IBKR Options History — March 2019

In March 2019, IBKR traded between $12.45 and $13.95. ATM implied volatility averaged 30.4%, placing in the 25.6% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded above realized volatility by 6.8% (HV 20d: 23.6%). Max pain ranged from $12.50 to $13.75. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 1.78.

Notable Days

  • 2019-03-22: Highest Volume — 5,680 contracts
  • 2019-03-08: Largest IV spike — 27.6% change
  • 2019-03-08: Highest IV Rank — 54.0%
  • 2019-03-08: Largest Expected Move — 10.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.25$12.45$13.95$13.95$13.03
Max Pain$13.25$12.50$13.75$13.75$12.50
ATM IV30.4%27.5%38.0%28.1%32.1%
Expected Move8.5%7.7%10.9%8.1%8.9%
HV 20d23.6%21.5%26.2%21.7%26.1%
HV 60d30.5%27.4%33.9%33.9%27.4%
IV Rank25.6%15.9%54.0%18.2%28.0%
IV Percentile40.6%18.3%81.3%24.2%53.2%
Term Structure-1.2%-3.1%0.9%0.9%-1.0%
VWIV29.8%27.3%35.0%27.3%29.4%
Skew 25d4.4%3.3%5.8%4.6%3.6%
Skew 10d11.3%8.3%17.2%9.3%16.4%
Call IV 25d29.2%26.6%33.6%27.5%29.5%
Put IV 25d33.6%31.1%38.1%32.1%33.1%
Bid-Ask Spread %35.2410.5058.8410.7948.47
Gamma HHI0.230.180.370.250.20
Net GEX67.8K-227.1K554.5K336.9K-108.7K
Net DEX2.6M-3.9M7.1M-3.9M2.2M
Net VEX-144.1K-160.7K-134.5K-140.6K-160.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.780.214.400.620.60
Total Volume2,552.9529885,6801,7002,652
Total OI76,360.1953,66096,04886,91266,288

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-03-01$13.95$13.7528.1%8.1%21.7%18.2%27.3%4.6%0.9%336.9K-3.9M-140.6K0.6210.79N/AN/A1,05264846,68840,224
2019-03-04$13.61$13.7529.8%8.5%21.6%24.3%29.5%4.5%-1.6%264.2K-174.5K-135.7K0.2410.50N/AN/A79619246,86440,304
2019-03-05$13.46$13.7530.0%8.6%22.2%24.9%32.4%3.9%-1.4%200.0K1.6M-134.5K0.2110.75N/AN/A82017647,42040,420
2019-03-06$13.49$13.7528.9%8.3%21.5%21.1%31.7%3.7%-1.6%235.6K1.4M-135.4K0.4111.31N/AN/A1,86076047,54840,388
2019-03-07$13.39$13.7529.8%8.5%21.7%24.2%29.9%4.6%-2.4%203.2K2.4M-137.4K2.3214.36N/AN/A9722,25648,34040,828
2019-03-08$13.04$13.7538.0%10.9%23.6%54.0%35.0%4.9%-3.1%-112.4K7.1M-135.9K2.3912.66N/AN/A1,2202,91648,48042,324
2019-03-11$13.39$13.7531.1%7.8%25.2%29.0%28.2%4.5%-1.2%141.3K4.4M-138.5K4.3340.19N/AN/A4041,74848,46844,516
2019-03-12$13.50$13.7528.4%7.9%24.9%19.2%28.0%3.8%-0.7%294.8K3.8M-142.1K3.4342.04N/AN/A5521,89648,48446,092
2019-03-13$13.52$13.7528.3%7.8%24.9%18.9%27.5%4.3%-0.9%384.8K3.2M-142.4K3.7341.30N/AN/A5562,07648,80046,316
2019-03-14$13.59$13.7527.7%7.8%22.8%16.7%28.6%3.7%-0.3%554.5K2.8M-143.4K1.0841.76N/AN/A61666848,98046,720
2019-03-15$13.54$13.7527.5%7.7%22.8%15.9%28.1%4.4%-0.8%25.2K4.4M-141.2K0.8846.39N/AN/A1,8601,63249,10446,944
2019-03-18$13.72$0.0027.7%7.8%23.1%16.8%28.0%5.3%-0.4%69.2K-3.1M-141.9K0.3958.84N/AN/A80831222,05631,604
2019-03-19$13.54$12.5027.6%7.7%22.3%16.2%27.8%4.1%-0.7%50.4K-2.0M-143.2K0.8251.55N/AN/A93676422,60831,880
2019-03-20$13.26$12.5028.1%7.8%23.4%18.1%28.2%3.3%-0.7%-18.0K457.0K-144.7K1.2148.52N/AN/A56868823,22432,108
2019-03-21$13.01$12.5032.8%8.8%23.5%35.2%28.8%4.8%-2.4%-76.2K2.2M-142.0K2.1641.74N/AN/A1,4683,16423,31232,356
2019-03-22$12.57$13.7531.7%8.8%25.0%31.2%30.9%4.9%-0.9%-217.6K6.2M-146.8K2.1044.83N/AN/A1,8323,84823,92435,504
2019-03-25$12.45$12.5034.2%9.2%23.5%40.3%33.3%4.5%-2.1%-227.1K6.9M-153.5K4.4034.40N/AN/A5162,27225,36036,544
2019-03-26$12.60$12.5032.0%8.9%24.2%27.8%32.9%3.7%-1.0%-223.7K5.8M-153.0K2.9845.22N/AN/A7802,32825,50438,324
2019-03-27$12.69$12.5032.2%8.9%24.6%28.5%30.6%5.2%-1.1%-206.1K4.9M-155.1K2.6047.26N/AN/A6201,61225,73238,448
2019-03-28$12.96$12.5032.5%8.9%26.2%29.4%29.1%5.8%-1.7%-147.1K3.1M-157.6K0.5337.25N/AN/A1,81295625,93238,604
2019-03-29$13.03$12.5032.1%8.9%26.1%28.0%29.4%3.6%-1.0%-108.7K2.2M-160.7K0.6048.47N/AN/A1,65699627,07239,216