IBKR Options History — January 2019

In January 2019, IBKR traded between $12.40 and $13.63. ATM implied volatility averaged 35.3%, placing in the 44.3% IV rank vs the trailing year. The 30-day expected move averaged 10.0%. IV traded below realized volatility by 2.9% (HV 20d: 38.1%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 6 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 1.07.

Notable Days

  • 2019-01-23: Highest Volume — 12,744 contracts
  • 2019-01-22: Largest IV spike — 18.0% change
  • 2019-01-02: Highest IV Rank — 73.2%
  • 2019-01-02: Largest Expected Move — 12.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.97$12.40$13.63$13.29$12.71
Max Pain$13.27$12.50$15.00$13.75$15.00
ATM IV35.3%28.8%43.3%43.3%29.7%
Expected Move10.0%8.2%12.4%12.4%8.4%
HV 20d38.1%32.9%44.7%43.6%32.9%
HV 60d42.2%36.7%44.8%43.8%36.7%
IV Rank44.3%20.8%73.2%73.2%24.2%
IV Percentile66.9%33.7%96.0%96.0%38.5%
Term Structure-1.1%-3.1%0.5%-3.1%0.5%
VWIV35.9%28.7%48.0%44.1%30.8%
Skew 25d4.5%1.7%7.2%4.8%3.6%
Skew 10d10.9%3.9%17.3%14.6%6.2%
Call IV 25d33.9%28.2%42.7%42.7%28.2%
Put IV 25d38.4%31.8%47.6%47.5%31.8%
Bid-Ask Spread %24.7614.7134.3720.0634.37
Gamma HHI0.260.200.360.250.22
Net GEX-95.6K-469.2K303.8K-114.8K258.8K
Net DEX7.2M2.0M10.8M5.0M5.7M
Net VEX-128.3K-150.6K-102.9K-107.8K-148.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.070.123.101.180.72
Total Volume6,835.8191212,74412,4722,720
Total OI84,06461,512102,12061,512102,120

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-01-02$13.29$13.7543.3%12.4%43.6%73.2%44.1%4.8%-3.1%-114.8K5.0M-107.8K1.1820.06N/AN/A5,7206,75232,26029,252
2019-01-03$13.24$12.5041.2%11.8%42.8%65.6%48.0%7.2%-2.1%-137.4K5.8M-109.3K0.3631.29N/AN/A7,2802,65232,90830,956
2019-01-04$13.60$12.5038.8%10.8%44.1%56.9%38.7%4.8%-0.2%50.4K2.0M-115.1K0.5923.83N/AN/A5,7323,39234,72431,164
2019-01-07$13.22$13.7542.7%11.0%44.7%71.1%39.6%5.4%-1.0%-54.0K4.8M-109.5K3.1028.85N/AN/A4481,38835,32432,012
2019-01-08$13.16$13.7541.6%11.0%44.6%67.1%42.2%6.1%-1.3%-191.6K7.1M-109.7K2.5721.55N/AN/A1,2283,15635,28037,220
2019-01-09$12.79$13.7539.3%11.3%39.8%58.9%41.5%6.0%-1.5%-352.6K10.4M-102.9K1.4026.88N/AN/A1,7682,47636,11237,976
2019-01-10$12.91$13.7539.1%11.2%38.2%58.1%39.5%5.1%-1.3%-326.7K9.5M-106.6K0.8629.64N/AN/A1,5081,30036,89639,556
2019-01-11$12.93$13.7538.4%11.0%38.2%55.6%39.0%6.3%-1.2%-339.2K9.8M-106.1K0.3332.37N/AN/A6,8242,22837,52839,912
2019-01-14$12.78$13.7537.2%10.7%36.6%51.4%39.1%5.8%-1.5%-469.2K10.2M-110.9K0.9220.98N/AN/A3,2642,99640,54041,284
2019-01-15$12.96$13.7536.4%10.4%36.9%48.4%34.3%5.9%-2.3%-379.9K8.3M-127.7K0.9628.68N/AN/A3,2323,09643,06043,584
2019-01-16$13.09$13.7533.6%9.6%36.0%38.3%31.6%3.8%-1.7%-270.9K7.1M-137.2K0.7226.55N/AN/A4,0882,96443,08045,272
2019-01-17$13.42$13.7530.6%8.8%34.2%27.5%31.8%4.2%0.1%303.8K3.0M-141.7K1.7424.73N/AN/A3,4405,98044,28845,160
2019-01-18$13.63$13.7530.4%8.7%34.3%26.9%31.6%5.3%-1.2%-21.2K2.4M-145.8K0.6517.13N/AN/A5,1403,34445,14848,316
2019-01-22$12.97$12.5035.9%10.3%38.6%46.6%35.3%4.0%-2.4%-57.8K6.9M-141.7K0.4419.34N/AN/A7,6043,36040,49242,360
2019-01-23$12.61$12.5031.0%8.9%39.5%28.7%31.2%3.1%-0.2%66.4K8.0M-143.2K1.1726.67N/AN/A5,8766,86846,86044,712
2019-01-24$12.40$12.5030.9%8.8%38.5%28.4%30.9%3.8%-0.7%-23.2K10.8M-144.8K2.4916.71N/AN/A2,2045,49648,28048,684
2019-01-25$12.68$12.5028.8%8.2%36.2%20.8%28.7%2.6%0.4%49.2K8.0M-150.6K1.2515.77N/AN/A5,0086,27647,87649,864
2019-01-28$12.54$12.5030.9%8.9%34.4%28.5%34.2%2.2%-1.0%-36.0K10.1M-144.1K0.4414.71N/AN/A63228048,76049,564
2019-01-29$12.75$12.5030.5%8.7%33.9%27.0%31.8%1.9%-0.5%40.4K7.6M-145.9K0.5527.77N/AN/A76442048,68849,616
2019-01-30$12.69$12.5030.3%8.7%33.3%26.3%30.4%1.7%-0.2%-2.4K8.8M-144.1K0.1232.03N/AN/A4,15649248,96849,688
2019-01-31$12.71$15.0029.7%8.4%32.9%24.2%30.8%3.6%0.5%258.8K5.7M-148.8K0.7234.37N/AN/A1,5841,13652,33649,784