IBKR Options History — December 2016

In December 2016, IBKR traded between $9.05 and $9.87. ATM implied volatility averaged 26.4%, placing in the 19.1% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded above realized volatility by 5.9% (HV 20d: 20.5%). Max pain ranged from $9.00 to $9.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 1.35.

Notable Days

  • 2016-12-12: Highest Volume — 14,720 contracts
  • 2016-12-12: Largest IV spike — 23.5% change
  • 2016-12-12: Highest IV Rank — 30.9%
  • 2016-12-30: Largest Expected Move — 8.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.48$9.05$9.87$9.23$9.11
Max Pain$9.23$9.00$9.50$9.00$9.25
ATM IV26.4%23.4%30.6%25.0%28.6%
Expected Move7.7%7.1%8.2%7.2%8.2%
HV 20d20.5%15.1%28.1%28.1%17.4%
HV 60d24.2%22.9%24.7%24.6%22.9%
IV Rank19.1%10.4%30.9%15.1%25.3%
IV Percentile35.8%11.1%72.2%21.0%55.2%
Term Structure-1.1%-3.5%2.5%2.5%-1.0%
VWIV27.5%25.4%29.8%27.5%27.3%
Skew 25d3.3%1.5%4.8%3.4%2.2%
Skew 10d8.2%2.7%16.9%8.8%12.6%
Call IV 25d26.0%24.1%28.6%24.5%28.6%
Put IV 25d29.3%27.7%31.3%27.9%30.8%
Bid-Ask Spread %53.9437.8369.3163.5342.32
Gamma HHI0.270.210.510.240.29
Net GEX424.1K40.6K1.2M225.5K55.4K
Net DEX-8.0M-16.4M871.4K-5.0M521.5K
Net VEX-44.5K-56.1K-27.7K-40.1K-55.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.350.561.911.001.70
Total Volume5,871.0482,90014,7202,9005,228
Total OI55,510.28637,76475,45658,40046,548

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-12-01$9.23$9.0025.0%7.2%28.1%15.1%27.5%3.4%2.5%225.5K-5.0M-40.1K1.0063.53N/AN/A1,4481,45224,16034,240
2016-12-02$9.30$9.0024.9%7.1%27.7%14.6%25.4%3.6%1.8%322.9K-6.1M-39.6K0.7040.37N/AN/A1,8001,26824,18834,224
2016-12-05$9.38$9.2523.8%7.8%27.6%11.6%28.5%3.9%-1.8%670.8K-9.6M-33.3K1.9163.30N/AN/A1,4402,75624,58034,336
2016-12-06$9.50$9.2523.4%7.4%26.9%10.4%26.9%4.4%-0.6%518.9K-9.9M-34.7K1.6053.47N/AN/A1,8602,97624,57635,252
2016-12-07$9.62$9.2524.4%7.7%27.0%13.3%27.4%3.4%-0.5%573.5K-12.5M-32.5K1.6357.49N/AN/A1,7402,84024,96035,692
2016-12-08$9.79$9.2524.6%8.0%25.4%13.9%29.8%4.8%-1.0%600.8K-16.0M-28.3K0.7865.72N/AN/A2,9322,27624,98837,092
2016-12-09$9.87$9.2524.8%7.9%19.3%14.3%28.5%4.5%-1.0%549.6K-16.4M-31.2K1.1163.54N/AN/A3,3243,67626,20838,636
2016-12-12$9.77$9.5030.6%7.9%19.1%30.9%27.3%2.8%-1.1%648.9K-15.1M-27.7K0.8260.04N/AN/A8,0686,65224,92039,084
2016-12-13$9.67$9.0028.9%7.6%17.2%26.0%27.0%4.0%-1.5%724.8K-14.2M-38.4K0.8562.83N/AN/A7,2566,16027,40841,608
2016-12-14$9.71$9.2526.5%7.6%17.2%19.3%27.4%4.3%-1.5%673.6K-14.3M-44.6K1.6566.48N/AN/A3,5285,82828,14043,544
2016-12-15$9.72$9.2526.9%7.7%17.2%20.3%27.0%1.6%-2.6%623.2K-14.4M-47.6K1.1860.33N/AN/A3,6924,36028,76845,852
2016-12-16$9.51$9.2525.8%7.4%18.9%17.3%28.2%1.5%-0.6%1.2M-10.4M-48.7K0.9269.31N/AN/A4,3364,00429,07246,384
2016-12-19$9.52$9.2526.1%7.5%18.7%18.2%25.9%3.7%-1.2%148.9K-4.0M-50.8K0.5654.49N/AN/A4,5762,57218,34419,420
2016-12-20$9.54$9.2527.0%7.7%18.4%20.6%27.1%3.8%-1.2%253.0K-5.2M-55.1K1.8850.30N/AN/A1,1042,07621,59620,168
2016-12-21$9.47$9.2526.5%7.6%18.5%19.1%26.9%3.6%-1.0%251.1K-4.3M-55.2K1.7949.30N/AN/A1,0881,94421,94020,324
2016-12-22$9.41$9.2526.5%7.6%18.3%19.4%27.1%2.1%-1.2%226.0K-3.7M-54.9K1.8838.36N/AN/A1,1082,08422,18820,500
2016-12-23$9.39$9.2526.3%7.5%18.2%18.8%27.1%3.5%-1.3%208.4K-3.4M-56.1K1.4854.30N/AN/A1,3882,05222,60820,744
2016-12-27$9.38$9.2527.8%8.0%15.1%22.9%28.2%3.0%-2.5%209.4K-3.4M-54.9K1.3438.20N/AN/A1,3641,82422,90020,956
2016-12-28$9.21$9.2528.3%8.1%16.5%24.4%29.4%1.6%-3.5%166.1K-1.2M-51.9K1.9037.83N/AN/A1,5883,02422,94821,108
2016-12-29$9.05$9.2528.4%8.1%17.6%24.6%26.8%4.5%-2.0%40.6K871.4K-53.0K1.7541.23N/AN/A1,6722,92823,05622,456
2016-12-30$9.11$9.2528.6%8.2%17.4%25.3%27.3%2.2%-1.0%55.4K521.5K-55.4K1.7042.32N/AN/A1,9363,29223,50823,040