IBKR Options History — December 2017

In December 2017, IBKR traded between $14.52 and $15.48. ATM implied volatility averaged 26.4%, placing in the 57.7% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded above realized volatility by 10.9% (HV 20d: 15.5%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 1.24.

Notable Days

  • 2017-12-08: Highest Volume — 12,256 contracts
  • 2017-12-13: Largest IV drop — 23.9% change
  • 2017-12-12: Highest IV Rank — 100.0%
  • 2017-12-12: Largest Expected Move — 7.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.99$14.52$15.48$14.52$14.82
Max Pain$14.63$12.50$15.00$12.50$15.00
ATM IV26.4%21.6%35.9%21.6%25.4%
Expected Move7.4%6.2%7.9%6.2%7.3%
HV 20d15.5%11.1%18.0%14.2%18.0%
HV 60d18.4%17.8%19.1%17.8%18.4%
IV Rank57.7%37.4%100.0%37.4%50.8%
IV Percentile81.0%50.8%100.0%50.8%76.6%
Term Structure-0.4%-1.8%1.8%1.8%-1.8%
VWIV27.0%25.2%28.5%25.2%25.8%
Skew 25d1.3%-0.4%4.2%4.2%1.3%
Skew 10d1.4%-4.1%11.3%11.3%1.7%
Call IV 25d26.6%21.9%28.5%21.9%26.6%
Put IV 25d27.9%26.1%28.9%26.1%27.9%
Bid-Ask Spread %26.8813.1143.5538.2941.11
Gamma HHI0.330.290.380.290.29
Net GEX917.4K783.6K1.3M958.2K788.2K
Net DEX-32.9M-43.7M-23.0M-33.9M-23.0M
Net VEX-140.8K-149.9K-126.8K-128.9K-132.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.240.641.850.711.73
Total Volume7,9524,76412,2567,9446,916
Total OI85,573.270,07699,60087,41678,948

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-12-01$14.52$12.5021.6%6.2%14.2%37.4%25.2%4.2%1.8%958.2K-33.9M-128.9K0.7138.29N/AN/A4,6523,29253,93633,480
2017-12-04$14.71$13.7525.4%7.3%11.8%58.0%26.7%2.1%-0.9%1.0M-36.9M-126.8K1.1443.55N/AN/A4,3885,00854,61233,392
2017-12-05$14.71$13.7523.9%7.2%11.8%49.6%26.4%2.5%0.2%1.1M-35.8M-138.2K1.3336.99N/AN/A3,8605,13255,30034,944
2017-12-06$14.74$13.7524.2%7.3%11.1%51.5%26.6%1.5%-0.7%1.2M-36.8M-141.1K1.8519.80N/AN/A2,8045,20056,46035,596
2017-12-07$15.04$13.7524.2%7.5%12.2%51.3%25.9%1.8%-0.4%1.3M-39.9M-140.2K1.1626.58N/AN/A4,4725,17656,30436,240
2017-12-08$15.27$15.0028.4%7.8%11.9%73.7%27.1%1.9%-1.0%1.1M-41.9M-147.6K1.1726.10N/AN/A5,6406,61656,28437,084
2017-12-11$15.17$15.0029.9%7.6%12.7%81.8%26.7%1.8%-0.5%803.4K-38.9M-143.2K1.3622.60N/AN/A3,7485,10057,01639,416
2017-12-12$15.48$15.0035.9%7.9%13.5%100.0%27.6%1.3%-1.1%866.8K-43.7M-149.9K1.4813.11N/AN/A3,6325,37257,20439,852
2017-12-13$15.22$15.0027.3%7.8%15.9%59.6%27.3%1.1%-0.4%783.6K-40.6M-144.9K1.0342.63N/AN/A4,4124,55658,01240,364
2017-12-14$15.00$15.0026.4%7.6%17.4%55.5%27.8%-0.4%-0.1%795.0K-36.6M-146.4K1.2840.72N/AN/A3,6204,61658,56440,756
2017-12-15$15.10$15.0026.7%7.7%17.4%56.8%27.4%0.6%0.2%831.1K-39.4M-147.5K1.0022.36N/AN/A4,1364,13258,78440,816
2017-12-18$15.09$15.0026.4%7.6%17.4%55.4%28.1%0.7%-0.2%844.7K-26.9M-143.7K0.7217.06N/AN/A5,6604,06850,48419,592
2017-12-19$15.02$15.0026.3%7.5%17.4%54.6%28.5%1.5%-0.5%841.2K-26.3M-139.8K1.3216.13N/AN/A2,9403,87652,18420,668
2017-12-20$14.88$15.0025.5%7.3%18.0%51.0%28.3%-0.1%0.2%803.0K-24.7M-140.6K1.2332.44N/AN/A2,9843,66452,37621,068
2017-12-21$14.99$15.0025.0%7.2%17.8%48.6%26.1%0.5%0.3%824.7K-25.6M-141.5K0.6419.15N/AN/A5,1763,32052,34821,524
2017-12-22$15.07$15.0025.2%7.2%17.8%49.7%26.4%0.9%0.4%894.3K-27.1M-139.8K1.4717.37N/AN/A2,0763,06054,67221,672
2017-12-26$15.04$15.0027.4%7.8%17.8%59.9%27.9%0.7%-1.1%909.7K-27.4M-144.9K1.3319.44N/AN/A2,0482,71654,90821,892
2017-12-27$14.94$15.0026.6%7.6%18.0%56.3%27.3%0.5%-0.7%869.5K-25.8M-137.6K1.5819.55N/AN/A1,8642,94854,95622,208
2017-12-28$15.01$15.0025.9%7.4%17.3%53.0%26.5%1.4%-0.6%880.4K-26.4M-142.0K1.3422.57N/AN/A2,6363,52454,98022,568
2017-12-29$14.82$15.0025.4%7.3%18.0%50.8%25.8%1.3%-1.8%788.2K-23.0M-132.0K1.7341.11N/AN/A2,5364,38055,44023,508