IBKR Options History — October 2017

In October 2017, IBKR traded between $11.59 and $13.49. ATM implied volatility averaged 22.7%, placing in the 43.3% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 3.6% (HV 20d: 19.1%). Max pain ranged from $10.75 to $12.25. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 1.12.

Notable Days

2017-10-24: Highest Volume — 17,932 contracts
2017-10-11: Largest IV drop — 26.4% change
2017-10-10: Highest IV Rank — 82.9%
2017-10-17: Largest Expected Move — 7.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$12.32	$11.59	$13.49	$11.59	$13.49
Max Pain	$11.55	$10.75	$12.25	$10.75	$12.25
ATM IV	22.7%	18.6%	30.1%	21.1%	20.0%
Expected Move	6.2%	5.3%	7.3%	6.0%	5.7%
HV 20d	19.1%	15.4%	22.7%	19.1%	21.7%
HV 60d	16.7%	14.4%	18.2%	16.0%	18.2%
IV Rank	43.3%	21.1%	82.9%	34.6%	29.0%
IV Percentile	49.6%	13.9%	94.8%	37.3%	29.4%
Term Structure	-1.1%	-3.4%	1.0%	-0.6%	-0.4%
VWIV	23.1%	18.7%	26.8%	25.8%	20.2%
Skew 25d	2.5%	-1.5%	6.9%	2.1%	4.9%
Skew 10d	6.7%	-2.6%	13.0%	13.0%	8.9%
Call IV 25d	20.9%	13.8%	24.1%	19.1%	18.3%
Put IV 25d	23.4%	20.8%	27.0%	21.3%	23.2%
Bid-Ask Spread %	34.41	9.77	75.87	39.87	11.03
Gamma HHI	0.19	0.12	0.39	0.16	0.39
Net GEX	582.1K	198.7K	1.2M	198.7K	1.2M
Net DEX	-32.9M	-50.1M	-22.3M	-22.3M	-50.1M
Net VEX	-65.1K	-81.8K	-52.3K	-62.3K	-81.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.12	0.46	4.35	4.35	0.53
Total Volume	10,472.182	7,444	17,932	14,020	10,444
Total OI	69,674.909	58,184	82,676	58,184	82,676

Daily Data (22 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
2017-10-02	$11.59	$10.75	21.1%	6.0%	19.1%	34.6%	25.8%	2.1%	-0.6%	198.7K	-22.3M	-62.3K	4.35	39.87	N/A	N/A	2,620	11,400	28,944	29,240
2017-10-03	$11.79	$10.75	24.0%	6.9%	16.9%	50.1%	23.5%	4.5%	-3.4%	230.1K	-24.4M	-58.6K	0.85	27.12	N/A	N/A	4,356	3,724	29,112	29,788
2017-10-04	$11.82	$10.75	24.9%	7.1%	16.7%	54.9%	25.8%	2.9%	-3.2%	280.6K	-25.1M	-63.4K	0.93	31.84	N/A	N/A	3,948	3,660	30,924	30,176
2017-10-05	$11.91	$11.25	26.3%	6.0%	15.7%	62.4%	23.1%	3.1%	-0.4%	345.3K	-27.1M	-60.8K	1.42	19.43	N/A	N/A	3,124	4,428	32,008	30,648
2017-10-06	$11.85	$11.25	27.3%	6.4%	16.3%	68.2%	24.1%	2.8%	-1.3%	282.7K	-25.8M	-63.2K	1.60	17.69	N/A	N/A	3,228	5,152	32,068	31,364
2017-10-09	$11.89	$11.25	27.8%	6.3%	16.3%	70.4%	24.8%	2.6%	-1.5%	276.0K	-26.6M	-57.6K	1.04	13.91	N/A	N/A	3,656	3,788	32,180	31,780
2017-10-10	$11.84	$11.25	30.1%	6.5%	16.8%	82.9%	25.0%	3.4%	-1.8%	304.3K	-25.5M	-61.7K	0.86	16.56	N/A	N/A	4,456	3,828	32,452	31,884
2017-10-11	$11.96	$11.25	22.1%	6.3%	16.7%	40.3%	24.9%	3.8%	-1.0%	382.8K	-28.2M	-60.0K	1.03	18.44	N/A	N/A	4,084	4,220	33,608	32,012
2017-10-12	$11.91	$11.25	22.8%	6.5%	17.1%	44.0%	25.7%	2.8%	-1.4%	389.3K	-28.0M	-64.9K	1.04	56.14	N/A	N/A	3,924	4,084	34,836	32,600
2017-10-13	$11.91	$11.25	23.2%	6.6%	16.7%	45.8%	26.0%	2.9%	-1.6%	404.8K	-28.5M	-63.0K	0.91	54.72	N/A	N/A	4,652	4,216	35,720	32,968
2017-10-16	$11.94	$11.25	23.6%	6.8%	15.4%	48.1%	24.8%	3.0%	-1.7%	399.2K	-28.3M	-63.6K	0.77	58.93	N/A	N/A	4,968	3,816	36,664	33,348
2017-10-17	$11.85	$11.25	25.5%	7.3%	15.8%	58.5%	26.8%	2.3%	-2.6%	435.3K	-26.8M	-66.3K	1.46	44.39	N/A	N/A	4,072	5,952	37,488	33,496
2017-10-18	$12.43	$11.50	20.5%	5.9%	22.1%	31.6%	23.0%	-0.0%	-0.7%	655.6K	-36.5M	-52.3K	0.70	60.92	N/A	N/A	9,344	6,508	37,972	34,544
2017-10-19	$12.35	$11.75	19.8%	5.7%	21.9%	28.0%	20.1%	-0.4%	0.6%	844.3K	-34.7M	-55.4K	0.73	34.67	N/A	N/A	8,480	6,216	38,856	35,568
2017-10-20	$12.35	$12.00	19.8%	5.7%	21.9%	27.6%	20.9%	-1.5%	1.0%	641.1K	-36.0M	-62.7K	2.59	74.87	N/A	N/A	2,552	6,600	43,988	36,712
2017-10-23	$12.65	$12.00	20.9%	6.0%	22.7%	33.4%	21.4%	0.8%	-0.7%	652.2K	-33.3M	-60.9K	1.08	75.87	N/A	N/A	4,676	5,064	39,076	24,844
2017-10-24	$12.78	$12.00	20.6%	5.9%	22.0%	32.0%	20.5%	1.4%	-0.2%	689.5K	-35.5M	-66.8K	0.46	20.30	N/A	N/A	12,260	5,672	41,288	26,776
2017-10-25	$12.88	$12.25	20.8%	6.0%	21.8%	33.2%	21.3%	6.9%	-1.0%	889.9K	-40.1M	-74.9K	0.64	30.87	N/A	N/A	5,936	3,772	48,248	28,412
2017-10-26	$13.13	$12.25	18.7%	5.4%	22.2%	22.0%	20.2%	1.8%	-1.0%	981.4K	-44.2M	-74.9K	0.48	25.59	N/A	N/A	9,060	4,308	48,620	28,784
2017-10-27	$13.39	$12.25	18.6%	5.3%	22.6%	21.1%	18.7%	3.1%	0.2%	1.1M	-49.4M	-76.3K	0.60	9.77	N/A	N/A	7,476	4,516	50,924	28,796
2017-10-30	$13.29	$12.25	20.9%	6.0%	21.8%	33.6%	21.1%	2.1%	-1.8%	1.2M	-47.6M	-79.7K	0.65	14.18	N/A	N/A	7,344	4,804	52,468	28,988
2017-10-31	$13.49	$12.25	20.0%	5.7%	21.7%	29.0%	20.2%	4.9%	-0.4%	1.2M	-50.1M	-81.8K	0.53	11.03	N/A	N/A	6,808	3,636	52,584	30,092