IBKR Options History — April 2017

In April 2017, IBKR traded between $8.49 and $8.76. ATM implied volatility averaged 25.3%, placing in the 25.3% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 8.1% (HV 20d: 17.2%). Max pain ranged from $8.75 to $9.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 4 of 19 days. Put/call ratio averaged 1.84.

Notable Days

  • 2017-04-19: Highest Volume — 9,908 contracts
  • 2017-04-12: Largest IV drop — 20.2% change
  • 2017-04-11: Highest IV Rank — 58.9%
  • 2017-04-03: Largest Expected Move — 8.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.61$8.49$8.76$8.52$8.71
Max Pain$8.79$8.75$9.00$9.00$8.75
ATM IV25.3%19.7%33.0%28.1%20.1%
Expected Move6.9%5.6%8.1%8.1%5.8%
HV 20d17.2%15.4%18.6%15.9%18.2%
HV 60d19.4%18.3%20.2%20.2%19.8%
IV Rank25.3%0.8%58.9%37.9%2.7%
IV Percentile44.4%0.4%96.4%71.0%2.4%
Term Structure-1.2%-3.3%0.7%-3.3%-0.1%
VWIV24.2%19.4%28.9%28.9%19.5%
Skew 25d2.8%1.5%4.6%1.6%1.5%
Skew 10d6.5%-1.1%13.4%2.6%-1.1%
Call IV 25d23.5%19.2%29.0%28.1%19.9%
Put IV 25d26.3%21.4%31.0%29.7%21.4%
Bid-Ask Spread %44.2020.1673.5765.6446.44
Gamma HHI0.220.210.240.240.22
Net GEX-661.8K-747.6K-565.7K-565.7K-603.4K
Net DEX12.6M8.1M15.8M13.7M8.9M
Net VEX-61.4K-69.5K-55.2K-59.9K-57.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.840.932.891.932.55
Total Volume6,357.8954,2009,9088,4326,844
Total OI66,743.78960,65272,06060,65264,912

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-04-03$8.52$9.0028.1%8.1%15.9%37.9%28.9%1.6%-3.3%-565.7K13.7M-59.9K1.9365.64N/AN/A2,8805,55221,16839,484
2017-04-04$8.64$9.0027.3%7.8%17.4%34.3%28.6%4.6%-3.3%-620.5K12.3M-66.9K1.7837.87N/AN/A2,0003,55622,42042,104
2017-04-05$8.66$9.0027.1%7.8%17.3%33.1%28.7%2.0%-1.6%-607.4K11.6M-67.5K1.7258.16N/AN/A2,1603,70822,77242,372
2017-04-06$8.60$8.7528.7%7.2%16.7%40.2%24.6%2.4%-1.5%-639.7K13.0M-66.2K1.5736.08N/AN/A2,1803,42823,25243,008
2017-04-07$8.67$8.7528.6%7.2%17.2%39.9%24.9%3.1%-2.1%-618.3K11.5M-69.5K1.6734.36N/AN/A2,0283,39623,54043,260
2017-04-10$8.63$8.7532.3%7.3%16.6%55.9%25.0%2.0%-1.4%-657.2K12.4M-67.1K1.3344.68N/AN/A2,1242,82023,72044,132
2017-04-11$8.57$8.7533.0%7.5%16.2%58.9%25.4%3.6%-1.8%-685.3K14.4M-63.5K1.5537.33N/AN/A1,8202,81623,64844,248
2017-04-12$8.51$8.7526.3%7.5%16.2%29.8%23.3%2.0%-1.9%-712.7K15.3M-62.2K1.5128.99N/AN/A1,7482,63623,68044,724
2017-04-13$8.50$8.7525.8%7.4%15.8%27.8%23.6%4.4%-1.3%-714.6K15.8M-60.7K1.7250.53N/AN/A1,6922,90823,72044,896
2017-04-17$8.52$8.7527.2%7.8%15.4%33.6%25.6%2.0%-1.5%-713.0K15.3M-58.8K1.5373.57N/AN/A1,6602,54023,94844,956
2017-04-18$8.70$8.7526.4%7.6%17.5%30.3%27.2%3.9%-1.7%-701.4K12.1M-62.9K0.9340.88N/AN/A3,5803,34023,93645,084
2017-04-19$8.49$8.7523.9%6.9%17.1%19.3%24.7%2.1%-1.3%-696.4K14.4M-58.1K1.3056.20N/AN/A4,3045,60425,88445,180
2017-04-20$8.61$8.7523.0%6.6%17.8%15.2%22.7%3.3%-0.4%-721.7K14.0M-58.9K1.7434.79N/AN/A2,2083,85226,14045,736
2017-04-21$8.52$8.7521.9%6.3%18.1%10.4%24.7%1.9%0.1%-661.4K14.8M-56.0K2.6459.65N/AN/A2,3886,31226,35245,708
2017-04-24$8.57$8.7521.0%6.0%18.2%6.5%23.9%3.6%-0.6%-747.6K12.0M-55.2K2.8920.16N/AN/A1,8605,37220,70842,080
2017-04-25$8.65$8.7519.9%5.7%18.4%1.6%19.4%3.7%0.2%-719.3K10.7M-56.9K2.2329.81N/AN/A2,3925,33221,02442,024
2017-04-26$8.75$8.7520.3%5.8%18.6%3.3%20.6%2.8%0.1%-595.7K8.1M-58.9K2.0651.19N/AN/A2,3284,79221,84041,992
2017-04-27$8.76$8.7519.7%5.6%18.4%0.8%19.4%2.4%0.7%-593.2K8.3M-59.5K2.2533.45N/AN/A2,0444,59622,43642,044
2017-04-28$8.71$8.7520.1%5.8%18.2%2.7%19.5%1.5%-0.1%-603.4K8.9M-57.8K2.5546.44N/AN/A1,9284,91622,88442,028