IBKR Options History — October 2016

In October 2016, IBKR traded between $8.30 and $9.36. ATM implied volatility averaged 26.9%, placing in the 20.4% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 3.5% (HV 20d: 23.4%). Max pain ranged from $8.75 to $9.25. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 1.71.

Notable Days

  • 2016-10-19: Highest Volume — 11,700 contracts
  • 2016-10-12: Largest IV drop — 13.9% change
  • 2016-10-10: Highest IV Rank — 36.8%
  • 2016-10-17: Largest Expected Move — 8.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.82$8.30$9.36$8.90$8.30
Max Pain$8.94$8.75$9.25$8.75$8.75
ATM IV26.9%22.1%32.6%29.6%25.4%
Expected Move7.5%6.3%8.5%8.5%7.3%
HV 20d23.4%19.8%26.3%19.8%22.7%
HV 60d22.4%19.8%24.8%24.2%19.8%
IV Rank20.4%6.7%36.8%28.1%16.2%
IV Percentile30.5%4.0%76.2%50.4%19.8%
Term Structure-1.4%-3.8%0.3%-3.8%-1.9%
VWIV26.5%16.7%36.5%28.1%21.1%
Skew 25d4.3%2.3%6.3%4.7%3.5%
Skew 10d8.7%-30.5%18.9%15.4%6.2%
Call IV 25d25.0%21.4%28.6%28.2%24.8%
Put IV 25d29.3%25.6%33.5%32.9%28.4%
Bid-Ask Spread %67.7636.6991.1861.4074.19
Gamma HHI0.290.240.330.290.26
Net GEX-51.3K-545.9K381.2K81.4K-525.4K
Net DEX2.5M-6.0M10.3M803.3K10.3M
Net VEX-44.6K-53.4K-35.3K-46.5K-35.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.710.975.571.201.13
Total Volume5,106.0953,25611,7004,8763,716
Total OI50,239.42943,68458,81243,68451,232

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-10-03$8.90$8.7529.6%8.5%19.8%28.1%28.1%4.7%-3.8%81.4K803.3K-46.5K1.2061.40N/AN/A2,2162,66018,60825,076
2016-10-04$9.07$8.7529.0%8.3%20.8%26.6%32.9%5.0%-2.2%192.8K-1.6M-47.3K0.9991.18N/AN/A3,8963,87618,72025,144
2016-10-05$9.36$8.7529.2%8.4%23.3%26.9%36.5%4.9%-1.7%317.0K-5.4M-49.2K1.2890.79N/AN/A3,7844,84820,00425,524
2016-10-06$9.28$9.0028.7%7.5%23.6%25.5%26.8%4.5%-1.9%352.3K-5.5M-53.4K1.4445.30N/AN/A2,1603,12022,04026,888
2016-10-07$9.27$9.2528.9%7.5%23.5%26.0%26.4%4.7%-1.4%357.3K-5.2M-52.9K0.9736.69N/AN/A2,4562,37622,22827,128
2016-10-10$9.32$9.2532.6%7.7%23.3%36.8%26.9%5.1%-2.2%381.2K-6.0M-51.1K1.2439.89N/AN/A1,8882,33622,44827,188
2016-10-11$9.21$9.2531.4%7.6%22.2%33.4%27.6%5.1%-1.7%377.8K-4.2M-50.4K1.4340.16N/AN/A1,6762,39622,54427,168
2016-10-12$9.14$9.0027.1%7.8%22.4%20.9%28.6%4.8%-1.4%329.6K-3.6M-50.2K1.6162.97N/AN/A1,6042,58022,64427,400
2016-10-13$9.03$9.0027.9%8.0%22.7%23.3%28.0%6.3%-1.9%270.6K-1.4M-50.9K1.2660.69N/AN/A1,7122,16422,75627,796
2016-10-14$9.01$9.0027.5%7.9%21.9%22.2%29.3%3.8%-0.9%235.8K-965.8K-49.3K1.6250.56N/AN/A1,4922,41222,87627,796
2016-10-17$8.81$9.0029.7%8.5%22.8%28.3%30.5%4.4%-2.9%89.2K2.0M-46.9K1.9474.03N/AN/A1,4522,81223,06028,160
2016-10-18$8.90$9.0027.8%8.0%23.2%22.9%31.0%5.3%-1.8%130.0K1.3M-46.4K1.8963.17N/AN/A2,0523,87622,95628,616
2016-10-19$8.58$9.0025.0%7.2%26.3%15.0%29.2%3.0%-0.9%-369.5K7.0M-39.1K5.5786.84N/AN/A1,7809,92023,49629,096
2016-10-20$8.51$9.0024.5%7.0%26.0%13.5%27.0%3.0%-0.0%-479.2K9.2M-40.4K1.6083.08N/AN/A2,1003,36423,53634,184
2016-10-21$8.56$9.0023.4%6.7%26.2%10.3%23.0%3.6%-0.7%-335.3K8.2M-41.5K2.4883.23N/AN/A2,0485,08824,35634,456
2016-10-24$8.49$9.0022.9%6.6%24.8%9.0%21.3%4.0%0.2%-480.8K8.2M-38.0K1.2775.80N/AN/A1,7602,24016,44032,108
2016-10-25$8.42$8.7522.1%6.3%24.8%6.7%20.4%4.3%0.3%-448.3K8.6M-38.8K1.9288.11N/AN/A1,1162,14017,32832,220
2016-10-26$8.35$8.7523.6%6.8%24.3%10.9%25.3%2.3%-0.4%-512.7K9.8M-36.0K1.9364.98N/AN/A1,1282,18017,69232,480
2016-10-27$8.35$8.7523.7%6.8%23.4%11.4%16.7%2.5%-0.8%-545.9K10.0M-36.4K1.6269.44N/AN/A1,3202,13217,87232,876
2016-10-28$8.33$8.7524.4%7.0%23.0%13.5%18.9%5.0%-1.0%-494.8K10.0M-36.7K1.5480.44N/AN/A1,3202,03217,96832,920
2016-10-31$8.30$8.7525.4%7.3%22.7%16.2%21.1%3.5%-1.9%-525.4K10.3M-35.3K1.1374.19N/AN/A1,7441,97218,21233,020