IBKR Options History — July 2017

In July 2017, IBKR traded between $9.24 and $10.01. ATM implied volatility averaged 20.8%, placing in the 22.5% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 5.0% (HV 20d: 15.7%). Max pain ranged from $9.00 to $9.25. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 1.19.

Notable Days

  • 2017-07-18: Highest Volume — 11,140 contracts
  • 2017-07-12: Largest IV drop — 26.2% change
  • 2017-07-11: Highest IV Rank — 72.6%
  • 2017-07-05: Largest Expected Move — 7.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.56$9.24$10.01$9.55$10.01
Max Pain$9.22$9.00$9.25$9.00$9.25
ATM IV20.8%14.6%29.3%23.1%16.2%
Expected Move5.6%4.2%7.7%6.6%4.6%
HV 20d15.7%13.0%19.3%13.3%18.4%
HV 60d14.5%13.0%15.1%14.8%15.0%
IV Rank22.5%0.0%72.6%21.4%8.3%
IV Percentile29.1%0.0%92.1%42.5%1.6%
Term Structure-0.8%-4.9%1.2%-1.3%0.8%
VWIV19.8%15.6%27.6%23.5%16.2%
Skew 25d2.9%1.8%4.3%3.8%2.6%
Skew 10d8.4%4.0%15.8%6.0%9.1%
Call IV 25d18.3%13.9%26.1%21.2%15.8%
Put IV 25d21.2%16.8%28.9%25.0%18.4%
Bid-Ask Spread %26.9212.5177.6877.6818.61
Gamma HHI0.280.230.330.290.26
Net GEX700.1K506.1K1.2M555.5K744.2K
Net DEX-11.2M-17.6M-5.2M-9.9M-17.6M
Net VEX-53.5K-59.0K-44.1K-56.5K-44.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.190.642.411.371.37
Total Volume6,5024,01611,1404,6766,468
Total OI51,805.646,36460,58046,36450,964

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-07-03$9.55$9.0023.1%6.6%13.3%21.4%23.5%3.8%-1.3%555.5K-9.9M-56.5K1.3777.68N/AN/A1,9762,70024,52821,836
2017-07-05$9.54$9.0026.9%7.7%13.0%41.5%27.6%2.8%-4.9%516.9K-10.2M-56.5K1.0571.17N/AN/A2,8362,96424,84021,992
2017-07-06$9.43$9.2528.7%6.5%13.9%57.2%22.6%3.2%-2.8%506.1K-8.7M-58.6K1.0423.51N/AN/A2,7842,90025,50822,436
2017-07-07$9.36$9.2528.0%6.4%14.3%61.0%21.5%3.4%-1.7%516.6K-7.5M-59.0K1.2021.28N/AN/A2,3722,85626,18422,700
2017-07-10$9.39$9.2528.3%6.1%14.0%65.4%22.3%3.2%-1.8%566.7K-7.9M-58.2K0.9018.28N/AN/A3,2082,89626,95623,072
2017-07-11$9.37$9.2529.3%6.5%13.8%72.6%22.3%2.9%-1.3%560.4K-7.8M-56.9K0.9118.73N/AN/A3,4563,14427,24423,264
2017-07-12$9.41$9.2521.7%6.2%13.9%19.0%21.7%2.9%-1.9%655.6K-9.1M-57.7K1.2719.80N/AN/A2,4083,04828,21623,276
2017-07-13$9.47$9.2521.5%6.2%13.9%17.8%22.3%3.1%-2.2%714.0K-10.4M-56.5K0.9314.43N/AN/A2,9762,77228,47623,396
2017-07-14$9.46$9.2521.0%6.0%14.0%14.4%21.8%2.4%-1.3%767.6K-10.5M-57.0K1.2919.32N/AN/A2,1602,78029,18023,484
2017-07-17$9.46$9.2521.1%6.1%13.4%15.2%21.5%2.6%-1.6%810.9K-10.7M-54.5K0.6419.34N/AN/A4,2082,68029,45223,676
2017-07-18$9.42$9.2521.4%6.1%13.4%17.0%21.8%2.3%-2.2%870.0K-10.0M-55.0K2.4123.10N/AN/A3,2647,87630,68423,784
2017-07-19$9.24$9.2517.1%4.9%15.2%0.0%17.3%2.6%-0.2%751.2K-5.2M-51.3K1.3222.05N/AN/A3,7244,92031,91628,664
2017-07-20$9.37$9.2516.2%4.7%15.8%0.0%15.6%2.1%1.2%1.2M-8.5M-52.1K1.7219.82N/AN/A2,7164,66031,72827,988
2017-07-21$9.68$9.2514.6%4.2%19.2%0.0%15.8%2.2%1.2%628.3K-17.5M-48.8K0.8321.30N/AN/A5,9564,96032,40028,176
2017-07-24$9.75$9.2516.3%4.7%19.3%8.7%16.1%3.3%0.6%754.1K-13.5M-49.9K0.7812.51N/AN/A4,1723,25625,72023,292
2017-07-25$9.75$9.2516.6%4.8%19.3%10.4%17.0%3.9%-0.2%745.4K-13.3M-51.3K1.0213.14N/AN/A3,1763,25226,02823,860
2017-07-26$9.75$9.2516.0%4.6%19.3%7.1%16.5%3.4%1.2%730.5K-13.4M-51.2K1.4164.03N/AN/A1,6642,35226,15623,944
2017-07-27$9.81$9.2516.1%4.6%18.9%8.1%16.1%4.3%1.1%766.4K-14.5M-48.5K1.0818.21N/AN/A2,3762,57226,20024,060
2017-07-28$10.00$9.2515.3%4.4%18.5%3.8%16.8%1.8%0.8%682.4K-17.3M-45.6K1.2522.02N/AN/A2,4723,08026,56424,268
2017-07-31$10.01$9.2516.2%4.6%18.4%8.3%16.2%2.6%0.8%744.2K-17.6M-44.1K1.3718.61N/AN/A2,7323,73626,85224,112