IBKR Options History — November 2017

In November 2017, IBKR traded between $13.42 and $14.29. ATM implied volatility averaged 22.3%, placing in the 40.9% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 2.4% (HV 20d: 19.8%). Max pain ranged from $10.25 to $12.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.84.

Notable Days

  • 2017-11-03: Highest Volume — 20,392 contracts
  • 2017-11-29: Largest IV spike — 11.3% change
  • 2017-11-29: Highest IV Rank — 58.1%
  • 2017-11-29: Largest Expected Move — 7.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.71$13.42$14.29$13.46$14.26
Max Pain$10.45$10.25$12.50$12.25$12.50
ATM IV22.3%20.4%25.4%20.4%24.9%
Expected Move6.4%5.8%7.3%5.8%7.2%
HV 20d19.8%14.4%24.4%21.9%14.6%
HV 60d18.8%17.9%19.4%18.2%17.9%
IV Rank40.9%31.0%58.1%31.0%55.3%
IV Percentile55.6%31.7%77.4%31.7%75.8%
Term Structure1.6%-0.3%3.1%-0.3%0.8%
VWIV23.1%20.4%26.1%20.4%26.1%
Skew 25d3.3%1.6%17.6%7.2%1.7%
Skew 10d7.8%1.8%48.6%12.2%15.7%
Call IV 25d22.7%19.1%24.2%19.1%23.8%
Put IV 25d26.1%23.6%41.7%26.3%25.5%
Bid-Ask Spread %59.2215.4193.8093.8080.09
Gamma HHI0.340.240.470.370.24
Net GEX1.0M732.2K1.4M1.1M732.2K
Net DEX-47.2M-53.1M-28.4M-49.5M-28.4M
Net VEX-99.6K-125.1K-79.3K-80.2K-125.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.840.261.640.690.75
Total Volume9,6886,67620,3929,3847,160
Total OI94,03282,548101,24082,54886,088

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-11-01$13.46$12.2520.4%5.8%21.9%31.0%20.4%7.2%-0.3%1.1M-49.5M-80.2K0.6993.80N/AN/A5,5483,83652,11630,432
2017-11-02$13.75$10.2521.1%6.0%22.5%34.6%22.9%1.8%1.8%1.1M-53.1M-79.3K0.8458.23N/AN/A6,8405,71652,41631,252
2017-11-03$13.47$10.2520.5%6.2%24.1%31.6%23.4%2.4%1.5%992.5K-48.2M-85.8K0.3242.97N/AN/A15,4644,92852,48833,268
2017-11-06$13.61$10.2522.3%6.2%24.1%41.2%22.7%2.2%1.7%1.0M-49.9M-97.9K0.8362.83N/AN/A4,7843,97261,48834,412
2017-11-07$13.52$10.2522.5%6.2%24.2%42.2%23.2%2.6%1.7%1.0M-48.7M-97.4K0.8662.01N/AN/A5,1324,41661,54834,584
2017-11-08$13.49$10.2521.9%6.3%24.4%39.0%22.5%2.3%1.6%1.0M-48.0M-97.3K0.6679.99N/AN/A6,5644,34461,62435,096
2017-11-09$13.42$10.2522.4%6.4%24.4%41.9%24.8%2.2%1.9%976.6K-46.2M-104.6K1.6469.45N/AN/A2,9644,86464,71235,264
2017-11-10$13.47$10.2522.2%6.4%24.4%40.8%25.0%2.8%1.7%1.1M-46.6M-103.4K1.6059.46N/AN/A3,0964,94064,82035,252
2017-11-13$13.47$10.2522.6%6.5%24.4%42.6%23.5%2.7%1.7%1.1M-47.0M-101.7K1.2068.40N/AN/A3,2803,94064,78435,744
2017-11-14$13.51$10.2522.0%6.3%23.9%39.6%24.2%1.6%2.7%1.2M-48.4M-97.8K1.5153.32N/AN/A2,6644,01265,30835,812
2017-11-15$13.52$10.2522.8%6.5%18.3%43.9%23.9%3.1%2.3%1.2M-47.5M-102.6K1.1864.17N/AN/A3,5444,17265,25235,988
2017-11-16$13.61$10.2521.8%6.2%17.8%38.2%22.2%2.7%3.1%1.4M-48.8M-102.5K1.1457.12N/AN/A3,7964,34464,98836,252
2017-11-17$13.63$10.2522.6%6.5%17.8%43.0%23.3%2.2%2.2%783.8K-48.4M-99.7K0.7758.06N/AN/A4,9123,76064,52036,172
2017-11-20$13.82$10.2521.2%6.1%16.7%35.4%21.8%1.6%2.4%870.1K-47.6M-96.2K0.6615.41N/AN/A4,8083,16458,78430,608
2017-11-21$13.88$10.2521.5%6.2%16.6%36.7%21.3%1.7%1.3%921.2K-47.5M-100.3K0.6822.97N/AN/A4,6243,14459,18431,048
2017-11-22$13.82$10.2520.7%5.9%16.8%32.6%20.7%3.1%2.2%946.6K-46.4M-100.6K0.7146.19N/AN/A4,1642,97659,18031,660
2017-11-24$13.90$10.2522.4%6.4%15.8%41.5%21.9%2.7%0.9%958.1K-46.5M-101.2K0.6938.62N/AN/A4,2122,92459,25231,740
2017-11-27$13.89$10.2523.3%6.7%14.5%46.6%23.4%3.5%1.4%962.6K-46.8M-102.2K0.3474.90N/AN/A9,0643,07259,14032,008
2017-11-28$14.05$10.2522.9%6.6%14.4%44.2%22.9%17.6%1.9%1.0M-48.5M-102.2K0.2668.15N/AN/A10,2602,70463,89632,448
2017-11-29$14.29$10.2525.4%7.3%14.6%58.1%25.8%2.0%-0.0%807.5K-48.4M-114.1K0.3867.53N/AN/A11,1084,23261,47632,568
2017-11-30$14.26$12.5024.9%7.2%14.6%55.3%26.1%1.7%0.8%732.2K-28.4M-125.1K0.7580.09N/AN/A4,0843,07652,48833,600