IBKR Options History — January 2017

In January 2017, IBKR traded between $9.15 and $9.80. ATM implied volatility averaged 26.3%, placing in the 20.7% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded above realized volatility by 1.2% (HV 20d: 25.2%). Max pain ranged from $9.25 to $9.50. Net GEX was positive for 11 of 20 trading days. Term structure was in contango for 0 of 20 days. Put/call ratio averaged 2.52.

Notable Days

  • 2017-01-18: Highest Volume — 9,316 contracts
  • 2017-01-11: Largest IV drop — 18.4% change
  • 2017-01-10: Highest IV Rank — 38.6%
  • 2017-01-04: Largest Expected Move — 9.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.42$9.15$9.80$9.26$9.35
Max Pain$9.26$9.25$9.50$9.25$9.25
ATM IV26.3%21.8%33.3%30.9%23.3%
Expected Move7.2%6.2%9.1%8.9%6.7%
HV 20d25.2%18.2%26.6%18.2%25.0%
HV 60d24.6%23.1%25.4%23.1%24.0%
IV Rank20.7%7.3%38.6%31.8%12.7%
IV Percentile36.5%3.2%83.3%74.6%13.5%
Term Structure-1.2%-4.3%-0.1%-4.3%-0.8%
VWIV26.2%19.1%32.6%32.6%22.9%
Skew 25d3.6%2.3%5.9%4.1%3.1%
Skew 10d7.0%-0.9%15.9%7.9%13.8%
Call IV 25d24.1%20.8%29.0%29.0%22.4%
Put IV 25d27.7%23.7%34.9%33.1%25.6%
Bid-Ask Spread %47.6927.8688.7788.7729.06
Gamma HHI0.290.260.430.280.27
Net GEX-402-1.4M523.2K102.5K23.8K
Net DEX-2.2M-9.2M3.1M-731.2K-725.9K
Net VEX-54.0K-58.7K-48.7K-54.6K-50.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.521.484.092.833.91
Total Volume6,928.25,5449,3165,5446,576
Total OI52,813.646,81262,92046,81252,968

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-01-03$9.26$9.2530.9%8.9%18.2%31.8%32.6%4.1%-4.3%102.5K-731.2K-54.6K2.8388.77N/AN/A1,4484,09623,72023,092
2017-01-04$9.63$9.2531.6%9.1%22.7%33.7%30.6%5.9%-4.1%302.4K-5.5M-57.4K2.6545.25N/AN/A1,8644,94823,90424,172
2017-01-05$9.39$9.2530.6%7.7%24.0%31.0%29.2%3.3%-0.5%196.2K-2.7M-57.5K2.1239.14N/AN/A2,0484,34424,51224,808
2017-01-06$9.64$9.2531.0%7.6%25.4%32.2%27.2%3.6%-0.6%342.7K-6.0M-57.6K1.5736.19N/AN/A2,3123,62024,68825,208
2017-01-09$9.61$9.2532.9%7.7%24.5%37.4%27.1%3.6%-1.9%341.9K-6.0M-57.2K1.7437.12N/AN/A2,3164,02425,44825,476
2017-01-10$9.80$9.2533.3%7.7%25.4%38.6%26.3%3.5%-1.7%523.2K-9.2M-57.4K1.5843.43N/AN/A2,8404,49226,51626,148
2017-01-11$9.79$9.2527.2%7.8%25.1%22.4%27.0%3.7%-1.1%509.1K-8.9M-58.7K2.1638.24N/AN/A1,9844,27626,78826,184
2017-01-12$9.69$9.2527.6%7.9%25.2%27.9%29.1%4.3%-2.1%444.8K-7.3M-58.4K2.0664.23N/AN/A1,9804,07626,88026,328
2017-01-13$9.70$9.2527.2%7.8%25.1%26.5%28.8%4.3%-2.1%475.9K-7.4M-58.1K2.1366.71N/AN/A1,8723,99627,02426,368
2017-01-17$9.48$9.2528.5%8.2%26.4%31.2%29.5%3.8%-2.1%328.3K-3.9M-55.3K1.4865.42N/AN/A3,4925,17227,35226,584
2017-01-18$9.28$9.5023.8%6.8%26.3%14.5%26.2%4.0%-0.2%-589.6K1.8M-52.6K2.0659.38N/AN/A3,0406,27628,92430,840
2017-01-19$9.21$9.2523.1%6.6%26.4%12.0%26.9%2.6%-0.1%-918.4K3.1M-51.2K2.0229.01N/AN/A2,6285,31229,71633,132
2017-01-20$9.21$9.2522.0%6.3%26.4%8.0%29.3%3.7%-0.1%-1.4M3.1M-50.1K3.4472.66N/AN/A1,6525,68029,56833,352
2017-01-23$9.15$9.2522.4%6.4%26.3%9.4%19.1%4.2%-0.2%-231.7K2.9M-48.7K2.5361.66N/AN/A1,8964,79619,90428,488
2017-01-24$9.19$9.2522.4%6.4%26.3%9.3%25.2%2.8%-0.6%-198.4K2.1M-48.9K1.5152.28N/AN/A3,3845,10420,45628,764
2017-01-25$9.27$9.2522.2%6.4%26.6%8.7%26.0%2.3%-0.3%-55.4K466.8K-51.0K3.5633.49N/AN/A1,5645,56822,41629,072
2017-01-26$9.25$9.2522.1%6.3%26.6%8.3%19.7%2.8%-0.5%-92.9K879.3K-52.1K3.8029.76N/AN/A1,3925,29622,70829,436
2017-01-27$9.29$9.2521.8%6.2%25.9%7.3%20.2%3.0%-0.1%-57.4K295.6K-51.8K3.2434.21N/AN/A1,6045,20422,96029,568
2017-01-30$9.29$9.2522.7%6.5%25.0%10.6%20.6%3.0%-0.3%-41.1K-14.4K-51.5K4.0927.86N/AN/A1,2565,13623,21229,588
2017-01-31$9.35$9.2523.3%6.7%25.0%12.7%22.9%3.1%-0.8%23.8K-725.9K-50.4K3.9129.06N/AN/A1,3405,23623,35629,612