IBKR Options History — March 2017

In March 2017, IBKR traded between $8.63 and $9.59. ATM implied volatility averaged 24.5%, placing in the 21.7% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded above realized volatility by 2.1% (HV 20d: 22.3%). Max pain ranged from $9.25 to $9.50. Net GEX was positive for 1 of 23 trading days. Term structure was in contango for 4 of 23 days. Put/call ratio averaged 1.46.

Notable Days

2017-03-21: Highest Volume — 12,376 contracts
2017-03-13: Largest IV spike — 25.5% change
2017-03-30: Highest IV Rank — 31.1%
2017-03-30: Largest Expected Move — 7.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$9.05	$8.63	$9.59	$9.59	$8.69
Max Pain	$9.40	$9.25	$9.50	$9.25	$9.25
ATM IV	24.5%	20.7%	26.6%	23.2%	26.1%
Expected Move	7.2%	6.2%	7.6%	6.6%	7.5%
HV 20d	22.3%	14.8%	25.4%	24.2%	14.8%
HV 60d	22.1%	20.3%	22.5%	22.1%	20.3%
IV Rank	21.7%	5.2%	31.1%	16.0%	28.8%
IV Percentile	34.7%	3.6%	59.5%	20.2%	52.8%
Term Structure	-0.9%	-2.5%	2.8%	2.0%	-2.4%
VWIV	25.5%	22.0%	27.9%	23.2%	27.3%
Skew 25d	2.3%	0.1%	3.8%	3.1%	2.4%
Skew 10d	6.0%	0.8%	14.2%	14.2%	3.0%
Call IV 25d	24.7%	21.9%	26.4%	22.1%	25.4%
Put IV 25d	26.9%	22.1%	29.1%	25.2%	27.8%
Bid-Ask Spread %	45.64	25.74	79.70	37.57	50.59
Gamma HHI	0.39	0.24	0.90	0.32	0.24
Net GEX	-640.4K	-3.5M	316.9K	316.9K	-619.0K
Net DEX	5.4M	-2.7M	11.7M	-2.7M	11.2M
Net VEX	-50.2K	-65.2K	-40.7K	-50.4K	-65.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.46	0.80	3.58	0.83	1.33
Total Volume	5,908.348	4,480	12,376	8,588	4,588
Total OI	54,351.826	31,584	64,468	57,724	58,800

Daily Data (23 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2017-03-01	$9.59	$9.25	23.2%	6.6%	24.2%	16.0%	23.2%	3.1%	2.0%	316.9K	-2.7M	-50.4K	0.83	37.57	N/A	N/A	4,692	3,896	25,056	32,668
2017-03-02	$9.39	$9.25	21.8%	6.3%	25.4%	10.2%	22.0%	0.1%	2.6%	-39.5K	-169.7K	-49.5K	1.37	28.57	N/A	N/A	2,152	2,948	25,688	32,768
2017-03-03	$9.41	$9.25	21.5%	6.2%	24.5%	8.8%	22.4%	1.2%	2.8%	-6.8K	-382.8K	-49.3K	1.14	25.74	N/A	N/A	2,296	2,620	25,876	32,872
2017-03-06	$9.37	$9.50	23.0%	7.3%	22.7%	15.2%	26.1%	2.1%	-1.1%	-217.2K	763.0K	-46.3K	1.04	35.16	N/A	N/A	2,476	2,576	25,840	33,032
2017-03-07	$9.34	$9.50	21.7%	7.3%	22.7%	9.8%	24.6%	2.7%	-1.0%	-415.9K	2.0M	-44.9K	0.80	38.42	N/A	N/A	2,824	2,260	25,856	33,080
2017-03-08	$9.38	$9.50	23.0%	7.3%	22.7%	15.2%	25.6%	0.9%	-1.6%	-240.8K	653.6K	-45.5K	0.99	46.87	N/A	N/A	2,248	2,232	25,828	33,200
2017-03-09	$9.22	$9.50	22.1%	7.3%	23.3%	11.4%	25.9%	0.9%	-1.4%	-755.2K	3.6M	-44.2K	1.07	42.30	N/A	N/A	2,336	2,496	25,836	33,280
2017-03-10	$9.23	$9.50	20.7%	7.0%	22.7%	5.2%	25.4%	1.9%	0.1%	-784.9K	3.7M	-43.7K	1.25	31.63	N/A	N/A	1,996	2,500	26,060	33,716
2017-03-13	$9.30	$9.50	26.0%	7.2%	23.0%	28.3%	26.1%	2.5%	-0.8%	-500.9K	1.6M	-41.4K	1.31	30.74	N/A	N/A	2,028	2,652	26,028	33,732
2017-03-14	$9.17	$9.50	25.6%	7.3%	23.2%	26.5%	26.6%	1.9%	-1.4%	-995.7K	4.2M	-40.7K	1.38	43.20	N/A	N/A	2,000	2,756	26,588	33,748
2017-03-15	$9.12	$9.50	25.6%	7.3%	22.9%	26.9%	25.3%	1.9%	-1.1%	-1.4M	5.1M	-40.9K	3.56	70.81	N/A	N/A	1,700	6,044	26,784	33,852
2017-03-16	$9.19	$9.50	25.1%	7.2%	22.6%	24.4%	24.2%	1.9%	-1.6%	-1.0M	4.3M	-43.2K	1.39	32.92	N/A	N/A	2,056	2,852	26,816	37,424
2017-03-17	$9.05	$9.50	25.6%	7.3%	22.6%	26.9%	24.7%	2.1%	-2.0%	-3.5M	6.8M	-41.3K	1.86	62.49	N/A	N/A	1,940	3,608	27,124	37,344
2017-03-20	$9.04	$9.50	24.2%	6.9%	22.7%	20.7%	24.9%	2.2%	-0.4%	-330.2K	4.3M	-41.4K	1.28	68.77	N/A	N/A	3,888	4,968	10,632	20,952
2017-03-21	$8.80	$9.50	25.2%	7.2%	24.2%	25.1%	25.2%	2.1%	-0.3%	-398.2K	7.1M	-48.5K	3.58	63.67	N/A	N/A	2,700	9,676	13,108	24,976
2017-03-22	$8.75	$9.50	25.6%	7.3%	24.2%	26.7%	26.8%	3.1%	-2.0%	-463.4K	8.7M	-54.7K	1.13	53.00	N/A	N/A	2,648	3,004	14,404	28,140
2017-03-23	$8.74	$9.50	25.7%	7.4%	24.2%	27.2%	25.3%	2.5%	-1.1%	-493.9K	9.0M	-58.5K	0.93	35.66	N/A	N/A	2,340	2,168	15,548	29,916
2017-03-24	$8.69	$9.25	26.2%	7.5%	24.0%	29.2%	26.3%	2.2%	-2.1%	-508.0K	9.8M	-58.5K	0.99	36.93	N/A	N/A	2,508	2,472	16,148	30,568
2017-03-27	$8.63	$9.25	25.9%	7.4%	23.9%	27.9%	27.1%	3.8%	-0.9%	-532.2K	11.2M	-57.3K	1.23	79.70	N/A	N/A	2,964	3,652	16,824	31,520
2017-03-28	$8.70	$9.25	26.5%	7.6%	23.3%	30.7%	27.0%	3.0%	-2.5%	-571.4K	11.2M	-62.8K	1.27	41.00	N/A	N/A	2,316	2,936	18,036	33,728
2017-03-29	$8.64	$9.25	25.8%	7.4%	15.3%	27.5%	26.9%	3.6%	-1.7%	-580.2K	11.7M	-62.7K	1.10	54.14	N/A	N/A	2,340	2,580	18,844	34,196
2017-03-30	$8.72	$9.25	26.6%	7.6%	15.0%	31.1%	27.9%	3.7%	-1.9%	-625.5K	11.3M	-63.2K	2.65	39.78	N/A	N/A	2,180	5,780	19,056	34,600
2017-03-31	$8.69	$9.25	26.1%	7.5%	14.8%	28.8%	27.3%	2.4%	-2.4%	-619.0K	11.2M	-65.2K	1.33	50.59	N/A	N/A	1,972	2,616	19,428	39,372