IBKR Options History — November 2018

In November 2018, IBKR traded between $12.86 and $14.63. ATM implied volatility averaged 34.5%, placing in the 49.9% IV rank vs the trailing year. The 30-day expected move averaged 9.5%. IV traded below realized volatility by 14.2% (HV 20d: 48.8%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.72.

Notable Days

2018-11-28: Highest Volume — 9,436 contracts
2018-11-12: Largest IV spike — 23.1% change
2018-11-12: Highest IV Rank — 69.4%
2018-11-01: Largest Expected Move — 10.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$13.62	$12.86	$14.63	$12.90	$14.63
Max Pain	$14.76	$12.50	$15.00	$12.50	$15.00
ATM IV	34.5%	30.7%	39.9%	37.8%	30.7%
Expected Move	9.5%	8.4%	10.8%	10.8%	8.8%
HV 20d	48.8%	38.8%	56.1%	48.5%	39.0%
HV 60d	37.4%	34.0%	39.7%	34.0%	39.7%
IV Rank	49.9%	35.0%	69.4%	62.6%	35.0%
IV Percentile	78.8%	58.7%	92.9%	90.5%	58.7%
Term Structure	-1.0%	-3.0%	1.0%	-3.0%	-0.8%
VWIV	33.5%	27.4%	37.8%	37.8%	27.4%
Skew 25d	4.1%	2.7%	6.2%	4.4%	3.6%
Skew 10d	9.6%	6.0%	18.7%	6.9%	10.8%
Call IV 25d	32.3%	28.2%	35.9%	35.9%	30.9%
Put IV 25d	36.4%	31.5%	41.4%	40.3%	34.5%
Bid-Ask Spread %	20.12	12.06	34.57	17.28	31.19
Gamma HHI	0.19	0.17	0.25	0.23	0.25
Net GEX	104.9K	-161.0K	418.6K	-100.6K	285.0K
Net DEX	6.4M	-3.4M	14.9M	12.7M	-3.0M
Net VEX	-134.3K	-157.4K	-110.2K	-130.8K	-141.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.72	0.28	1.44	0.32	1.09
Total Volume	4,370.476	3,220	9,436	5,196	5,032
Total OI	92,298.286	82,328	100,256	96,344	83,492

Daily Data (21 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
2018-11-01	$12.90	$12.50	37.8%	10.8%	48.5%	62.6%	37.8%	4.4%	-3.0%	-100.6K	12.7M	-130.8K	0.32	17.28	N/A	N/A	3,944	1,252	57,260	39,084
2018-11-02	$13.70	$12.50	34.3%	9.8%	53.6%	51.3%	34.4%	5.6%	-1.3%	174.4K	3.7M	-150.9K	0.54	21.89	N/A	N/A	4,368	2,380	57,784	39,116
2018-11-05	$13.69	$15.00	36.7%	9.7%	53.5%	59.1%	35.0%	4.2%	-2.0%	176.3K	3.7M	-149.1K	0.69	17.61	N/A	N/A	2,948	2,024	58,428	39,708
2018-11-06	$13.85	$15.00	37.2%	9.6%	53.8%	60.8%	34.2%	4.5%	-1.9%	282.8K	1.1M	-157.4K	0.66	19.08	N/A	N/A	2,148	1,408	58,984	39,636
2018-11-07	$14.30	$15.00	32.2%	8.4%	54.6%	44.5%	29.7%	3.2%	-0.2%	418.6K	-3.4M	-152.6K	0.79	20.48	N/A	N/A	2,348	1,844	59,568	39,788
2018-11-08	$14.15	$15.00	32.8%	8.5%	54.5%	46.4%	30.6%	3.5%	-0.3%	362.9K	-1.5M	-147.9K	0.75	22.54	N/A	N/A	1,984	1,488	59,200	39,988
2018-11-09	$13.96	$15.00	32.4%	8.9%	54.7%	45.0%	34.3%	3.4%	-0.1%	300.4K	1.2M	-145.6K	1.44	19.19	N/A	N/A	2,008	2,900	59,188	40,036
2018-11-12	$13.55	$15.00	39.9%	9.3%	55.7%	69.4%	35.5%	2.8%	-0.7%	152.8K	6.4M	-142.4K	1.03	19.74	N/A	N/A	2,328	2,396	59,360	40,088
2018-11-13	$13.79	$15.00	38.0%	9.2%	56.1%	61.5%	33.3%	3.5%	0.1%	306.0K	3.3M	-142.6K	0.72	15.65	N/A	N/A	2,356	1,704	59,560	40,152
2018-11-14	$13.61	$15.00	34.7%	10.0%	56.1%	50.2%	35.5%	2.7%	-1.4%	279.6K	5.4M	-142.0K	0.69	20.10	N/A	N/A	2,420	1,672	59,660	40,340
2018-11-15	$13.55	$15.00	32.9%	9.4%	56.1%	43.3%	34.4%	4.0%	-0.2%	282.9K	7.6M	-136.2K	0.48	23.65	N/A	N/A	2,212	1,056	59,772	40,356
2018-11-16	$13.57	$15.00	31.0%	8.9%	56.1%	36.3%	32.0%	3.6%	1.0%	-34.1K	8.7M	-133.2K	0.36	22.63	N/A	N/A	2,900	1,036	59,864	40,392
2018-11-19	$13.36	$15.00	33.1%	9.5%	42.2%	43.8%	33.8%	2.8%	0.5%	-86.8K	10.8M	-123.3K	0.54	21.92	N/A	N/A	2,556	1,392	53,088	29,240
2018-11-20	$12.86	$15.00	37.7%	10.8%	44.5%	59.4%	37.0%	6.2%	-0.3%	-132.4K	14.8M	-111.0K	0.51	34.57	N/A	N/A	2,136	1,084	53,448	29,264
2018-11-21	$12.87	$15.00	35.7%	10.2%	43.0%	52.4%	35.0%	5.4%	-0.5%	-146.9K	14.9M	-110.2K	0.64	17.74	N/A	N/A	2,112	1,344	53,556	29,396
2018-11-23	$12.98	$15.00	36.4%	10.4%	42.5%	54.9%	32.6%	5.2%	-2.2%	-161.0K	14.5M	-110.2K	0.89	16.81	N/A	N/A	1,740	1,556	53,620	29,856
2018-11-26	$13.31	$15.00	33.5%	9.6%	40.6%	44.9%	33.6%	4.0%	-1.5%	-102.5K	11.4M	-119.1K	0.83	15.39	N/A	N/A	1,980	1,648	53,632	29,856
2018-11-27	$13.37	$15.00	32.6%	9.3%	39.2%	41.6%	33.3%	4.0%	-1.1%	-141.2K	11.9M	-112.8K	0.96	16.08	N/A	N/A	1,740	1,668	54,012	30,372
2018-11-28	$13.97	$15.00	32.5%	9.3%	41.1%	41.2%	31.1%	5.6%	-1.6%	10.6K	5.4M	-133.0K	0.28	12.06	N/A	N/A	7,376	2,060	54,176	30,484
2018-11-29	$14.13	$15.00	33.2%	9.5%	38.8%	43.8%	33.2%	4.6%	-2.7%	76.2K	3.9M	-128.8K	0.87	16.95	N/A	N/A	1,728	1,504	53,120	30,340
2018-11-30	$14.63	$15.00	30.7%	8.8%	39.0%	35.0%	27.4%	3.6%	-0.8%	285.0K	-3.0M	-141.0K	1.09	31.19	N/A	N/A	2,412	2,620	53,152	30,340