IBKR Options History — May 2017

In May 2017, IBKR traded between $8.61 and $9.04. ATM implied volatility averaged 20.1%, placing in the 3.6% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 4.1% (HV 20d: 16.0%). Max pain ranged from $8.75 to $9.25. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 2.09.

Notable Days

  • 2017-05-19: Highest Volume — 7,856 contracts
  • 2017-05-17: Largest IV spike — 11.8% change
  • 2017-05-18: Highest IV Rank — 12.3%
  • 2017-05-18: Largest Expected Move — 6.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.82$8.61$9.04$8.83$8.74
Max Pain$9.13$8.75$9.25$8.75$9.00
ATM IV20.1%19.1%22.1%20.7%20.9%
Expected Move5.7%5.5%6.3%5.9%6.0%
HV 20d16.0%13.1%18.9%18.9%13.3%
HV 60d18.6%15.9%19.8%19.8%15.9%
IV Rank3.6%0.0%12.3%5.1%7.5%
IV Percentile5.6%0.0%19.4%5.2%13.9%
Term Structure2.0%-1.1%3.6%-0.4%1.8%
VWIV20.1%17.6%22.8%20.7%21.5%
Skew 25d2.7%1.5%3.7%3.7%2.9%
Skew 10d6.2%-0.6%13.1%8.9%1.9%
Call IV 25d19.2%18.1%21.2%18.7%20.8%
Put IV 25d21.9%20.6%23.7%22.5%23.7%
Bid-Ask Spread %28.7411.8388.2137.3021.65
Gamma HHI0.260.220.330.220.33
Net GEX-642.7K-926.0K-295.0K-536.0K-926.0K
Net DEX7.3M2.0M12.1M6.4M9.1M
Net VEX-51.7K-60.8K-43.3K-58.9K-43.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.090.682.782.471.60
Total Volume6,395.4553,9367,8566,6524,240
Total OI65,486.18260,04069,27265,66062,584

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-05-01$8.83$8.7520.7%5.9%18.9%5.1%20.7%3.7%-0.4%-536.0K6.4M-58.9K2.4737.30N/AN/A1,9164,73623,34042,320
2017-05-02$8.88$8.7519.7%5.7%17.1%1.0%21.8%1.5%-0.3%-487.9K5.5M-58.9K2.2426.88N/AN/A2,1764,87623,59242,316
2017-05-03$9.00$8.7519.9%5.7%17.0%1.8%17.6%2.8%-1.1%-374.8K3.1M-59.8K2.4166.36N/AN/A2,2045,31223,36442,416
2017-05-04$9.00$9.2519.7%5.7%17.0%0.9%19.6%2.4%2.6%-351.0K2.6M-60.8K2.1122.81N/AN/A2,2604,76423,57242,692
2017-05-05$9.04$9.2519.7%5.6%16.6%1.1%19.5%3.1%2.7%-295.0K2.0M-59.3K2.1825.43N/AN/A2,2124,83223,64442,704
2017-05-08$9.01$9.2521.0%5.6%16.6%6.6%19.5%2.2%2.8%-326.2K2.4M-58.6K2.7127.79N/AN/A1,7724,79623,75642,892
2017-05-09$8.95$9.2519.2%5.5%16.7%0.0%19.0%2.2%3.1%-381.6K3.4M-56.9K1.9827.07N/AN/A2,3924,73223,86443,064
2017-05-10$8.78$9.2519.6%5.6%18.1%1.6%19.6%2.6%2.5%-607.3K8.1M-53.5K2.4225.38N/AN/A2,0965,07224,17643,072
2017-05-11$8.72$9.2519.9%5.7%18.1%2.9%20.1%2.4%2.2%-629.8K9.0M-53.3K2.7833.55N/AN/A1,8525,15624,25243,272
2017-05-12$8.75$9.2519.6%5.6%18.0%1.6%19.6%2.0%2.5%-642.4K8.8M-52.3K2.5423.65N/AN/A1,9805,02824,41643,516
2017-05-15$8.81$9.2519.5%5.6%18.1%1.1%19.5%2.7%2.5%-582.6K7.6M-50.3K2.4816.09N/AN/A2,0325,04024,64443,364
2017-05-16$8.74$9.2519.6%5.6%17.0%1.6%20.2%3.1%2.6%-632.2K9.1M-48.7K2.3228.61N/AN/A2,0844,83624,80443,360
2017-05-17$8.61$9.2521.9%6.3%15.5%11.7%22.4%2.5%1.4%-791.5K12.1M-47.0K2.5488.21N/AN/A2,0445,18425,03243,688
2017-05-18$8.70$9.2522.1%6.3%15.1%12.3%22.8%3.1%0.9%-679.4K10.4M-48.0K2.6729.25N/AN/A1,8965,05625,18843,984
2017-05-19$8.74$9.2520.0%5.7%14.7%3.2%19.1%3.5%2.2%-690.2K9.3M-47.0K1.8325.25N/AN/A2,7725,08425,26444,008
2017-05-22$8.73$9.2520.1%5.8%14.6%3.8%19.7%3.0%2.1%-879.8K9.9M-46.2K1.5911.83N/AN/A1,8322,91222,41237,628
2017-05-23$8.74$9.2519.1%5.5%14.3%0.0%19.1%2.4%3.6%-884.1K9.7M-46.5K1.5317.62N/AN/A1,9122,91622,82837,788
2017-05-24$8.73$9.0020.3%5.8%13.7%4.8%21.1%3.1%2.1%-869.7K10.0M-45.9K0.6824.24N/AN/A4,1122,79623,08837,816
2017-05-25$8.82$9.0019.9%5.7%14.2%3.1%20.0%2.7%2.7%-851.3K7.9M-48.0K1.1014.52N/AN/A2,5882,84823,82038,020
2017-05-26$8.81$9.0019.6%5.6%14.1%1.8%18.6%1.9%3.2%-840.7K7.6M-47.9K1.7320.98N/AN/A1,6202,79624,46038,100
2017-05-30$8.82$9.0020.7%5.9%13.1%6.7%21.8%2.8%2.1%-880.3K7.2M-45.4K2.0817.80N/AN/A1,2762,66024,48838,088
2017-05-31$8.74$9.0020.9%6.0%13.3%7.5%21.5%2.9%1.8%-926.0K9.1M-43.3K1.6021.65N/AN/A1,6282,61224,68037,904