IBKR Options History — February 2017

In February 2017, IBKR traded between $9.17 and $9.82. ATM implied volatility averaged 21.2%, placing in the 6.2% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 3.5% (HV 20d: 17.7%). Max pain ranged from $9.25 to $9.25. Net GEX was positive for 15 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 2.76.

Notable Days

  • 2017-02-13: Highest Volume — 10,176 contracts
  • 2017-02-16: Largest IV drop — 7.5% change
  • 2017-02-28: Highest IV Rank — 13.3%
  • 2017-02-28: Largest Expected Move — 6.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.51$9.17$9.82$9.39$9.17
Max Pain$9.25$9.25$9.25$9.25$9.25
ATM IV21.2%19.5%22.5%21.1%22.5%
Expected Move6.1%5.6%6.5%6.0%6.5%
HV 20d17.7%14.4%24.4%24.4%18.2%
HV 60d21.3%19.7%24.3%24.0%20.3%
IV Rank6.2%0.0%13.3%4.7%13.3%
IV Percentile4.5%0.0%14.7%2.4%14.7%
Term Structure3.0%0.5%4.1%0.5%2.2%
VWIV21.8%19.8%23.4%22.1%23.1%
Skew 25d2.4%0.2%3.8%1.9%0.5%
Skew 10d4.4%-5.6%10.8%2.4%-5.6%
Call IV 25d20.5%18.6%22.5%21.4%22.3%
Put IV 25d22.9%21.1%24.1%23.3%22.9%
Bid-Ask Spread %53.0020.27100.1671.0887.41
Gamma HHI0.310.250.430.270.41
Net GEX458.3K-495.1K1.8M83.1K-495.1K
Net DEX-4.1M-12.5M3.3M-1.8M3.3M
Net VEX-45.5K-50.2K-40.2K-50.2K-45.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.761.374.613.262.47
Total Volume6,893.8954,42010,1766,9645,900
Total OI55,255.78949,60058,93653,27255,884

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-02-01$9.39$9.2521.1%6.0%24.4%4.7%22.1%1.9%0.5%83.1K-1.8M-50.2K3.2671.08N/AN/A1,6365,32823,56829,704
2017-02-02$9.22$9.2522.5%6.3%20.7%9.9%23.0%3.1%2.3%-117.4K1.3M-48.9K2.8982.05N/AN/A1,8085,22823,70429,712
2017-02-03$9.47$9.2521.4%6.1%21.3%6.0%22.4%3.3%3.3%164.3K-2.9M-48.9K1.7389.64N/AN/A3,1245,39223,55229,916
2017-02-06$9.46$9.2522.3%6.3%19.1%8.9%22.4%3.4%2.7%315.7K-3.3M-49.6K2.6134.80N/AN/A1,9845,17225,68830,260
2017-02-07$9.52$9.2521.8%6.2%19.2%7.5%23.4%2.7%2.9%487.0K-3.9M-48.9K2.7346.95N/AN/A1,8405,02426,36430,140
2017-02-08$9.45$9.2521.7%6.2%17.8%6.9%21.9%3.1%2.8%387.8K-3.1M-48.5K3.2320.27N/AN/A1,5725,08026,69230,044
2017-02-09$9.56$9.2521.7%6.2%18.5%8.0%21.8%2.9%2.6%610.5K-5.3M-48.1K3.2886.32N/AN/A1,6045,25626,75630,096
2017-02-10$9.56$9.2520.6%5.9%18.1%3.5%21.1%3.3%3.8%662.3K-5.8M-46.7K3.8233.18N/AN/A1,5165,78826,91230,208
2017-02-13$9.64$9.2520.5%5.9%18.4%3.1%22.4%3.8%3.0%866.8K-7.0M-44.6K1.3773.68N/AN/A4,2965,88026,94830,344
2017-02-14$9.72$9.2520.9%6.0%16.5%5.1%20.6%3.7%2.6%1.3M-8.8M-45.6K3.7920.84N/AN/A1,5285,78828,03230,560
2017-02-15$9.82$9.2521.1%6.0%14.4%5.9%21.9%2.3%2.4%1.4M-12.5M-43.5K3.4629.57N/AN/A1,6525,71228,12830,532
2017-02-16$9.69$9.2519.5%5.6%15.3%0.0%19.8%2.5%4.1%1.8M-8.7M-42.2K2.6029.77N/AN/A2,0085,21228,10830,480
2017-02-17$9.65$9.2519.9%5.7%15.4%1.6%19.8%3.1%3.3%380.1K-6.6M-41.0K1.3870.52N/AN/A3,6885,08428,52030,416
2017-02-21$9.59$9.2521.3%6.1%15.4%7.7%21.5%1.6%3.5%416.9K-5.1M-40.2K1.8528.91N/AN/A1,7683,27224,08825,512
2017-02-22$9.53$9.2520.9%6.0%15.7%6.4%21.1%1.9%3.9%316.2K-4.2M-43.3K2.01100.16N/AN/A1,4682,95224,66026,520
2017-02-23$9.49$9.2520.7%5.9%15.6%5.5%21.6%0.9%3.0%206.6K-2.9M-41.5K2.2723.17N/AN/A1,3923,15624,85626,548
2017-02-24$9.37$9.2520.9%6.0%16.3%6.2%21.0%0.2%4.1%-23.0K-1.2M-41.3K4.6150.83N/AN/A1,2285,66024,95226,956
2017-02-27$9.38$9.2521.3%6.1%16.3%7.9%22.7%1.2%3.2%-37.2K-204.6K-45.1K3.1227.95N/AN/A1,4524,53624,78829,712
2017-02-28$9.17$9.2522.5%6.5%18.2%13.3%23.1%0.5%2.2%-495.1K3.3M-45.8K2.4787.41N/AN/A1,7004,20024,85231,032