IBKR Options History — December 2018

In December 2018, IBKR traded between $12.84 and $14.53. ATM implied volatility averaged 41.0%, placing in the 69.1% IV rank vs the trailing year. The 30-day expected move averaged 11.4%. IV traded above realized volatility by 0.5% (HV 20d: 40.4%). Max pain ranged from $13.75 to $15.00. Net GEX was positive for 8 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 1.92.

Notable Days

  • 2018-12-31: Highest Volume — 10,284 contracts
  • 2018-12-10: Largest IV spike — 20.6% change
  • 2018-12-27: Highest IV Rank — 100.0%
  • 2018-12-27: Largest Expected Move — 14.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.47$12.84$14.53$14.53$13.52
Max Pain$13.94$13.75$15.00$15.00$13.75
ATM IV41.0%31.3%50.7%31.3%44.9%
Expected Move11.4%9.0%14.5%9.0%12.9%
HV 20d40.4%33.4%45.7%33.5%43.3%
HV 60d42.0%39.7%43.9%39.7%43.9%
IV Rank69.1%37.2%100.0%37.2%79.1%
IV Percentile91.1%59.5%100.0%59.5%98.0%
Term Structure-1.3%-4.6%1.4%-0.3%-3.0%
VWIV40.7%33.7%50.1%33.7%45.4%
Skew 25d5.8%2.8%7.7%3.1%7.3%
Skew 10d14.7%8.8%26.1%8.9%20.3%
Call IV 25d38.4%32.2%47.0%32.2%43.4%
Put IV 25d44.2%35.3%54.7%35.3%50.6%
Bid-Ask Spread %47.6422.4164.8228.3122.41
Gamma HHI0.210.180.270.270.19
Net GEX-17.6K-168.4K226.2K226.2K-28.7K
Net DEX6.8M-1.3M13.8M-1.3M2.7M
Net VEX-112.0K-130.8K-99.6K-130.8K-107.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.920.654.850.870.91
Total Volume3,086.699210,2845,08010,284
Total OI76,164.450,56485,01683,34853,856

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-12-03$14.53$15.0031.3%9.0%33.5%37.2%33.7%3.1%-0.3%226.2K-1.3M-130.8K0.8728.31N/AN/A2,7162,36453,37229,976
2018-12-04$14.15$15.0037.8%10.8%35.0%59.7%36.2%6.8%-4.2%135.4K2.9M-129.2K1.3028.88N/AN/A8521,10854,16429,916
2018-12-05$14.18$15.0038.2%10.9%34.8%61.1%36.9%6.1%-4.6%142.4K2.5M-127.1K1.3032.79N/AN/A8521,10854,16429,916
2018-12-06$13.91$13.7541.8%10.3%33.5%73.9%35.0%4.7%-0.2%62.7K5.6M-126.2K0.6852.00N/AN/A90461654,10830,116
2018-12-07$13.79$13.7540.3%10.1%33.4%68.5%35.3%5.1%-0.4%43.2K6.0M-125.8K0.6551.19N/AN/A1,44494054,48030,084
2018-12-10$12.94$13.7548.6%11.6%39.9%97.5%44.6%6.9%-1.7%-141.2K13.8M-105.1K1.4953.63N/AN/A6841,02054,86829,840
2018-12-11$13.36$13.7542.0%10.4%40.5%73.9%37.3%5.0%-0.8%-54.0K9.4M-114.3K1.0450.91N/AN/A78882054,91629,500
2018-12-12$13.33$13.7535.9%10.3%39.9%51.5%37.8%4.7%-0.4%-60.5K10.1M-112.3K3.5451.06N/AN/A26092055,16429,456
2018-12-13$12.90$13.7539.7%11.4%41.2%65.4%37.2%6.3%-1.4%-168.4K13.1M-101.0K2.8452.44N/AN/A5921,68455,18028,772
2018-12-14$12.84$13.7539.1%11.2%41.2%63.1%37.7%5.1%-0.6%-163.1K12.5M-99.6K2.3357.40N/AN/A7481,74055,26828,348
2018-12-17$13.15$13.7536.6%10.5%42.3%54.3%39.4%5.5%-0.3%-82.2K10.0M-104.4K0.9259.69N/AN/A51647655,31628,364
2018-12-18$13.69$13.7535.5%10.2%44.4%47.4%37.1%4.2%1.4%77.7K5.3M-109.7K0.9557.60N/AN/A1,6961,60455,26028,144
2018-12-19$13.48$13.7537.0%10.6%42.4%53.2%37.6%2.8%0.8%15.0K7.1M-107.5K1.9564.82N/AN/A6841,33655,47228,232
2018-12-20$13.55$13.7540.8%11.7%42.4%67.9%45.9%7.6%-1.5%62.7K5.2M-109.5K3.4257.47N/AN/A8843,02055,46427,868
2018-12-21$13.36$13.7542.0%12.0%42.8%72.2%43.7%7.1%-1.7%-46.3K9.2M-107.1K1.5055.78N/AN/A1,2561,88855,47629,540
2018-12-24$12.95$13.7549.2%14.1%43.2%99.8%47.4%7.6%-2.3%-82.4K6.2M-102.1K2.0139.53N/AN/A8441,69630,07620,568
2018-12-26$13.48$13.7543.8%12.6%45.7%79.2%47.2%6.0%-0.7%-38.2K3.4M-107.2K2.4256.60N/AN/A9202,22830,06020,504
2018-12-27$13.02$13.7550.7%14.5%44.3%100.0%50.1%7.7%-2.6%-132.2K6.2M-103.7K4.8551.72N/AN/A7843,80030,31222,364
2018-12-28$13.32$13.7544.1%12.7%44.9%76.3%48.2%6.7%-2.2%-120.5K5.3M-108.7K3.4028.47N/AN/A1,2844,37230,73624,068
2018-12-31$13.52$13.7544.9%12.9%43.3%79.1%45.4%7.3%-3.0%-28.7K2.7M-107.7K0.9122.41N/AN/A5,3804,90431,68022,176