IBKR Options History — August 2019

In August 2019, IBKR traded between $11.20 and $12.67. ATM implied volatility averaged 31.3%, placing in the 26.9% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded above realized volatility by 5.9% (HV 20d: 25.4%). Max pain ranged from $12.50 to $13.75. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 3.40.

Notable Days

  • 2019-08-07: Highest Volume — 10,788 contracts
  • 2019-08-09: Largest IV spike — 39.1% change
  • 2019-08-05: Highest IV Rank — 54.3%
  • 2019-08-05: Largest Expected Move — 9.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.76$11.20$12.67$12.67$11.71
Max Pain$13.64$12.50$13.75$12.50$13.75
ATM IV31.3%23.9%38.9%31.4%30.8%
Expected Move8.8%7.6%9.6%9.0%8.8%
HV 20d25.4%20.7%28.2%28.2%26.2%
HV 60d26.4%25.5%27.3%25.5%26.2%
IV Rank26.9%0.0%54.3%25.1%25.6%
IV Percentile53.8%0.0%90.5%59.9%50.8%
Term Structure-0.4%-3.0%1.8%-3.0%1.0%
VWIV30.0%24.0%34.0%30.3%28.5%
Skew 25d4.1%3.0%5.6%5.5%4.0%
Skew 10d8.6%4.8%13.5%9.4%13.5%
Call IV 25d29.4%26.4%33.0%28.6%28.0%
Put IV 25d33.5%29.7%36.7%34.1%32.0%
Bid-Ask Spread %21.6311.6842.6842.6815.88
Gamma HHI0.270.190.380.250.33
Net GEX-257.0K-378.2K-167.7K-219.0K-226.9K
Net DEX11.9M6.3M15.3M6.3M9.7M
Net VEX-94.7K-114.2K-80.3K-114.2K-88.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.400.0421.771.350.56
Total Volume1,906.90921210,7881,308212
Total OI61,531.63657,09667,28457,09659,928

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-08-01$12.67$12.5031.4%9.0%28.2%25.1%30.3%5.5%-3.0%-219.0K6.3M-114.2K1.3542.68N/AN/A55675224,81232,284
2019-08-02$12.55$12.5031.7%9.1%26.8%26.3%31.6%5.4%-2.3%-255.0K7.4M-112.7K4.4735.21N/AN/A6026825,11632,696
2019-08-05$12.18$13.7538.9%9.6%26.9%54.3%34.0%3.2%-1.6%-287.4K9.9M-111.4K0.5333.35N/AN/A72438425,10032,768
2019-08-06$12.17$13.7531.3%8.8%26.2%24.6%32.8%4.1%-1.1%-304.9K10.6M-106.2K0.6230.08N/AN/A69242825,60832,972
2019-08-07$12.00$13.7527.7%8.8%25.7%10.8%32.6%4.6%-1.1%-308.0K12.0M-103.9K1.1928.67N/AN/A4,9365,85225,87632,904
2019-08-08$12.13$13.7523.9%8.0%26.0%0.0%28.6%3.0%0.2%-283.0K10.7M-106.8K0.1327.39N/AN/A4165627,73638,508
2019-08-09$11.86$13.7533.3%8.9%26.4%35.0%30.2%4.0%-1.2%-255.7K12.4M-101.3K3.4027.01N/AN/A3881,32028,06438,488
2019-08-12$11.52$13.7537.3%9.1%27.6%49.9%31.8%4.0%-1.3%-291.0K15.1M-93.9K21.7721.15N/AN/A1242,70027,99238,460
2019-08-13$11.56$13.7534.4%8.8%27.7%39.3%30.1%4.2%-0.7%-333.3K14.7M-93.4K7.9727.16N/AN/A3602,86828,10039,184
2019-08-14$11.41$13.7532.8%9.4%22.9%33.0%24.0%4.6%-1.6%-360.5K15.3M-95.0K0.5115.17N/AN/A2,9521,50428,39238,208
2019-08-15$11.36$13.7531.0%8.9%20.7%26.5%29.4%5.6%0.5%-378.2K13.6M-89.3K3.5517.71N/AN/A19669629,36434,564
2019-08-16$11.71$13.7530.0%8.6%24.2%22.9%27.5%4.6%0.3%-179.7K11.7M-91.6K0.0814.10N/AN/A5,88445229,45635,056
2019-08-19$11.90$13.7526.6%7.6%25.1%10.2%27.5%3.4%1.8%-175.7K10.2M-91.1K0.3921.79N/AN/A56822025,04433,268
2019-08-20$11.79$13.7530.2%8.7%24.9%23.6%27.3%3.0%-0.7%-171.5K10.7M-89.8K0.0414.92N/AN/A5602025,42433,340
2019-08-21$11.73$13.7528.8%8.2%24.8%18.1%28.3%3.4%1.0%-167.7K11.2M-88.1K1.6614.87N/AN/A59699225,88033,368
2019-08-22$11.60$13.7529.3%8.4%24.9%20.1%28.7%3.5%1.0%-209.5K12.1M-85.9K0.8613.42N/AN/A23620425,96434,124
2019-08-23$11.40$13.7530.8%8.8%24.4%25.6%28.4%4.0%0.2%-230.9K13.2M-83.8K21.7513.84N/AN/A3269625,93634,304
2019-08-26$11.20$13.7531.1%8.9%24.8%26.9%32.3%3.5%-0.0%-253.2K14.4M-81.0K0.5811.68N/AN/A32418825,94034,872
2019-08-27$11.25$13.7533.1%9.5%24.6%34.3%33.1%3.9%-0.0%-258.6K14.4M-80.3K2.6913.24N/AN/A4521,21626,01634,980
2019-08-28$11.40$13.7532.7%9.4%24.8%32.8%32.8%5.2%-0.2%-255.9K13.4M-88.3K0.4716.90N/AN/A41219226,31635,448
2019-08-29$11.54$13.7531.2%8.9%25.3%27.2%29.5%3.1%0.3%-248.3K12.8M-85.9K0.2719.57N/AN/A2085626,34835,488
2019-08-30$11.71$13.7530.8%8.8%26.2%25.6%28.5%4.0%1.0%-226.9K9.7M-88.4K0.5615.88N/AN/A1367626,34433,584