IBKR Options History — July 2018

In July 2018, IBKR traded between $14.99 and $16.34. ATM implied volatility averaged 32.3%, placing in the 50.9% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded above realized volatility by 6.8% (HV 20d: 25.5%). Max pain ranged from $16.25 to $17.50. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 0.89.

Notable Days

  • 2018-07-17: Highest Volume — 26,692 contracts
  • 2018-07-11: Largest IV drop — 18.4% change
  • 2018-07-09: Highest IV Rank — 79.9%
  • 2018-07-03: Largest Expected Move — 10.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.59$14.99$16.34$16.25$14.99
Max Pain$16.37$16.25$17.50$17.50$16.25
ATM IV32.3%26.0%42.3%36.0%28.8%
Expected Move8.8%7.5%10.9%10.3%8.2%
HV 20d25.5%15.1%31.4%15.1%31.2%
HV 60d24.3%22.7%25.0%23.7%24.4%
IV Rank50.9%32.8%79.9%61.8%40.6%
IV Percentile74.5%45.6%98.4%92.9%66.7%
Term Structure-2.1%-5.2%0.5%-3.5%-0.4%
VWIV30.9%26.5%37.7%37.3%29.5%
Skew 25d3.6%-0.7%6.5%6.5%3.6%
Skew 10d9.4%3.4%17.1%17.1%7.0%
Call IV 25d30.1%26.9%36.8%34.4%29.1%
Put IV 25d33.7%28.0%40.9%40.9%32.8%
Bid-Ask Spread %26.309.8664.4124.6716.59
Gamma HHI0.210.180.370.180.22
Net GEX90.6K-377.9K1.6M-196.7K-377.9K
Net DEX13.9M-605.4K23.7M13.4M18.2M
Net VEX-125.5K-143.2K-105.6K-127.9K-130.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.890.292.661.440.79
Total Volume8,672.3812,91226,6922,9327,636
Total OI96,180.38179,952113,71679,952103,228

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-07-02$16.25$17.5036.0%10.3%15.1%61.8%37.3%6.5%-3.5%-196.7K13.4M-127.9K1.4424.67N/AN/A1,2001,73237,73242,220
2018-07-03$15.84$17.5038.2%10.9%16.7%68.0%37.7%-0.7%-5.2%-255.6K17.1M-118.7K1.1033.61N/AN/A1,8362,02837,88442,440
2018-07-05$15.18$16.2541.8%10.0%21.2%78.6%33.0%4.3%-3.2%-294.2K23.7M-105.6K0.2945.83N/AN/A10,6403,08038,54443,192
2018-07-06$15.21$16.2540.7%9.7%21.4%75.2%32.2%5.1%-3.4%-159.2K23.1M-106.7K0.3621.44N/AN/A6,6882,42444,14843,952
2018-07-09$15.53$16.2542.3%9.6%21.7%79.9%31.7%4.8%-2.7%22.6K17.3M-122.3K0.7019.57N/AN/A3,6762,56446,62044,348
2018-07-10$15.65$16.2541.3%9.0%22.3%77.1%32.8%5.2%-2.7%42.6K16.3M-124.1K0.5620.64N/AN/A4,7842,66446,89244,860
2018-07-11$15.47$16.2533.8%9.7%21.5%55.2%32.3%5.1%-3.5%1.1K18.2M-122.5K0.7716.39N/AN/A1,6441,26848,32045,620
2018-07-12$15.30$16.2533.3%9.6%21.6%54.0%32.6%4.9%-3.1%-81.4K20.5M-115.7K0.4830.78N/AN/A4,7042,26848,31245,984
2018-07-13$15.36$16.2533.4%9.6%21.9%54.1%31.7%4.7%-3.5%1.4K19.4M-118.5K0.6620.60N/AN/A3,0762,03651,08046,508
2018-07-16$15.69$16.2531.5%9.0%24.1%48.7%33.1%4.9%-3.7%264.5K11.0M-127.7K0.4833.28N/AN/A6,1242,96452,41245,600
2018-07-17$16.16$16.2531.9%9.2%26.5%49.9%33.5%2.6%-3.6%626.2K3.4M-143.2K0.3350.39N/AN/A20,0486,64455,24448,244
2018-07-18$16.34$16.2527.2%7.8%26.6%36.3%28.5%3.0%-1.2%1.6M-605.4K-140.5K0.3622.44N/AN/A14,4045,18862,25650,852
2018-07-19$15.66$16.2526.3%7.5%30.2%33.7%28.1%1.7%-1.4%383.9K13.9M-126.3K0.6524.99N/AN/A7,5284,88462,61250,668
2018-07-20$15.69$16.2526.0%7.5%30.0%32.8%26.5%0.9%-0.3%222.8K13.3M-128.8K0.8264.41N/AN/A3,9083,21262,29251,424
2018-07-23$15.89$16.2526.3%7.5%30.3%33.7%27.2%2.5%-0.8%370.3K4.2M-134.7K0.7523.90N/AN/A3,1242,33247,99642,812
2018-07-24$15.64$16.2526.3%7.5%30.6%33.4%27.8%3.7%-0.6%175.3K8.2M-127.5K1.6215.37N/AN/A2,7564,45648,94844,352
2018-07-25$15.63$16.2528.6%8.2%30.4%40.0%27.4%2.6%-0.9%80.9K9.4M-129.3K1.2613.35N/AN/A3,2044,04448,48845,804
2018-07-26$15.54$16.2528.2%8.1%30.3%39.1%27.3%2.9%-0.3%-26.0K11.2M-133.3K0.689.86N/AN/A3,4242,32449,88447,944
2018-07-27$15.37$16.2527.4%7.9%30.4%36.7%28.9%3.0%0.5%-144.8K13.9M-129.3K1.8631.52N/AN/A2,5004,65250,42848,692
2018-07-30$14.99$16.2528.9%8.3%31.4%40.9%30.3%3.6%-1.3%-355.3K18.0M-122.2K2.6612.75N/AN/A2,3126,14051,41649,536
2018-07-31$14.99$16.2528.8%8.2%31.2%40.6%29.5%3.6%-0.4%-377.9K18.2M-130.0K0.7916.59N/AN/A4,2563,38052,02851,200