IBKR Options History — January 2018

In January 2018, IBKR traded between $14.79 and $16.29. ATM implied volatility averaged 26.2%, placing in the 54.6% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded above realized volatility by 8.5% (HV 20d: 17.8%). Max pain ranged from $15.00 to $16.25. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.95.

Notable Days

  • 2018-01-16: Highest Volume — 32,976 contracts
  • 2018-01-17: Largest IV drop — 22.3% change
  • 2018-01-09: Highest IV Rank — 88.9%
  • 2018-01-16: Largest Expected Move — 8.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.61$14.79$16.29$14.88$16.00
Max Pain$15.18$15.00$16.25$15.00$16.25
ATM IV26.2%23.0%33.6%27.0%26.0%
Expected Move7.2%6.6%8.6%7.7%7.4%
HV 20d17.8%15.1%21.3%17.0%20.7%
HV 60d17.8%16.5%19.0%18.4%17.3%
IV Rank54.6%39.4%88.9%57.9%53.3%
IV Percentile82.3%68.3%99.6%87.7%82.9%
Term Structure-0.6%-3.1%1.4%-2.7%-0.4%
VWIV25.9%22.9%30.6%26.8%26.8%
Skew 25d1.1%0.1%2.1%1.1%1.5%
Skew 10d1.4%-2.9%4.6%0.5%-1.0%
Call IV 25d26.1%23.3%30.9%28.1%27.6%
Put IV 25d27.2%24.0%32.6%29.2%29.1%
Bid-Ask Spread %39.0010.9171.4018.9471.40
Gamma HHI0.300.260.380.290.32
Net GEX1.4M771.8K2.2M794.5K1.4M
Net DEX-37.2M-48.3M-21.3M-23.2M-41.6M
Net VEX-163.2K-200.9K-135.8K-139.1K-200.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.950.322.350.911.63
Total Volume10,621.1435,72432,9766,5968,744
Total OI92,396.57180,620111,09680,620101,604

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-01-02$14.88$15.0027.0%7.7%17.0%57.9%26.8%1.1%-2.7%794.5K-23.2M-139.1K0.9118.94N/AN/A3,4483,14855,81224,808
2018-01-03$14.79$15.0027.6%7.9%16.6%61.1%29.7%1.0%-3.1%771.8K-21.3M-136.0K0.9416.67N/AN/A3,5083,30057,19625,304
2018-01-04$14.90$15.0028.3%7.2%16.8%64.2%25.5%0.6%-1.3%829.4K-23.1M-135.8K1.0550.04N/AN/A2,7882,93657,50025,620
2018-01-05$15.10$15.0028.0%7.0%17.3%62.6%24.6%1.2%-0.6%938.9K-26.0M-139.2K1.2422.40N/AN/A2,9763,69658,48825,680
2018-01-08$15.22$15.0032.0%7.3%16.1%81.7%25.2%0.4%-0.4%1.0M-28.6M-145.9K0.8434.91N/AN/A5,5684,67259,35226,108
2018-01-09$15.65$15.0033.6%7.3%18.1%88.9%25.6%0.1%-1.6%1.4M-39.2M-160.1K0.7232.37N/AN/A4,6883,38862,40826,320
2018-01-10$15.54$15.0026.5%7.6%18.1%56.0%27.6%0.2%-0.3%1.4M-36.9M-156.7K0.7169.18N/AN/A4,2843,03263,43626,280
2018-01-11$15.60$15.0027.1%7.8%16.7%58.8%26.7%1.0%-1.2%1.4M-37.8M-155.9K0.7538.81N/AN/A3,9682,96064,49626,420
2018-01-12$15.78$15.0026.7%7.6%15.8%56.5%27.0%0.6%-1.2%1.6M-43.0M-172.0K0.6535.69N/AN/A5,1523,34465,76426,448
2018-01-16$15.63$15.0030.0%8.6%15.2%72.2%30.6%1.7%-2.7%1.6M-40.9M-167.0K0.3341.79N/AN/A24,7808,19667,99226,640
2018-01-17$15.64$15.0023.3%6.7%15.1%40.7%24.4%0.8%0.3%2.2M-42.3M-162.1K0.3239.75N/AN/A17,7285,62880,90830,188
2018-01-18$15.45$15.0023.7%6.8%15.9%42.8%24.6%0.9%0.0%1.3M-37.5M-159.7K0.5729.58N/AN/A5,5483,16476,45630,764
2018-01-19$15.61$15.0023.3%6.7%16.1%40.9%22.9%0.7%1.4%1.5M-40.4M-157.8K0.5439.88N/AN/A7,2443,90876,74830,628
2018-01-22$15.92$15.0023.1%6.6%16.7%39.6%23.6%0.4%-0.3%1.6M-39.3M-155.1K1.1410.91N/AN/A3,2003,63262,30024,088
2018-01-23$16.29$15.0023.0%6.6%18.1%39.4%23.4%1.5%-0.2%1.8M-48.3M-171.6K0.4416.55N/AN/A8,5723,77663,00424,440
2018-01-24$16.09$15.0023.3%6.7%18.9%40.6%24.0%1.8%0.4%1.8M-47.0M-177.8K0.5644.42N/AN/A7,7044,34065,17224,640
2018-01-25$15.76$15.0023.9%6.8%20.8%43.4%26.1%1.7%-0.2%1.5M-38.1M-171.7K1.4241.49N/AN/A4,0565,75665,06825,484
2018-01-26$16.04$15.0023.9%6.9%21.2%43.7%25.5%2.1%-0.3%1.6M-43.3M-181.2K1.1453.51N/AN/A4,1844,77665,04427,048
2018-01-29$15.99$16.2525.4%7.3%21.3%50.4%25.8%1.8%0.2%1.6M-42.8M-181.7K2.3570.51N/AN/A4,1769,83266,10427,308
2018-01-30$15.92$16.2525.7%7.4%20.7%51.8%26.9%1.2%0.8%1.3M-39.7M-200.9K1.7640.15N/AN/A2,6284,61668,19633,064
2018-01-31$16.00$16.2526.0%7.4%20.7%53.3%26.8%1.5%-0.4%1.4M-41.6M-200.2K1.6371.40N/AN/A3,3285,41668,01233,592