IBKR Options History — June 2017

In June 2017, IBKR traded between $8.80 and $9.44. ATM implied volatility averaged 21.2%, placing in the 10.0% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 9.0% (HV 20d: 12.2%). Max pain ranged from $8.75 to $9.00. Net GEX was positive for 15 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 1.26.

Notable Days

  • 2017-06-28: Highest Volume — 9,956 contracts
  • 2017-06-12: Largest IV spike — 15.7% change
  • 2017-06-15: Highest IV Rank — 16.8%
  • 2017-06-15: Largest Expected Move — 6.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.18$8.80$9.44$8.80$9.37
Max Pain$8.95$8.75$9.00$9.00$9.00
ATM IV21.2%18.9%22.9%20.7%21.9%
Expected Move6.1%5.4%6.6%5.9%6.3%
HV 20d12.2%10.3%14.8%12.7%12.0%
HV 60d15.3%14.0%16.4%16.0%14.4%
IV Rank10.0%0.0%16.8%6.6%15.6%
IV Percentile19.5%0.0%34.9%11.9%29.4%
Term Structure-0.1%-1.3%2.8%1.3%-1.0%
VWIV21.3%20.3%22.8%20.6%21.0%
Skew 25d3.1%2.0%4.2%2.7%2.6%
Skew 10d7.7%1.1%13.7%7.4%9.8%
Call IV 25d20.1%19.0%21.1%19.8%20.2%
Put IV 25d23.1%21.0%24.6%22.6%22.8%
Bid-Ask Spread %30.9019.1571.3938.5658.83
Gamma HHI0.230.130.350.320.26
Net GEX48.9K-918.4K631.2K-918.4K448.6K
Net DEX-2.8M-7.1M7.0M7.0M-6.9M
Net VEX-40.7K-58.2K-32.4K-44.1K-58.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.260.791.621.510.79
Total Volume6,731.2734,1449,9565,1166,064
Total OI51,261.45526,48867,52063,06445,448

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-06-01$8.80$9.0020.7%5.9%12.7%6.6%20.6%2.7%1.3%-918.4K7.0M-44.1K1.5138.56N/AN/A2,0363,08025,16037,904
2017-06-02$8.95$9.0018.9%5.4%14.1%0.0%20.3%2.0%2.8%-726.0K2.9M-44.8K1.1926.42N/AN/A2,7523,26825,46037,908
2017-06-05$9.04$8.7521.3%5.9%14.5%10.0%20.9%3.3%0.9%-516.6K871.8K-42.9K1.3131.84N/AN/A3,2564,25225,82437,768
2017-06-06$8.99$8.7521.0%6.2%14.6%8.8%21.4%3.1%-0.3%-722.8K2.4M-41.4K1.4223.29N/AN/A2,4803,51225,76038,664
2017-06-07$9.07$8.7520.9%6.2%14.8%8.5%21.3%3.2%0.1%-437.8K-251.6K-40.8K1.2823.25N/AN/A2,7683,53625,86038,712
2017-06-08$9.10$8.7521.6%6.2%12.7%11.5%21.1%2.2%0.0%-361.3K-1.1M-38.7K1.3447.82N/AN/A2,8963,87626,15638,648
2017-06-09$9.17$9.0019.5%6.0%12.6%2.5%21.4%3.2%0.2%-109.4K-3.1M-37.9K1.6238.29N/AN/A2,4924,04426,21638,988
2017-06-12$9.25$9.0022.6%6.2%12.7%15.7%21.9%3.4%-0.2%526.6K-6.0M-34.2K1.1027.43N/AN/A3,8164,20026,25638,908
2017-06-13$9.24$9.0022.3%6.1%12.7%14.5%21.4%2.7%0.1%631.2K-5.9M-33.9K1.3623.08N/AN/A3,0924,19626,90038,792
2017-06-14$9.21$9.0021.8%6.3%12.3%12.2%22.4%4.0%-0.3%237.7K-4.3M-33.6K1.4171.39N/AN/A3,0444,28827,04838,752
2017-06-15$9.23$9.0022.9%6.6%10.3%16.8%22.8%3.6%-1.3%456.5K-4.8M-32.4K1.2327.13N/AN/A4,0244,94027,20838,816
2017-06-16$9.13$9.0021.1%6.0%11.1%9.2%21.5%3.0%0.1%166.5K-2.9M-32.6K1.5727.32N/AN/A3,2085,02428,08839,432
2017-06-19$9.19$9.0021.4%6.1%11.1%10.6%21.4%2.6%0.1%166.7K-3.1M-33.2K1.0723.31N/AN/A2,4602,62412,99613,492
2017-06-20$9.22$9.0021.5%6.2%11.0%10.8%21.1%3.7%-0.3%187.2K-3.4M-34.2K1.4227.15N/AN/A1,7122,43213,56013,868
2017-06-21$9.17$9.0021.4%6.1%11.4%10.7%21.1%3.3%0.1%188.5K-3.1M-34.2K1.6122.04N/AN/A2,1963,52813,86014,064
2017-06-22$9.23$9.0020.7%5.9%11.4%7.5%21.3%3.5%-0.1%197.8K-3.5M-37.6K1.1223.52N/AN/A4,0044,47214,88015,560
2017-06-23$9.22$9.0021.1%6.0%11.0%9.1%21.1%3.3%-1.2%248.6K-3.9M-43.3K1.2219.15N/AN/A2,8083,41217,22016,944
2017-06-26$9.28$9.0021.5%6.2%11.0%10.7%20.3%4.2%-1.1%290.5K-4.7M-45.3K1.2327.09N/AN/A2,4322,98018,22817,908
2017-06-27$9.32$9.0021.6%6.2%11.0%11.4%20.9%2.4%-0.9%333.9K-5.5M-46.7K1.2023.05N/AN/A2,5483,06819,10418,528
2017-06-28$9.44$9.0019.9%5.7%10.6%4.2%22.1%2.9%0.5%403.3K-7.1M-48.1K0.9922.23N/AN/A4,9964,96020,04419,008
2017-06-29$9.28$9.0021.6%6.2%12.8%13.6%21.5%2.9%-0.7%384.4K-5.8M-56.7K0.8727.55N/AN/A3,9163,39622,82020,992
2017-06-30$9.37$9.0021.9%6.3%12.0%15.6%21.0%2.6%-1.0%448.6K-6.9M-58.2K0.7958.83N/AN/A3,3882,67623,70421,744