IBKR Options History — March 2018

In March 2018, IBKR traded between $16.46 and $18.43. ATM implied volatility averaged 33.0%, placing in the 72.6% IV rank vs the trailing year. The 30-day expected move averaged 9.5%. IV traded below realized volatility by 2.3% (HV 20d: 35.3%). Max pain ranged from $16.25 to $17.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 1.49.

Notable Days

  • 2018-03-16: Highest Volume — 16,804 contracts
  • 2018-03-13: Largest IV spike — 57.1% change
  • 2018-03-13: Highest IV Rank — 100.0%
  • 2018-03-28: Largest Expected Move — 11.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.48$16.46$18.43$16.62$16.82
Max Pain$17.38$16.25$17.50$16.25$17.50
ATM IV33.0%23.1%40.4%33.3%40.2%
Expected Move9.5%8.2%11.6%9.5%11.5%
HV 20d35.3%29.3%42.3%42.3%39.6%
HV 60d30.6%28.5%35.0%28.5%35.0%
IV Rank72.6%34.3%100.0%75.6%99.2%
IV Percentile93.5%57.5%100.0%97.6%99.6%
Term Structure-1.7%-3.7%1.9%-1.7%-3.0%
VWIV34.2%30.9%40.3%33.1%38.7%
Skew 25d5.3%2.5%7.0%6.5%6.5%
Skew 10d11.5%-7.4%16.4%8.9%15.3%
Call IV 25d31.4%28.6%37.4%30.9%35.6%
Put IV 25d36.7%32.6%44.2%37.5%42.1%
Bid-Ask Spread %63.4742.3987.9387.9354.67
Gamma HHI0.490.330.640.390.34
Net GEX1.5M668.5K2.4M1.3M781.0K
Net DEX-45.5M-77.0M-12.2M-36.8M-19.1M
Net VEX-235.2K-250.2K-223.8K-227.8K-241.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.490.384.411.251.03
Total Volume8,372.3815,04816,80412,3246,380
Total OI107,648.76287,464118,500108,960105,816

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-03-01$16.62$16.2533.3%9.5%42.3%75.6%33.1%6.5%-1.7%1.3M-36.8M-227.8K1.2587.93N/AN/A5,4766,84869,15239,808
2018-03-02$16.97$16.2529.6%8.5%40.0%60.6%31.5%3.4%1.9%1.4M-43.6M-233.7K1.2986.59N/AN/A4,8206,23669,27641,876
2018-03-05$17.38$17.5030.0%8.8%39.9%62.3%31.2%3.1%-1.5%1.6M-52.2M-233.0K1.0865.12N/AN/A3,4483,71669,54844,480
2018-03-06$17.80$17.5029.7%8.6%35.9%61.1%31.0%3.2%-1.2%1.9M-62.9M-237.6K0.7473.41N/AN/A3,3002,44070,32844,716
2018-03-07$17.69$17.5030.4%8.8%36.1%64.0%33.7%4.1%-1.0%1.8M-59.8M-237.5K1.0566.91N/AN/A2,5122,64070,44844,700
2018-03-08$17.84$17.5029.3%8.9%35.3%59.3%32.8%4.4%-1.6%1.9M-63.7M-235.5K1.1866.54N/AN/A2,3682,78870,41244,860
2018-03-09$18.43$17.5023.1%8.2%31.3%34.3%31.8%5.1%-1.2%2.4M-77.0M-233.1K0.8673.44N/AN/A4,3363,71670,60845,024
2018-03-12$18.35$17.5025.5%8.4%31.4%44.1%33.1%6.0%-0.8%2.2M-74.0M-238.2K1.6062.94N/AN/A2,9444,69670,85245,244
2018-03-13$18.11$17.5040.1%9.2%31.5%100.0%30.9%6.5%-1.5%2.1M-68.8M-230.9K1.2172.42N/AN/A3,8244,62470,64447,544
2018-03-14$17.96$17.5031.8%9.1%31.9%67.3%33.1%6.2%-1.1%2.0M-64.4M-230.0K1.7756.81N/AN/A2,9405,20470,40447,708
2018-03-15$17.66$17.5031.4%9.0%29.7%65.8%33.4%4.9%-1.5%1.8M-58.0M-228.2K1.3359.86N/AN/A3,9965,30869,94048,444
2018-03-16$17.80$17.5031.6%9.1%29.3%66.7%32.1%5.5%-1.8%1.6M-62.7M-223.8K3.3565.39N/AN/A3,86012,94470,00048,500
2018-03-19$17.63$17.5031.4%9.0%29.6%65.8%35.4%5.6%-1.5%1.4M-33.9M-235.2K4.4161.25N/AN/A1,9528,60054,64432,820
2018-03-20$17.95$17.5033.1%9.5%30.0%72.7%34.3%6.5%-2.5%1.5M-40.6M-233.5K1.6742.39N/AN/A3,9046,50055,17234,140
2018-03-21$18.06$17.5033.3%9.5%30.0%73.2%33.7%2.5%-3.7%1.6M-42.9M-250.2K2.6468.37N/AN/A2,1685,72857,10436,256
2018-03-22$17.05$17.5034.5%9.9%36.5%78.1%34.9%4.6%-1.3%1.1M-23.6M-242.6K1.9366.15N/AN/A3,8207,38857,74036,820
2018-03-23$16.59$17.5039.1%11.2%36.7%96.2%40.3%6.4%-3.2%747.0K-15.1M-237.1K0.9052.69N/AN/A2,6602,38858,08440,688
2018-03-26$17.32$17.5034.5%9.9%39.8%78.2%35.7%5.9%-1.3%1.1M-28.4M-243.3K0.3848.27N/AN/A4,2801,64458,64841,364
2018-03-27$16.69$17.5039.9%11.4%41.8%99.4%38.9%7.0%-3.7%800.0K-16.3M-236.3K0.8153.67N/AN/A3,2202,62461,40041,456
2018-03-28$16.46$17.5040.4%11.6%41.9%100.0%38.7%6.8%-3.1%668.5K-12.2M-230.0K0.8548.06N/AN/A4,0923,48861,48842,468
2018-03-29$16.82$17.5040.2%11.5%39.6%99.2%38.7%6.5%-3.0%781.0K-19.1M-241.3K1.0354.67N/AN/A3,1403,24061,89643,920