IBKR Options History — October 2019 In October 2019, IBKR traded between $11.26 and $12.17. ATM implied volatility averaged 35.1%, placing in the 41.6% IV rank vs the trailing year. The 30-day expected move averaged 9.8%. IV traded below realized volatility by 9.5% (HV 20d: 44.5%). Max pain ranged from $11.25 to $12.50. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 5 of 23 days. Put/call ratio averaged 1.76.
Notable Days 2019-10-15 : Highest Volume — 25,988 contracts2019-10-16 : Largest IV drop — 15.0% change2019-10-02 : Highest IV Rank — 74.9%2019-10-02 : Largest Expected Move — 12.6%Monthly Statistics Metric Avg Min Max Open Close Price $11.69 $11.26 $12.17 $12.17 $11.92 Max Pain $11.85 $11.25 $12.50 $12.50 $11.25 ATM IV 35.1% 27.6% 44.0% 42.6% 27.6% Expected Move 9.8% 7.9% 12.6% 12.2% 7.9% HV 20d 44.5% 31.2% 48.4% 42.2% 31.7% HV 60d 33.2% 31.9% 34.2% 31.9% 33.8% IV Rank 41.6% 13.9% 74.9% 69.8% 13.9% IV Percentile 68.3% 13.9% 98.0% 96.4% 13.9% Term Structure -1.6% -7.4% 1.7% -7.4% 1.7% VWIV 34.5% 28.2% 45.7% 45.7% 28.2% Skew 25d 4.5% 1.1% 7.0% 4.2% 4.5% Skew 10d 11.0% 3.0% 20.5% 11.9% 20.5% Call IV 25d 33.1% 26.9% 42.6% 42.6% 27.9% Put IV 25d 37.5% 32.5% 46.7% 46.7% 32.5% Bid-Ask Spread % 30.24 12.62 57.89 22.99 27.80 Gamma HHI 0.45 0.22 0.97 0.22 0.38 Net GEX -1.1M -14.8M -49.8K -49.8K -200.4K Net DEX 10.8M 4.6M 20.8M 4.8M 6.8M Net VEX -105.5K -113.6K -95.3K -99.5K -106.4K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.76 0.11 12.94 2.76 0.44 Total Volume 4,317.739 352 25,988 15,836 352 Total OI 75,904.696 56,448 98,148 56,448 76,480
Daily Data (23 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2019-10-01 $12.17 $12.50 42.6% 12.2% 42.2% 69.8% 45.7% 4.2% -7.4% -49.8K 4.8M -99.5K 2.76 22.99 N/A N/A 4,212 11,624 25,988 30,460 2019-10-02 $11.75 $12.50 44.0% 12.6% 44.1% 74.9% 42.2% 5.8% -5.3% -300.0K 10.6M -108.0K 1.77 28.12 N/A N/A 1,188 2,100 28,872 37,940 2019-10-03 $11.65 $12.50 40.7% 10.7% 43.7% 62.8% 36.8% 6.0% -2.9% -365.0K 12.4M -105.0K 0.76 44.27 N/A N/A 2,112 1,600 29,396 39,468 2019-10-04 $11.85 $12.50 41.6% 10.6% 44.0% 66.0% 34.4% 4.3% -3.5% -311.5K 10.0M -111.0K 0.34 39.98 N/A N/A 1,980 664 30,328 40,280 2019-10-07 $11.89 $12.50 39.6% 9.5% 44.0% 58.8% 33.7% 5.8% -1.9% -302.0K 9.3M -113.5K 1.61 35.17 N/A N/A 424 684 31,636 40,792 2019-10-08 $11.39 $12.50 42.2% 10.3% 45.6% 68.2% 36.6% 5.9% -2.3% -450.2K 14.6M -101.7K 3.03 46.14 N/A N/A 496 1,504 31,848 40,816 2019-10-09 $11.36 $12.50 36.7% 10.5% 44.9% 47.8% 35.9% 4.6% -2.9% -511.3K 14.8M -101.8K 0.90 49.41 N/A N/A 668 600 32,240 41,692 2019-10-10 $11.80 $12.50 38.0% 10.9% 47.0% 52.5% 36.1% 4.9% -2.4% -316.3K 8.9M -111.1K 0.11 50.37 N/A N/A 2,756 312 32,532 41,048 2019-10-11 $11.99 $12.50 33.1% 9.5% 47.3% 34.2% 34.7% 4.7% -1.0% -192.4K 6.2M -113.6K 0.70 57.89 N/A N/A 928 652 33,420 41,168 2019-10-14 $11.79 $12.50 37.9% 10.9% 47.2% 52.2% 38.3% 6.0% -3.1% -310.3K 9.3M -106.1K 1.07 29.32 N/A N/A 1,412 1,516 33,396 41,344 2019-10-15 $11.87 $12.50 38.0% 10.9% 47.4% 52.8% 37.9% 3.1% -2.2% -212.8K 7.8M -111.2K 1.50 34.42 N/A N/A 10,412 15,576 34,356 41,644 2019-10-16 $11.50 $11.25 32.3% 9.3% 48.3% 31.4% 32.8% 3.5% -0.4% -1.7M 15.5M -103.0K 1.98 23.84 N/A N/A 4,080 8,088 42,224 53,712 2019-10-17 $11.45 $11.25 31.3% 9.0% 48.2% 27.5% 31.4% 2.5% 0.3% -2.0M 15.2M -106.5K 0.68 22.33 N/A N/A 3,528 2,408 43,168 54,564 2019-10-18 $11.26 $11.25 31.4% 9.0% 48.4% 27.9% 31.9% 4.1% 0.1% -14.8M 20.8M -97.6K 1.92 27.64 N/A N/A 1,844 3,548 43,756 54,392 2019-10-21 $11.28 $11.25 31.2% 9.0% 48.3% 27.3% 31.6% 1.1% -0.6% -366.1K 14.0M -95.3K 2.18 12.62 N/A N/A 676 1,472 32,736 39,452 2019-10-22 $11.48 $11.25 32.5% 9.3% 48.4% 32.1% 32.5% 4.2% -1.0% -336.1K 12.0M -104.3K 0.85 20.04 N/A N/A 1,972 1,668 33,148 40,384 2019-10-23 $11.28 $11.25 32.3% 9.3% 47.0% 31.3% 32.3% 4.1% -0.8% -385.4K 14.4M -99.1K 3.73 14.36 N/A N/A 280 1,044 33,180 40,952 2019-10-24 $11.44 $11.25 32.0% 9.2% 47.6% 30.2% 32.0% 4.1% -1.2% -356.8K 12.5M -102.1K 12.94 21.00 N/A N/A 64 828 33,416 40,944 2019-10-25 $11.66 $11.25 31.8% 9.1% 47.0% 29.3% 33.6% 3.2% 0.2% -320.5K 10.6M -105.4K 0.42 17.69 N/A N/A 640 268 33,468 41,736 2019-10-28 $11.93 $11.25 30.2% 8.7% 47.4% 23.4% 32.1% 3.2% -0.9% -211.7K 7.3M -107.2K 0.44 18.07 N/A N/A 636 280 33,612 41,872 2019-10-29 $12.02 $11.25 29.8% 8.5% 33.6% 21.9% 29.9% 6.0% -0.2% -170.5K 6.2M -108.3K 0.11 21.46 N/A N/A 992 108 34,052 41,944 2019-10-30 $12.12 $11.25 29.6% 8.5% 31.2% 21.3% 33.4% 7.0% 0.2% -124.9K 4.6M -109.6K 0.26 30.66 N/A N/A 880 232 33,992 41,960 2019-10-31 $11.92 $11.25 27.6% 7.9% 31.7% 13.9% 28.2% 4.5% 1.7% -200.4K 6.8M -106.4K 0.44 27.80 N/A N/A 244 108 34,592 41,888
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