IBKR Options History — August 2018 In August 2018, IBKR traded between $15.01 and $15.62. ATM implied volatility averaged 27.0%, placing in the 35.4% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded above realized volatility by 5.0% (HV 20d: 22.0%). Max pain ranged from $16.25 to $16.25. Net GEX was positive for 8 of 23 trading days. Term structure was in contango for 21 of 23 days. Put/call ratio averaged 1.07.
Notable Days 2018-08-06 : Highest Volume — 13,888 contracts2018-08-13 : Largest IV spike — 16.7% change2018-08-13 : Highest IV Rank — 50.4%2018-08-01 : Largest Expected Move — 8.3%Monthly Statistics Metric Avg Min Max Open Close Price $15.32 $15.01 $15.62 $15.18 $15.46 Max Pain $16.25 $16.25 $16.25 $16.25 $16.25 ATM IV 27.0% 24.9% 32.2% 28.8% 24.9% Expected Move 7.6% 7.1% 8.3% 8.3% 7.1% HV 20d 22.0% 17.9% 30.6% 30.6% 18.0% HV 60d 23.6% 22.6% 24.8% 24.0% 22.7% IV Rank 35.4% 29.5% 50.4% 40.7% 29.5% IV Percentile 47.9% 28.2% 80.6% 67.1% 28.2% Term Structure 1.5% -1.2% 3.3% -1.2% 2.7% VWIV 26.9% 25.2% 30.9% 30.9% 25.2% Skew 25d 2.0% 0.5% 4.1% 3.7% 1.9% Skew 10d 3.4% -0.7% 8.4% 5.6% 2.3% Call IV 25d 26.5% 24.0% 28.7% 28.7% 24.0% Put IV 25d 28.6% 25.9% 32.6% 32.4% 25.9% Bid-Ask Spread % 24.08 11.22 62.91 62.91 13.95 Gamma HHI 0.24 0.20 0.37 0.20 0.23 Net GEX -137.7K -802.5K 441.9K -293.6K 351.3K Net DEX 10.7M 1.1M 19.7M 15.1M 2.5M Net VEX -160.6K -176.4K -130.8K -141.4K -162.8K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.07 0.49 3.76 0.81 0.49 Total Volume 6,648 2,580 13,888 4,292 7,996 Total OI 116,397.565 105,180 123,308 106,576 119,504
Daily Data (23 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2018-08-01 $15.18 $16.25 28.8% 8.3% 30.6% 40.7% 30.9% 3.7% -1.2% -293.6K 15.1M -141.4K 0.81 62.91 N/A N/A 2,376 1,916 53,908 52,668 2018-08-02 $15.09 $16.25 28.6% 8.2% 26.7% 40.0% 29.9% 4.1% 0.2% -350.3K 16.6M -136.7K 0.88 19.86 N/A N/A 2,324 2,052 54,620 53,352 2018-08-03 $15.01 $16.25 27.1% 7.8% 26.7% 35.8% 27.1% 2.0% 0.8% -451.7K 18.4M -132.8K 1.38 15.85 N/A N/A 1,928 2,660 55,512 54,032 2018-08-06 $15.13 $16.25 28.8% 7.8% 25.8% 40.7% 28.7% 1.3% 1.1% -392.8K 16.2M -130.8K 0.89 23.56 N/A N/A 7,332 6,556 56,264 54,184 2018-08-07 $15.27 $16.25 28.0% 7.6% 25.9% 38.5% 26.8% 1.3% 1.1% -353.5K 14.3M -168.4K 0.98 16.41 N/A N/A 6,708 6,560 61,292 59,596 2018-08-08 $15.39 $16.25 27.4% 7.5% 25.7% 36.7% 25.8% 2.5% 0.6% -333.7K 13.7M -170.7K 3.76 15.14 N/A N/A 1,448 5,448 61,524 59,892 2018-08-09 $15.47 $16.25 27.0% 7.4% 25.5% 35.4% 26.0% 1.6% 2.4% -233.7K 11.8M -169.0K 0.96 20.44 N/A N/A 2,336 2,236 61,952 59,924 2018-08-10 $15.50 $16.25 27.6% 7.7% 25.5% 37.0% 26.6% 2.0% 0.7% -166.7K 9.7M -176.4K 0.78 21.50 N/A N/A 1,660 1,296 62,640 59,768 2018-08-13 $15.37 $16.25 32.2% 8.0% 24.4% 50.4% 28.7% 3.7% -0.3% -410.2K 14.5M -164.6K 1.28 38.23 N/A N/A 1,132 1,448 62,604 59,552 2018-08-14 $15.40 $16.25 26.8% 7.7% 21.7% 35.0% 26.7% 2.2% 1.0% -386.1K 12.8M -163.8K 0.89 21.08 N/A N/A 1,512 1,344 62,724 59,668 2018-08-15 $15.01 $16.25 27.5% 7.9% 22.6% 36.9% 27.9% 2.2% 0.3% -802.5K 19.7M -158.4K 1.44 20.47 N/A N/A 1,556 2,236 63,116 59,700 2018-08-16 $15.22 $16.25 25.8% 7.4% 18.5% 31.8% 26.5% 2.8% 1.7% -770.7K 15.2M -157.1K 1.32 20.50 N/A N/A 2,280 3,020 62,796 59,448 2018-08-17 $15.32 $16.25 26.0% 7.5% 18.6% 32.6% 26.5% 2.8% 0.9% -115.5K 13.3M -159.6K 1.10 13.94 N/A N/A 2,952 3,236 63,280 60,028 2018-08-20 $15.51 $16.25 26.5% 7.6% 18.5% 33.9% 26.1% 2.0% 1.5% 50.2K 6.1M -167.8K 0.73 14.24 N/A N/A 2,636 1,932 53,648 51,532 2018-08-21 $15.14 $16.25 26.1% 7.5% 19.5% 32.9% 27.0% 0.7% 2.4% -70.7K 10.0M -162.0K 1.27 52.97 N/A N/A 4,024 5,104 54,352 51,216 2018-08-22 $15.28 $16.25 25.8% 7.4% 19.9% 32.1% 26.7% 1.5% 2.4% -17.5K 8.6M -163.7K 0.84 23.92 N/A N/A 6,792 5,688 56,048 52,932 2018-08-23 $15.19 $16.25 25.1% 7.2% 19.9% 30.1% 25.3% 1.1% 2.5% 19.8K 10.1M -162.6K 0.88 13.97 N/A N/A 3,360 2,944 60,404 52,160 2018-08-24 $15.28 $16.25 25.0% 7.2% 19.6% 29.6% 25.4% 2.4% 3.1% 112.2K 7.8M -163.5K 0.69 53.40 N/A N/A 4,532 3,148 62,872 52,352 2018-08-27 $15.53 $16.25 26.4% 7.6% 18.1% 33.7% 26.7% 1.5% 3.3% 317.1K 2.8M -169.8K 0.85 12.69 N/A N/A 5,148 4,360 64,328 53,044 2018-08-28 $15.62 $16.25 26.6% 7.6% 18.2% 34.2% 25.8% 0.5% 2.1% 394.3K 1.4M -172.6K 0.79 35.86 N/A N/A 4,804 3,812 65,516 53,256 2018-08-29 $15.55 $16.25 26.3% 7.6% 17.9% 33.5% 26.7% 1.5% 2.4% 441.9K 1.1M -171.4K 0.75 11.22 N/A N/A 3,116 2,344 66,556 53,332 2018-08-30 $15.39 $16.25 26.3% 7.5% 18.1% 33.3% 26.1% 1.9% 2.4% 295.2K 4.6M -168.6K 0.76 11.80 N/A N/A 3,180 2,432 66,608 53,440 2018-08-31 $15.46 $16.25 24.9% 7.1% 18.0% 29.5% 25.2% 1.9% 2.7% 351.3K 2.5M -162.8K 0.49 13.95 N/A N/A 5,356 2,640 66,652 52,852
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