IBKR Options History — June 2018

In June 2018, IBKR traded between $16.12 and $18.09. ATM implied volatility averaged 31.3%, placing in the 48.2% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded above realized volatility by 9.3% (HV 20d: 22.0%). Max pain ranged from $17.50 to $18.75. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 1.02.

Notable Days

  • 2018-06-04: Highest Volume — 18,300 contracts
  • 2018-06-11: Largest IV spike — 10.5% change
  • 2018-06-29: Highest IV Rank — 55.2%
  • 2018-06-29: Largest Expected Move — 9.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.14$16.12$18.09$18.09$16.12
Max Pain$17.62$17.50$18.75$17.50$17.50
ATM IV31.3%28.8%33.8%29.3%33.8%
Expected Move9.0%8.4%9.7%8.4%9.7%
HV 20d22.0%17.4%25.5%24.8%17.4%
HV 60d30.1%24.1%33.4%32.8%24.1%
IV Rank48.2%40.8%55.2%42.3%55.2%
IV Percentile85.0%77.8%90.5%81.0%90.5%
Term Structure-1.8%-3.0%0.0%0.0%-3.0%
VWIV31.6%26.3%35.8%26.3%33.9%
Skew 25d4.4%3.0%6.1%4.0%4.8%
Skew 10d10.7%5.6%13.5%7.5%12.1%
Call IV 25d29.8%25.1%33.1%25.1%33.0%
Put IV 25d34.3%29.2%38.0%29.2%37.8%
Bid-Ask Spread %31.9213.1069.5444.4218.94
Gamma HHI0.270.140.610.470.18
Net GEX480.4K-312.6K2.3M1.6M-224.0K
Net DEX1.8M-14.5M14.5M-14.5M13.8M
Net VEX-140.9K-157.7K-128.1K-157.7K-128.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.020.281.641.261.06
Total Volume6,847.812,20818,3009,5923,412
Total OI101,171.61969,580132,456112,76479,600

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-06-01$18.09$17.5029.3%8.4%24.8%42.3%26.3%4.0%0.0%1.6M-14.5M-157.7K1.2644.42N/AN/A4,2485,34456,45256,312
2018-06-04$17.52$18.7529.8%8.7%25.5%43.7%30.5%4.1%-2.0%764.2K-559.1K-141.4K0.7845.37N/AN/A10,2928,00857,18856,928
2018-06-05$17.57$18.7530.0%8.7%23.7%44.4%30.1%4.2%-1.1%988.6K-2.9M-148.3K0.9719.55N/AN/A3,9763,87659,86458,340
2018-06-06$17.58$17.5029.4%8.9%22.9%42.6%31.7%4.8%-1.8%1.0M-3.6M-146.5K1.6369.54N/AN/A4,8607,90460,87259,324
2018-06-07$17.58$17.5028.8%8.7%21.2%40.8%31.0%3.6%-1.6%835.6K-1.8M-149.2K0.7938.40N/AN/A4,8563,84462,41662,116
2018-06-08$17.90$17.5030.1%8.8%22.6%44.8%30.3%3.0%-2.3%1.5M-11.1M-157.0K1.5168.87N/AN/A3,3125,00063,00462,768
2018-06-11$17.80$17.5033.3%8.6%22.5%54.0%29.7%4.5%-1.5%1.1M-7.8M-140.2K1.3518.92N/AN/A3,5684,80464,20863,888
2018-06-12$17.98$17.5031.6%8.6%23.0%49.1%29.0%4.8%-1.8%1.2M-12.2M-150.0K0.8327.31N/AN/A3,5042,90065,71265,560
2018-06-13$17.85$17.5030.4%8.7%23.0%45.5%30.8%4.2%-1.9%841.5K-8.6M-152.7K1.0956.46N/AN/A3,8444,19665,82065,956
2018-06-14$17.63$17.5030.1%8.6%23.1%44.6%31.3%4.8%-1.3%511.6K-4.8M-150.8K0.8917.16N/AN/A3,6163,23267,02465,432
2018-06-15$17.50$17.5029.8%8.5%23.1%43.7%29.8%3.8%-1.1%2.3M-2.0M-144.5K0.9051.80N/AN/A3,5923,22067,03265,192
2018-06-18$17.20$17.5029.8%8.6%23.4%43.9%31.2%4.2%-1.0%-158.6K3.7M-135.6K0.8415.55N/AN/A2,4882,08430,94838,632
2018-06-19$16.94$17.5030.4%8.7%22.6%45.6%32.5%3.7%-1.9%-170.6K5.7M-136.7K0.7913.59N/AN/A2,1201,66831,96439,364
2018-06-20$16.79$17.5032.8%9.4%22.4%52.5%31.8%4.7%-2.2%-189.6K6.9M-133.7K0.7521.53N/AN/A2,3681,77632,10839,856
2018-06-21$16.58$17.5032.7%9.4%22.5%52.3%32.9%5.8%-2.6%-272.9K10.4M-129.5K0.8746.84N/AN/A2,8962,51632,72840,200
2018-06-22$16.36$17.5032.4%9.3%22.3%51.3%31.4%6.1%-2.9%-307.5K12.0M-130.0K1.6427.17N/AN/A2,3323,82833,58441,232
2018-06-25$16.20$17.5033.7%9.7%22.3%55.1%33.5%3.8%-2.6%-312.6K14.5M-129.0K0.6918.38N/AN/A2,4121,65634,39642,084
2018-06-26$16.30$17.5033.1%9.5%18.0%53.3%33.3%4.9%-1.6%-307.9K13.0M-133.0K0.2818.79N/AN/A3,9361,10035,25242,328
2018-06-27$16.16$17.5032.6%9.4%17.9%52.0%35.7%4.9%-1.3%-234.9K13.7M-131.4K0.9918.59N/AN/A1,1121,09637,18842,180
2018-06-28$16.22$17.5033.6%9.6%17.4%54.7%35.8%4.9%-1.7%-230.5K13.2M-133.2K1.4613.10N/AN/A1,2241,78437,23242,320
2018-06-29$16.12$17.5033.8%9.7%17.4%55.2%33.9%4.8%-3.0%-224.0K13.8M-128.1K1.0618.94N/AN/A1,6601,75237,31242,288