IBKR Options History — November 2016

In November 2016, IBKR traded between $8.04 and $9.60. ATM implied volatility averaged 25.8%, placing in the 17.2% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded below realized volatility by 0.0% (HV 20d: 25.8%). Max pain ranged from $8.75 to $9.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 1.19.

Notable Days

  • 2016-11-18: Highest Volume — 11,720 contracts
  • 2016-11-09: Largest IV drop — 24.9% change
  • 2016-11-04: Highest IV Rank — 34.3%
  • 2016-11-02: Largest Expected Move — 8.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.99$8.04$9.60$8.20$9.14
Max Pain$8.98$8.75$9.00$8.75$9.00
ATM IV25.8%22.7%31.8%26.8%24.2%
Expected Move7.1%6.5%8.1%7.7%6.9%
HV 20d25.8%16.5%31.5%21.3%29.1%
HV 60d23.1%19.8%24.9%19.9%24.6%
IV Rank17.2%8.4%34.3%20.1%12.7%
IV Percentile26.6%6.3%75.8%29.4%15.9%
Term Structure1.6%-2.5%4.8%-1.9%2.5%
VWIV26.1%18.8%29.4%26.0%26.4%
Skew 25d4.1%2.4%7.0%5.5%3.5%
Skew 10d8.6%1.9%30.0%3.1%6.5%
Call IV 25d24.1%21.6%27.0%25.7%24.2%
Put IV 25d28.2%25.6%31.6%31.1%27.7%
Bid-Ask Spread %82.5362.6492.7370.2382.18
Gamma HHI0.240.220.280.240.24
Net GEX52.0K-504.3K461.9K-504.1K118.3K
Net DEX-1.6M-12.6M13.0M11.2M-3.0M
Net VEX-38.1K-45.8K-30.6K-34.1K-41.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.190.336.471.241.08
Total Volume4,532.192,52011,7203,6002,964
Total OI56,595.23851,81259,41651,81258,240

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-11-01$8.20$8.7526.8%7.7%21.3%20.1%26.0%5.5%-1.9%-504.1K11.2M-34.1K1.2470.23N/AN/A1,6041,99618,74033,072
2016-11-02$8.08$8.7528.3%8.1%16.5%24.6%28.3%4.6%-2.5%-504.3K12.6M-31.1K0.4672.52N/AN/A3,2081,48019,09633,176
2016-11-03$8.04$9.0029.2%7.5%16.5%27.1%24.5%5.9%1.2%-467.8K13.0M-30.6K0.3962.64N/AN/A3,2001,24020,88033,436
2016-11-04$8.06$9.0031.8%7.7%16.7%34.3%25.2%4.3%0.8%-447.0K12.4M-31.9K0.6267.59N/AN/A2,5481,57220,83633,408
2016-11-07$8.27$9.0028.9%7.1%20.0%26.1%25.7%4.2%1.8%-434.3K10.1M-34.6K0.9874.92N/AN/A1,9761,94022,09233,824
2016-11-08$8.33$9.0030.2%7.1%20.4%29.7%26.0%4.5%2.1%-426.4K9.4M-35.9K0.9980.44N/AN/A1,7201,70022,12833,856
2016-11-09$8.62$9.0022.7%6.5%24.6%8.4%24.9%4.9%4.8%-248.8K5.6M-37.7K0.6491.20N/AN/A2,6561,70822,20833,932
2016-11-10$9.07$9.0025.9%7.4%30.8%17.6%25.2%3.9%0.3%152.4K-3.0M-45.5K0.4388.24N/AN/A3,9041,68822,91233,844
2016-11-11$9.24$9.0026.7%7.7%31.5%19.9%28.0%5.9%-0.1%391.1K-6.2M-45.8K0.4688.79N/AN/A3,1801,47224,64033,936
2016-11-14$9.50$9.0027.0%7.7%31.5%20.7%29.4%7.0%0.0%360.5K-10.9M-42.2K0.4287.36N/AN/A3,4081,42425,00033,992
2016-11-15$9.49$9.0026.0%7.4%31.4%17.8%27.1%3.8%0.1%461.2K-11.9M-39.0K0.3390.38N/AN/A4,5761,49625,37234,044
2016-11-16$9.53$9.0025.6%7.3%27.6%16.6%18.8%3.0%1.0%461.9K-12.1M-38.2K0.5485.99N/AN/A3,0001,62025,18034,140
2016-11-17$9.60$9.0024.0%6.9%27.2%12.1%26.0%2.8%2.4%416.2K-12.6M-37.0K1.0687.40N/AN/A1,4841,56824,90434,168
2016-11-18$9.51$9.0023.5%6.7%27.7%10.7%28.3%3.3%3.0%438.3K-11.3M-37.8K6.4787.79N/AN/A1,56810,15224,97234,112
2016-11-21$9.43$9.0023.1%6.6%27.7%9.7%29.4%2.4%3.3%196.0K-6.8M-40.6K4.6788.28N/AN/A1,2926,03221,64834,204
2016-11-22$9.39$9.0023.4%6.7%27.5%10.3%26.1%4.2%2.2%226.2K-6.4M-39.9K0.9785.17N/AN/A1,2761,24421,83633,640
2016-11-23$9.49$9.0022.9%6.6%27.0%9.0%25.5%2.6%3.3%299.3K-8.2M-36.4K0.9592.73N/AN/A1,3401,27621,85233,676
2016-11-25$9.44$9.0022.8%6.5%27.2%8.8%24.9%4.2%4.4%289.1K-7.3M-37.4K0.3486.40N/AN/A3,5201,18822,09233,704
2016-11-28$9.18$9.0024.5%7.0%29.7%13.7%26.9%2.5%2.0%155.3K-4.1M-41.8K0.8781.70N/AN/A1,6241,42023,89233,708
2016-11-29$9.15$9.0024.0%6.9%29.6%12.2%25.4%3.7%3.0%159.3K-3.5M-41.8K1.1381.17N/AN/A1,3681,54424,06034,048
2016-11-30$9.14$9.0024.2%6.9%29.1%12.7%26.4%3.5%2.5%118.3K-3.0M-41.3K1.0882.18N/AN/A1,4241,54024,07634,164