%19.7%29.1%23.3%29.1%
Expected Move7.6%5.7%8.3%6.7%8.3%
HV 20d18.5%16.1%21.6%21.6%19.7%
HV 60d27.9%24.3%30.9%30.9%24.4%
IV Rank15.5%0.0%26.6%8.3%26.6%
IV Percentile19.1%0.0%42.9%6.0%42.9%
Term Structure-0.7%-3.8%5.5%3.9%-3.8%
VWIV26.4%20.3%30.3%23.9%26.7%
Skew 25d4.5%1.0%6.9%2.2%5.0%
Skew 10d12.3%2.8%21.4%2.8%11.0%
Call IV 25d24.9%20.5%27.8%23.8%26.3%
Put IV 25d29.4%21.6%32.0%26.0%31.2%
Bid-Ask Spread %54.7127.7483.0080.8552.37
Gamma HHI0.310.200.780.270.29
Net GEX-184.6K-1.2M195.6K-379.9K58.0K
Net DEX2.2M-1.7M6.1M6.1M1.4M
Net VEX-35.7K-45.8K-25.4K-37.8K-45.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.420.841.981.741.05
Total Volume5,173.3333,9808,6204,9285,632
Total OI54,899.42927,09672,43270,04442,876

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-09-01$8.78$9.2523.3%6.7%21.6%8.3%23.9%2.2%3.9%-379.9K6.1M-37.8K1.7480.85N/AN/A1,8003,12826,62043,424
2016-09-02$8.80$9.0019.8%5.7%17.0%0.0%20.3%1.0%5.5%-404.6K5.2M-36.4K1.4327.74N/AN/A1,8722,67626,60043,296
2016-09-06$8.77$9.0020.4%7.5%16.8%1.8%25.6%5.6%-0.1%-520.1K5.6M-33.4K1.2748.96N/AN/A1,9762,50026,62843,444
2016-09-07$8.83$9.0020.6%7.6%16.8%2.2%25.3%3.9%-0.8%-452.8K4.8M-32.5K1.8972.97N/AN/A1,7003,20826,74442,972
2016-09-08$8.89$9.0019.7%7.5%16.2%0.0%26.7%4.4%-0.3%-310.0K2.9M-31.6K1.5143.64N/AN/A1,7282,61226,87643,776
2016-09-09$8.86$9.0023.4%7.9%16.1%10.6%27.4%4.2%-0.7%-439.6K4.4M-31.2K1.4344.68N/AN/A1,8162,59626,93643,732
2016-09-12$8.96$9.0023.8%7.8%16.3%11.5%27.9%6.3%-1.5%32.5K929.8K-28.5K1.8252.18N/AN/A1,9403,52827,10043,620
2016-09-13$8.77$9.0028.4%8.2%17.8%24.8%28.5%4.8%-1.0%-690.8K5.3M-28.0K1.6753.08N/AN/A1,9963,32827,23644,356
2016-09-14$8.80$9.0028.2%8.1%17.5%24.3%27.6%5.3%-1.2%-484.8K4.0M-27.0K1.8156.16N/AN/A1,5602,81627,28845,008
2016-09-15$8.90$9.0025.9%7.4%18.0%17.7%27.9%6.9%0.0%-178.6K2.8M-27.5K1.5371.06N/AN/A1,9843,03627,17245,032
2016-09-16$8.77$9.0025.7%7.4%18.8%17.0%25.7%4.7%-0.5%-1.2M4.2M-25.4K1.0173.10N/AN/A3,9764,01227,17645,256
2016-09-19$8.90$8.7525.7%7.4%19.6%16.9%24.9%4.2%-1.2%70.4K204.1K-28.6K0.8456.07N/AN/A2,8122,36810,96016,136
2016-09-20$8.92$8.7525.3%7.3%19.3%15.9%25.4%5.3%0.3%141.4K-283.6K-30.4K1.1847.97N/AN/A3,9604,66012,56416,528
2016-09-21$9.01$8.7526.1%7.5%19.3%18.1%26.7%4.9%-1.4%142.3K-870.8K-38.4K1.2083.00N/AN/A2,9643,56014,75219,216
2016-09-22$9.09$9.0025.9%7.4%19.3%17.7%26.4%4.4%-0.8%188.3K-1.7M-43.2K1.0960.47N/AN/A2,2362,44016,44020,912
2016-09-23$9.04$9.0025.6%7.3%18.8%16.7%26.0%3.8%-1.8%195.6K-1.4M-44.9K1.1235.57N/AN/A2,0642,31617,07221,456
2016-09-26$8.81$8.7528.7%8.2%20.0%25.4%28.8%4.5%-1.9%99.1K488.5K-43.7K1.4866.16N/AN/A1,9282,85617,58021,888
2016-09-27$8.84$8.7528.1%8.1%19.5%23.9%25.2%3.7%-2.3%89.9K853.6K-45.1K1.9833.63N/AN/A1,5563,08417,94822,788
2016-09-28$8.95$8.7526.4%7.6%19.7%19.0%28.0%6.0%-1.8%112.6K148.2K-45.8K1.4638.83N/AN/A1,6162,36418,00023,548
2016-09-29$8.76$8.7529.0%8.3%21.0%26.6%30.3%3.1%-3.1%41.6K1.6M-45.0K1.2850.46N/AN/A1,9442,49218,12023,812
2016-09-30$8.84$8.7529.1%8.3%19.7%26.6%26.7%5.0%-3.8%58.0K1.4M-45.4K1.0552.37N/AN/A2,7442,88818,49224,384