IBKR Options History — September 2018

In September 2018, IBKR traded between $13.81 and $15.68. ATM implied volatility averaged 31.0%, placing in the 41.3% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded above realized volatility by 4.2% (HV 20d: 26.9%). Max pain ranged from $15.00 to $16.25. Net GEX was positive for 5 of 19 trading days. Term structure was in contango for 2 of 19 days. Put/call ratio averaged 0.56.

Notable Days

  • 2018-09-11: Highest Volume — 18,428 contracts
  • 2018-09-05: Largest IV spike — 10.7% change
  • 2018-09-25: Highest IV Rank — 48.3%
  • 2018-09-25: Largest Expected Move — 9.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.55$13.81$15.68$15.68$13.81
Max Pain$15.20$15.00$16.25$16.25$15.00
ATM IV31.0%25.6%33.4%25.6%33.0%
Expected Move9.0%7.3%9.6%7.3%9.5%
HV 20d26.9%18.5%29.2%18.5%28.6%
HV 60d25.3%22.6%26.5%22.6%24.9%
IV Rank41.3%29.6%48.3%31.4%47.0%
IV Percentile73.4%32.9%85.7%32.9%82.1%
Term Structure-2.4%-4.6%2.8%2.8%-3.2%
VWIV31.9%26.0%33.8%26.0%33.8%
Skew 25d0.9%-0.2%2.6%1.1%0.6%
Skew 10d2.2%-1.4%5.2%3.6%-1.4%
Call IV 25d31.9%25.7%34.3%25.7%33.7%
Put IV 25d32.8%26.8%34.4%26.8%34.3%
Bid-Ask Spread %30.199.6260.8210.279.62
Gamma HHI0.230.180.300.250.18
Net GEX-190.1K-581.5K617.8K617.8K-148.1K
Net DEX13.6M-3.2M23.4M-3.2M14.1M
Net VEX-160.4K-173.1K-146.0K-168.9K-146.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.560.171.130.960.94
Total Volume9,216.4213,79618,4286,1364,132
Total OI122,059.36883,820144,336121,18488,104

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-09-04$15.68$16.2525.6%7.3%18.5%31.4%26.0%1.1%2.8%617.8K-3.2M-168.9K0.9610.27N/AN/A3,1363,00068,35252,832
2018-09-05$15.36$16.2528.4%8.1%19.9%34.2%29.0%2.2%0.9%333.0K3.4M-164.3K0.7237.16N/AN/A3,5482,55669,04053,076
2018-09-06$14.88$16.2526.9%8.2%22.6%29.6%29.6%2.6%-1.7%-210.0K13.3M-149.5K1.1339.74N/AN/A2,8683,22870,23653,636
2018-09-07$15.13$15.0028.5%8.6%23.4%32.2%30.3%1.2%-1.6%20.7K7.0M-167.4K0.2214.22N/AN/A12,7162,82870,58854,756
2018-09-10$14.53$15.0029.4%8.9%27.3%35.2%32.9%-0.2%-1.6%-377.4K18.1M-159.9K0.1847.53N/AN/A12,0082,14481,17655,160
2018-09-11$14.47$15.0031.8%9.0%27.2%43.2%32.1%0.7%-2.9%-416.2K17.8M-157.8K0.1722.31N/AN/A15,7602,66881,06054,176
2018-09-12$14.18$15.0031.4%9.0%27.9%42.0%31.9%1.4%-2.2%-580.2K23.4M-156.3K0.2549.07N/AN/A13,1643,23282,25255,624
2018-09-13$14.58$15.0030.9%8.8%28.9%40.0%32.2%0.5%-1.5%-406.9K15.3M-169.7K0.2048.40N/AN/A10,6402,16081,90855,512
2018-09-14$14.68$15.0030.7%8.8%28.5%39.4%31.0%0.4%-2.8%-355.1K13.1M-173.1K0.2625.27N/AN/A10,7562,74883,08855,816
2018-09-17$14.35$15.0032.2%9.2%29.2%44.3%32.2%0.8%-3.7%-581.5K21.0M-159.4K0.2839.74N/AN/A11,5763,24483,79656,560
2018-09-18$14.52$15.0032.1%9.2%29.2%44.0%32.8%1.0%-3.3%-530.3K18.4M-164.0K0.3624.99N/AN/A10,0483,60884,55257,356
2018-09-19$14.59$15.0032.4%9.3%28.2%44.9%33.5%0.4%-4.0%-465.0K18.0M-168.0K0.7760.82N/AN/A2,9202,23684,89658,244
2018-09-20$14.68$15.0031.6%9.0%28.1%42.3%32.8%1.3%-3.8%-337.5K16.3M-167.9K0.5047.67N/AN/A3,1401,57685,26058,028
2018-09-21$14.36$15.0032.4%9.3%29.0%45.0%32.1%0.3%-4.6%21.8K22.2M-157.5K1.1015.34N/AN/A2,7923,06085,33659,000
2018-09-24$14.39$15.0032.7%9.4%28.9%46.0%32.8%0.4%-3.1%7.7K7.8M-160.6K0.7113.20N/AN/A2,7601,96053,76030,060
2018-09-25$14.37$15.0033.4%9.6%28.1%48.3%33.1%1.1%-2.6%-11.9K8.3M-158.9K0.5613.89N/AN/A2,4321,36454,06030,332
2018-09-26$14.09$15.0033.4%9.6%28.4%48.2%33.6%1.2%-2.9%-77.4K11.1M-152.4K0.6338.61N/AN/A2,8201,78054,39630,636
2018-09-27$13.87$15.0032.9%9.4%28.6%46.6%33.4%0.0%-3.0%-116.1K13.2M-146.3K0.7615.79N/AN/A2,5601,94455,06431,400
2018-09-28$13.81$15.0033.0%9.5%28.6%47.0%33.8%0.6%-3.2%-148.1K14.1M-146.0K0.949.62N/AN/A2,1282,00455,73632,368