IBKR Options History — February 2018

In February 2018, IBKR traded between $15.48 and $17.59. ATM implied volatility averaged 29.7%, placing in the 61.8% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded below realized volatility by 6.3% (HV 20d: 36.0%). Max pain ranged from $13.75 to $15.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 15 of 19 days. Put/call ratio averaged 1.00.

Notable Days

  • 2018-02-01: Highest Volume — 13,928 contracts
  • 2018-02-05: Largest IV spike — 49.6% change
  • 2018-02-05: Highest IV Rank — 100.0%
  • 2018-02-09: Largest Expected Move — 10.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.57$15.48$17.59$16.71$17.39
Max Pain$14.14$13.75$15.00$13.75$15.00
ATM IV29.7%26.1%39.3%26.8%28.4%
Expected Move8.3%7.5%10.5%7.5%8.1%
HV 20d36.0%24.7%39.8%24.7%38.4%
HV 60d24.6%18.6%26.8%18.6%26.8%
IV Rank61.8%46.6%100.0%57.3%55.8%
IV Percentile91.5%78.6%100.0%88.5%92.1%
Term Structure0.4%-4.0%2.2%1.9%0.2%
VWIV30.6%26.4%35.4%26.4%30.1%
Skew 25d3.2%0.8%6.3%1.4%2.1%
Skew 10d7.5%-0.4%20.2%3.5%5.6%
Call IV 25d29.4%26.9%33.7%27.1%31.3%
Put IV 25d32.6%28.4%39.9%28.4%33.4%
Bid-Ask Spread %83.3979.4392.2083.8985.22
Gamma HHI0.350.240.480.350.47
Net GEX1.5M838.1K1.8M1.6M1.8M
Net DEX-49.9M-68.2M-26.4M-57.4M-57.5M
Net VEX-208.6K-228.4K-193.6K-201.5K-228.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.000.471.650.470.72
Total Volume8,651.1586,12813,92813,9289,032
Total OI107,411.158102,444111,924102,636109,588

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-02-01$16.71$13.7526.8%7.5%24.7%57.3%26.4%1.4%1.9%1.6M-57.4M-201.5K0.4783.89N/AN/A9,4764,45267,99634,640
2018-02-02$16.36$13.7526.3%7.9%26.5%54.7%28.9%2.7%-0.2%1.5M-46.9M-210.4K1.4379.44N/AN/A3,2444,64067,74835,176
2018-02-05$15.61$13.7539.3%8.7%32.0%100.0%30.3%0.8%-0.6%898.2K-30.8M-193.9K0.6689.34N/AN/A7,9605,28867,11635,328
2018-02-06$15.82$13.7534.0%9.0%32.2%78.5%33.2%3.5%0.2%1.1M-32.5M-197.4K1.6590.45N/AN/A2,5004,11671,17235,244
2018-02-07$16.22$13.7528.6%8.2%32.0%56.6%30.6%3.6%0.1%1.4M-44.4M-204.3K1.0879.63N/AN/A3,7084,01671,19635,072
2018-02-08$15.50$13.7535.9%10.3%36.1%86.4%35.4%6.3%-4.0%947.5K-29.3M-205.0K1.5489.37N/AN/A2,5483,93271,77635,216
2018-02-09$15.48$13.7536.8%10.5%36.0%89.9%34.7%6.1%-3.8%838.1K-26.4M-193.6K1.4492.20N/AN/A4,5006,49271,91236,228
2018-02-12$15.91$13.7529.8%8.5%37.2%61.4%33.0%3.9%0.6%1.3M-35.7M-205.0K1.1379.82N/AN/A3,3803,82871,89237,140
2018-02-13$15.97$13.7528.0%8.0%37.0%54.3%32.6%3.8%2.2%1.4M-37.1M-203.6K1.0283.29N/AN/A3,0323,09671,96437,252
2018-02-14$16.67$13.7527.3%7.8%39.8%51.2%28.5%3.4%2.0%1.8M-56.1M-207.3K0.7284.24N/AN/A4,2243,04072,44037,276
2018-02-15$16.95$13.7526.1%7.5%39.7%46.6%28.3%2.7%1.8%1.8M-62.7M-209.6K0.8283.86N/AN/A5,1364,22472,73637,472
2018-02-16$16.88$13.7527.9%8.0%39.7%53.6%29.0%1.6%1.6%1.5M-60.6M-204.7K0.6880.27N/AN/A4,7963,26873,42437,816
2018-02-20$16.99$13.7529.4%8.4%39.3%60.1%31.0%2.7%0.3%1.6M-58.0M-209.1K1.1479.43N/AN/A3,5684,08070,18433,536
2018-02-21$17.14$15.0027.9%8.0%38.7%54.0%29.0%2.4%1.1%1.7M-60.5M-213.8K0.7779.52N/AN/A4,7603,65270,68034,816
2018-02-22$16.89$15.0028.0%8.0%38.8%54.1%30.0%2.4%1.2%1.6M-54.2M-214.7K1.1680.59N/AN/A3,5524,12071,34035,828
2018-02-23$17.30$15.0026.3%7.5%38.5%47.2%28.4%3.1%1.5%1.7M-62.4M-215.1K1.0280.22N/AN/A3,1363,21271,42036,804
2018-02-26$17.50$15.0028.1%8.1%38.3%54.8%29.5%4.0%1.1%1.8M-68.2M-217.6K0.9379.99N/AN/A5,3004,94472,56836,892
2018-02-27$17.59$15.0029.0%8.3%38.2%58.5%32.3%3.8%0.8%1.7M-67.0M-228.4K0.5783.76N/AN/A6,4283,69273,18438,740
2018-02-28$17.39$15.0028.4%8.1%38.4%55.8%30.1%2.1%0.2%1.8M-57.5M-228.3K0.7285.22N/AN/A5,2523,78070,38039,208