IBKR Options History — September 2019

In September 2019, IBKR traded between $11.82 and $13.39. ATM implied volatility averaged 30.5%, placing in the 24.5% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded above realized volatility by 9.6% (HV 20d: 20.8%). Max pain ranged from $11.25 to $13.75. Net GEX was positive for 12 of 20 trading days. Term structure was in contango for 1 of 20 days. Put/call ratio averaged 0.85.

Notable Days

  • 2019-09-19: Highest Volume — 7,104 contracts
  • 2019-09-05: Largest IV drop — 18.6% change
  • 2019-09-26: Highest IV Rank — 36.3%
  • 2019-09-26: Largest Expected Move — 9.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.68$11.82$13.39$11.85$13.39
Max Pain$12.38$11.25$13.75$13.75$12.50
ATM IV30.5%27.0%33.6%33.5%32.6%
Expected Move8.8%8.3%9.6%9.6%9.4%
HV 20d20.8%15.5%25.0%24.6%21.6%
HV 60d26.0%25.2%26.5%26.2%25.8%
IV Rank24.5%11.3%36.3%35.9%32.5%
IV Percentile46.0%12.3%75.4%74.6%66.3%
Term Structure-1.3%-4.7%0.5%-0.5%-4.0%
VWIV30.6%28.7%34.0%32.6%33.0%
Skew 25d4.0%2.0%5.4%4.0%2.4%
Skew 10d11.5%-3.5%18.2%18.2%-3.5%
Call IV 25d28.9%26.9%33.0%29.6%33.0%
Put IV 25d33.0%31.3%36.2%33.6%35.4%
Bid-Ask Spread %27.6317.5243.4225.6520.74
Gamma HHI0.220.150.340.310.33
Net GEX4.4K-205.9K261.1K-205.7K261.1K
Net DEX1.1M-6.0M8.6M8.5M-6.0M
Net VEX-96.5K-110.7K-87.0K-89.1K-110.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.850.202.900.730.48
Total Volume1,136.41367,104180744
Total OI58,34150,75667,30059,98056,524

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-09-03$11.85$13.7533.5%9.6%24.6%35.9%32.6%4.0%-0.5%-205.7K8.5M-89.1K0.7325.65N/AN/A1047626,43633,544
2019-09-04$11.82$13.7533.1%9.5%24.6%34.4%30.7%3.6%-1.3%-205.9K8.6M-87.0K0.6325.05N/AN/A966026,50033,560
2019-09-05$12.02$11.2527.0%8.3%24.9%11.3%29.1%3.1%-0.6%-184.5K7.3M-89.3K1.3131.89N/AN/A60879626,50833,540
2019-09-06$12.16$11.2527.4%8.3%25.0%12.9%29.7%3.6%-0.6%-144.8K5.9M-90.1K0.2030.56N/AN/A1402826,58033,212
2019-09-09$12.20$11.2529.0%8.4%23.6%19.2%29.4%4.8%-0.5%-145.8K5.8M-88.9K1.0017.52N/AN/A26026026,66033,172
2019-09-10$12.42$11.2529.0%8.6%21.3%18.9%30.0%3.9%-0.6%-113.7K3.8M-91.6K0.6318.34N/AN/A60038026,69233,168
2019-09-11$12.64$12.5029.3%8.4%21.9%20.0%30.3%5.0%-0.3%-59.5K1.9M-91.9K0.2324.39N/AN/A74016826,80033,236
2019-09-12$12.83$12.5028.8%8.3%21.1%18.4%29.2%4.4%-0.7%20.0K182.2K-92.4K0.4125.09N/AN/A89636826,97633,208
2019-09-13$12.95$12.5029.8%8.5%20.8%21.9%29.1%4.4%-0.8%63.3K-1.4M-94.2K1.1732.78N/AN/A18421626,94433,164
2019-09-16$13.09$12.5031.0%8.9%18.8%26.5%29.5%4.5%-1.4%155.0K-2.6M-94.9K2.9035.37N/AN/A8023227,02833,264
2019-09-17$13.01$12.5031.0%8.9%18.9%26.4%31.0%4.5%-1.9%71.5K-1.6M-92.0K0.9232.88N/AN/A968827,09233,312
2019-09-18$12.89$12.5031.2%8.9%18.7%27.1%30.3%5.4%-1.3%-14.7K-860.5K-91.6K1.1329.17N/AN/A40045227,06833,348
2019-09-19$12.93$12.5030.1%8.6%18.4%23.0%29.7%3.8%-0.7%66.5K-1.4M-90.6K1.4127.76N/AN/A2,9444,16027,04833,508
2019-09-20$12.90$12.5029.0%8.3%17.7%19.1%29.2%3.9%0.5%66.7K-580.5K-107.9K0.4630.03N/AN/A36816829,83237,468
2019-09-23$12.96$12.5030.2%8.7%15.5%23.5%28.7%3.8%-0.6%75.1K-1.2M-106.2K0.3330.37N/AN/A2086822,86027,896
2019-09-24$12.61$12.5030.4%8.7%17.9%24.2%31.1%4.7%-1.3%35.9K1.4M-102.3K0.7122.67N/AN/A37226423,16428,028
2019-09-25$12.96$12.5030.6%8.8%19.4%24.9%31.0%4.4%-1.1%84.9K-1.3M-105.1K0.8924.28N/AN/A726423,45628,228
2019-09-26$12.82$12.5033.6%9.6%20.2%36.3%34.0%4.1%-4.7%71.4K-375.8K-104.6K1.1043.42N/AN/A2,5362,78823,50028,204
2019-09-27$13.17$12.5032.8%9.4%21.5%33.3%33.5%2.0%-4.4%190.1K-3.8M-110.2K0.3224.59N/AN/A48815625,57630,516
2019-09-30$13.39$12.5032.6%9.4%21.6%32.5%33.0%2.4%-4.0%261.1K-6.0M-110.7K0.4820.74N/AN/A50424025,94430,580