IBKR Options History — August 2017

In August 2017, IBKR traded between $10.07 and $10.61. ATM implied volatility averaged 16.5%, placing in the 9.9% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded above realized volatility by 2.2% (HV 20d: 14.2%). Max pain ranged from $9.25 to $9.75. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 22 of 23 days. Put/call ratio averaged 1.21.

Notable Days

2017-08-25: Highest Volume — 14,744 contracts
2017-08-07: Largest IV spike — 13.9% change
2017-08-08: Highest IV Rank — 14.6%
2017-08-08: Largest Expected Move — 5.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$10.28	$10.07	$10.61	$10.11	$10.48
Max Pain	$9.29	$9.25	$9.75	$9.25	$9.75
ATM IV	16.5%	14.9%	17.3%	17.0%	15.8%
Expected Move	4.8%	4.4%	5.1%	4.9%	4.5%
HV 20d	14.2%	10.5%	17.6%	17.5%	11.5%
HV 60d	14.2%	13.8%	15.1%	15.1%	14.0%
IV Rank	9.9%	1.5%	14.6%	12.7%	6.2%
IV Percentile	4.0%	0.4%	7.5%	3.2%	2.0%
Term Structure	2.2%	-0.5%	3.7%	-0.5%	2.9%
VWIV	17.9%	15.9%	23.1%	17.7%	16.9%
Skew 25d	3.2%	1.9%	5.0%	5.0%	3.8%
Skew 10d	8.8%	0.4%	12.9%	12.2%	12.9%
Call IV 25d	15.3%	12.5%	16.5%	12.5%	15.0%
Put IV 25d	18.4%	17.0%	19.6%	17.5%	18.8%
Bid-Ask Spread %	14.18	8.59	19.50	15.26	15.27
Gamma HHI	0.21	0.14	0.27	0.27	0.17
Net GEX	595.8K	375.3K	778.3K	696.3K	393.8K
Net DEX	-18.8M	-21.8M	-10.8M	-19.2M	-11.7M
Net VEX	-41.9K	-64.7K	-30.8K	-40.8K	-64.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.21	0.59	2.33	2.33	1.49
Total Volume	7,744.522	4,456	14,744	4,456	6,540
Total OI	53,577.739	51,324	58,480	51,680	55,852

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
2017-08-01	$10.11	$9.25	17.0%	4.9%	17.5%	12.7%	17.7%	5.0%	-0.5%	696.3K	-19.2M	-40.8K	2.33	15.26	N/A	N/A	1,340	3,116	26,888	24,792
2017-08-02	$10.07	$9.25	17.0%	4.9%	17.6%	12.9%	16.5%	4.2%	0.1%	698.3K	-18.7M	-41.4K	1.58	16.89	N/A	N/A	1,828	2,884	26,960	24,824
2017-08-03	$10.15	$9.25	16.0%	4.7%	16.7%	7.6%	17.1%	2.9%	2.4%	658.2K	-19.8M	-38.5K	0.97	14.34	N/A	N/A	3,000	2,920	26,976	24,836
2017-08-04	$10.15	$9.25	14.9%	4.7%	16.3%	1.5%	16.9%	1.9%	2.4%	725.0K	-19.8M	-37.0K	1.75	14.32	N/A	N/A	1,684	2,940	27,020	24,836
2017-08-07	$10.10	$9.25	17.0%	5.0%	16.6%	12.6%	17.6%	2.4%	1.6%	724.8K	-18.6M	-40.4K	1.69	12.51	N/A	N/A	1,704	2,880	27,104	25,036
2017-08-08	$10.07	$9.25	17.3%	5.1%	16.6%	14.6%	17.9%	3.1%	1.0%	721.5K	-18.0M	-40.7K	1.66	16.23	N/A	N/A	1,788	2,976	27,048	25,180
2017-08-09	$10.13	$9.25	16.3%	4.7%	16.6%	9.1%	17.1%	3.8%	2.2%	703.1K	-18.7M	-39.9K	1.98	16.63	N/A	N/A	1,584	3,132	27,104	25,168
2017-08-10	$10.19	$9.25	16.9%	4.8%	16.6%	12.1%	19.1%	3.2%	2.4%	677.9K	-19.3M	-38.9K	2.00	16.89	N/A	N/A	1,920	3,832	27,192	25,272
2017-08-11	$10.18	$9.25	17.1%	4.9%	16.6%	13.1%	19.3%	3.1%	3.7%	673.9K	-18.9M	-40.7K	1.74	12.28	N/A	N/A	1,924	3,348	27,040	25,740
2017-08-14	$10.29	$9.25	16.4%	4.7%	16.7%	9.6%	17.2%	3.2%	2.5%	603.9K	-20.4M	-37.2K	0.82	8.59	N/A	N/A	4,576	3,740	27,108	25,852
2017-08-15	$10.34	$9.25	17.0%	4.9%	16.5%	12.6%	16.9%	3.0%	1.7%	633.1K	-21.8M	-37.7K	0.82	13.31	N/A	N/A	4,676	3,832	29,616	25,668
2017-08-16	$10.32	$9.25	16.8%	4.8%	14.1%	11.7%	16.5%	2.3%	2.3%	633.0K	-21.7M	-38.2K	0.87	12.93	N/A	N/A	4,572	3,980	29,804	26,008
2017-08-17	$10.18	$9.25	17.1%	4.9%	15.4%	13.3%	18.1%	3.2%	2.4%	758.5K	-19.5M	-41.1K	0.81	17.32	N/A	N/A	4,732	3,832	29,704	26,124
2017-08-18	$10.21	$9.25	16.7%	4.8%	11.3%	11.2%	17.0%	3.1%	3.0%	778.3K	-19.7M	-39.3K	0.76	13.28	N/A	N/A	4,688	3,576	29,516	26,400
2017-08-21	$10.24	$9.25	16.6%	4.8%	11.2%	10.6%	16.4%	3.4%	3.1%	563.4K	-17.5M	-38.1K	0.73	12.96	N/A	N/A	4,596	3,344	26,644	24,680
2017-08-22	$10.31	$9.25	16.5%	4.7%	11.2%	10.1%	16.4%	3.3%	2.8%	519.5K	-18.5M	-36.6K	0.69	11.51	N/A	N/A	4,292	2,960	26,892	24,992
2017-08-23	$10.39	$9.25	15.5%	4.4%	11.3%	4.5%	15.9%	3.3%	3.3%	482.4K	-19.4M	-35.2K	0.81	12.33	N/A	N/A	4,076	3,308	26,964	25,084
2017-08-24	$10.55	$9.25	15.7%	4.5%	12.0%	5.9%	19.4%	3.3%	2.6%	381.7K	-21.4M	-30.8K	0.59	12.16	N/A	N/A	8,724	5,168	27,276	25,300
2017-08-25	$10.61	$9.25	15.9%	4.6%	10.5%	6.9%	23.1%	3.0%	1.7%	451.5K	-20.9M	-41.0K	0.73	13.21	N/A	N/A	8,516	6,228	28,152	26,020
2017-08-28	$10.50	$9.25	16.4%	4.7%	11.5%	9.6%	21.7%	2.5%	2.8%	401.0K	-19.6M	-46.8K	0.68	12.62	N/A	N/A	7,972	5,432	28,804	27,244
2017-08-29	$10.46	$9.25	16.8%	4.8%	11.3%	11.5%	18.7%	3.2%	2.4%	448.7K	-18.6M	-55.6K	1.11	15.73	N/A	N/A	6,076	6,720	29,884	28,596
2017-08-30	$10.40	$9.75	16.3%	4.7%	11.5%	8.8%	17.2%	3.1%	2.4%	375.3K	-10.8M	-63.7K	1.33	19.50	N/A	N/A	3,076	4,092	24,376	30,712
2017-08-31	$10.48	$9.75	15.8%	4.5%	11.5%	6.2%	16.9%	3.8%	2.9%	393.8K	-11.7M	-64.7K	1.49	15.27	N/A	N/A	2,624	3,916	25,048	30,804