IBKR Options History — July 2019

In July 2019, IBKR traded between $12.22 and $13.66. ATM implied volatility averaged 28.6%, placing in the 14.4% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded below realized volatility by 0.5% (HV 20d: 29.2%). Max pain ranged from $12.50 to $13.75. Net GEX was positive for 7 of 22 trading days. Term structure was in contango for 2 of 22 days. Put/call ratio averaged 0.94.

Notable Days

  • 2019-07-10: Highest Volume — 6,408 contracts
  • 2019-07-10: Largest IV drop — 11.8% change
  • 2019-07-08: Highest IV Rank — 27.7%
  • 2019-07-16: Largest Expected Move — 8.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.89$12.22$13.66$13.47$12.88
Max Pain$12.67$12.50$13.75$13.75$12.50
ATM IV28.6%26.8%32.1%27.9%28.1%
Expected Move8.1%7.7%8.9%8.0%8.1%
HV 20d29.2%25.7%32.8%27.3%28.1%
HV 60d25.2%22.7%26.8%22.7%25.7%
IV Rank14.4%7.4%27.7%11.6%12.2%
IV Percentile29.9%12.3%57.5%21.8%26.6%
Term Structure-0.7%-1.5%0.5%-0.1%-0.2%
VWIV28.6%26.9%30.6%28.1%27.3%
Skew 25d3.8%2.3%7.2%3.8%4.6%
Skew 10d7.3%1.7%17.3%3.7%13.4%
Call IV 25d27.4%25.2%29.4%28.2%25.8%
Put IV 25d31.2%29.4%33.6%32.0%30.3%
Bid-Ask Spread %19.7310.0234.6025.9530.26
Gamma HHI0.290.180.640.180.25
Net GEX-137.3K-912.1K278.8K123.0K-183.3K
Net DEX4.2M-4.8M13.4M-1.5M4.6M
Net VEX-121.8K-134.5K-110.2K-129.0K-117.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.940.082.910.080.57
Total Volume2,675.2735166,4083,192864
Total OI56,085.63650,34862,31250,34856,856

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-07-01$13.47$13.7527.9%8.0%27.3%11.6%28.1%3.8%-0.1%123.0K-1.5M-129.0K0.0825.95N/AN/A2,96822423,39626,952
2019-07-02$13.23$13.7528.6%8.2%25.7%14.3%30.4%4.9%-1.4%221.2K-1.1M-129.0K0.5510.02N/AN/A33218426,16026,984
2019-07-03$13.38$13.7528.7%8.2%25.7%14.5%28.7%7.2%-1.5%255.3K-2.4M-131.7K0.1725.78N/AN/A1,19620026,21627,060
2019-07-05$13.66$12.5029.0%7.9%26.1%15.8%30.5%3.9%-0.5%278.8K-4.8M-133.1K0.4223.12N/AN/A97640825,37227,076
2019-07-08$13.27$12.5032.1%8.3%28.0%27.7%29.4%2.7%-1.2%181.4K-806.0K-125.3K0.9034.20N/AN/A2,0401,84025,67227,332
2019-07-09$13.44$12.5032.0%8.1%28.2%27.5%29.1%4.0%-1.1%194.7K-1.8M-134.5K1.0125.00N/AN/A1,8761,88825,82028,788
2019-07-10$13.15$12.5028.2%8.1%29.1%12.8%30.6%3.4%-1.2%109.8K1.1M-128.7K0.6534.60N/AN/A3,8802,52825,84828,876
2019-07-11$13.22$12.5028.2%8.1%28.1%12.6%30.4%2.3%-1.1%-4.5K1.3M-128.4K1.8412.87N/AN/A1,7763,26024,67229,960
2019-07-12$13.02$12.5030.3%8.7%27.2%20.8%28.5%3.5%-0.9%-81.9K3.3M-126.8K1.2419.97N/AN/A2,4002,97224,67631,636
2019-07-15$12.81$12.5030.5%8.8%27.1%21.7%30.5%3.3%-1.2%-167.6K5.6M-123.1K2.9112.89N/AN/A9282,70024,83231,716
2019-07-16$12.83$12.5031.1%8.9%27.1%23.8%30.1%4.3%-1.4%-338.0K6.0M-126.0K0.4714.98N/AN/A2,7641,30025,33634,144
2019-07-17$12.22$12.5028.9%8.3%31.2%15.3%29.1%2.9%-0.8%-621.2K13.4M-110.2K1.1920.41N/AN/A2,1922,60427,14434,828
2019-07-18$12.51$12.5026.8%7.7%32.8%7.4%27.3%4.8%0.5%-912.1K9.3M-114.3K0.6227.23N/AN/A2,3161,44427,58434,728
2019-07-19$12.41$12.5027.6%7.9%32.7%10.3%27.1%2.6%-0.4%-449.1K11.8M-114.8K0.7610.26N/AN/A1,4761,12827,41634,684
2019-07-22$12.37$12.5027.4%7.9%32.5%9.5%27.8%2.4%-0.2%-247.0K8.3M-112.8K0.7518.46N/AN/A75656423,80431,120
2019-07-23$12.48$12.5027.1%7.8%31.8%8.3%27.3%3.3%-0.3%-237.2K7.6M-115.4K1.3313.71N/AN/A61682024,37631,340
2019-07-24$12.51$12.5027.2%7.8%31.8%8.7%26.9%5.2%-0.0%-238.2K7.5M-114.7K0.6514.72N/AN/A56836824,44831,420
2019-07-25$12.52$12.5027.5%7.9%31.8%9.8%28.0%3.2%-0.3%-235.8K7.2M-113.3K0.7112.01N/AN/A74452824,49231,556
2019-07-26$12.71$12.5026.9%7.7%32.1%7.7%27.0%4.1%0.0%-209.6K5.8M-118.7K2.0611.21N/AN/A5641,16424,48831,540
2019-07-29$12.65$12.5028.0%8.0%28.6%11.8%27.4%2.5%-0.4%-241.9K6.4M-117.0K0.9618.01N/AN/A45243624,48032,228
2019-07-30$12.75$12.5028.2%8.1%28.3%12.8%27.1%3.8%-0.7%-217.0K5.8M-116.8K0.7418.39N/AN/A35226024,54432,284
2019-07-31$12.88$12.5028.1%8.1%28.1%12.2%27.3%4.6%-0.2%-183.3K4.6M-117.0K0.5730.26N/AN/A55231224,57632,280