IBKR Options History — September 2017

In September 2017, IBKR traded between $10.32 and $11.26. ATM implied volatility averaged 19.2%, placing in the 24.4% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 3.2% (HV 20d: 16.0%). Max pain ranged from $9.75 to $10.75. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 1.78.

Notable Days

  • 2017-09-28: Highest Volume — 13,696 contracts
  • 2017-09-05: Largest IV spike — 22.5% change
  • 2017-09-29: Highest IV Rank — 36.6%
  • 2017-09-29: Largest Expected Move — 6.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.73$10.32$11.26$10.66$11.26
Max Pain$10.43$9.75$10.75$9.75$10.75
ATM IV19.2%14.8%21.4%14.8%21.4%
Expected Move5.6%4.2%6.1%4.2%6.1%
HV 20d16.0%12.6%17.5%12.6%17.3%
HV 60d15.4%14.3%16.1%14.3%15.2%
IV Rank24.4%0.8%36.6%0.8%36.6%
IV Percentile19.3%0.4%41.3%0.4%41.3%
Term Structure-0.6%-1.7%2.6%2.6%-1.3%
VWIV20.1%16.8%25.3%16.8%24.3%
Skew 25d3.1%1.9%5.0%4.9%3.9%
Skew 10d8.8%3.9%15.3%13.5%9.9%
Call IV 25d18.5%11.9%20.2%11.9%20.0%
Put IV 25d21.6%16.8%25.2%16.8%23.9%
Bid-Ask Spread %26.6916.2844.1116.2844.11
Gamma HHI0.160.140.190.170.19
Net GEX418.7K52.4K507.5K407.3K52.4K
Net DEX-14.0M-18.3M-9.8M-14.5M-17.3M
Net VEX-66.9K-70.7K-63.5K-63.5K-70.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.780.805.161.535.16
Total Volume6,841.45,14813,6966,02013,056
Total OI54,166.643,59263,22057,28457,792

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-09-01$10.66$9.7514.8%4.2%12.6%0.8%16.8%4.9%2.6%407.3K-14.5M-63.5K1.5316.28N/AN/A2,3843,63625,63631,648
2017-09-05$10.43$10.2518.1%5.8%15.1%18.6%20.9%2.5%-1.5%415.7K-11.7M-67.1K1.7326.21N/AN/A2,0723,58826,27231,828
2017-09-06$10.42$10.2517.5%5.8%15.1%15.3%21.4%3.7%-1.2%412.6K-11.2M-67.6K1.8721.82N/AN/A1,8523,46026,42432,228
2017-09-07$10.32$10.2519.0%6.0%15.5%23.5%21.0%3.3%-1.7%398.6K-9.8M-68.2K1.0922.68N/AN/A3,0803,34826,47232,384
2017-09-08$10.37$10.2519.1%5.9%15.5%24.1%20.5%3.1%-0.6%415.2K-10.4M-69.1K0.9725.76N/AN/A3,1443,04028,06032,692
2017-09-11$10.41$10.2519.1%5.7%15.5%24.2%20.6%2.2%-1.0%422.1K-11.6M-67.4K1.0530.75N/AN/A2,9643,10828,04832,828
2017-09-12$10.48$10.2518.8%5.8%15.2%22.5%20.7%3.7%-1.5%454.6K-12.4M-68.1K0.8118.64N/AN/A4,1003,32828,23233,036
2017-09-13$10.49$10.2519.4%5.6%15.1%25.7%20.0%2.9%-0.6%405.4K-12.9M-67.6K0.8022.71N/AN/A4,0603,26828,77633,276
2017-09-14$10.51$10.2519.9%5.7%15.1%28.4%19.9%2.8%-1.6%417.4K-13.2M-68.7K0.9421.56N/AN/A4,1603,89228,90833,508
2017-09-15$10.46$10.2520.0%5.7%14.2%28.6%17.5%3.1%-1.1%379.9K-12.2M-68.5K1.6423.82N/AN/A2,5644,21629,09634,124
2017-09-18$10.71$10.5019.7%5.6%16.3%27.1%19.4%3.3%-0.3%437.2K-12.6M-65.8K1.0829.38N/AN/A2,8923,12425,70017,892
2017-09-19$10.85$10.5019.0%5.4%16.7%23.3%19.3%1.9%-0.4%507.5K-14.8M-65.8K2.2423.00N/AN/A1,7523,91626,51218,208
2017-09-20$10.99$10.5018.9%5.4%17.0%22.8%18.8%2.5%-0.3%486.5K-16.1M-65.4K2.1030.35N/AN/A1,9844,16026,94019,032
2017-09-21$10.90$10.5018.8%5.4%17.4%22.2%18.6%3.0%0.1%453.6K-14.7M-68.5K1.6523.94N/AN/A2,0803,42827,28019,888
2017-09-22$11.04$10.7518.8%5.4%17.2%22.5%18.4%2.9%0.4%473.6K-16.9M-67.0K1.4722.11N/AN/A2,3923,51227,66420,084
2017-09-25$11.03$10.7520.0%5.7%17.2%28.7%19.0%2.8%0.1%469.9K-16.5M-65.5K1.6526.46N/AN/A1,9403,20827,56820,176
2017-09-26$10.94$10.7519.9%5.7%17.0%28.4%19.1%2.7%-0.5%467.5K-15.5M-65.9K1.7126.14N/AN/A1,9163,27627,62420,192
2017-09-27$11.11$10.7520.1%5.8%17.5%29.5%19.7%2.4%0.0%445.3K-17.3M-64.5K1.8835.60N/AN/A1,8163,41627,62420,868
2017-09-28$11.21$10.7521.2%6.1%17.4%35.3%25.3%5.0%-1.3%452.5K-18.3M-64.1K4.1542.42N/AN/A2,66011,03627,84820,964
2017-09-29$11.26$10.7521.4%6.1%17.3%36.6%24.3%3.9%-1.3%52.4K-17.3M-70.7K5.1644.11N/AN/A2,12010,93628,67629,116