IBKR Options History — November 2019

In November 2019, IBKR traded between $11.47 and $12.35. ATM implied volatility averaged 30.8%, placing in the 25.8% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded above realized volatility by 7.7% (HV 20d: 23.2%). Max pain ranged from $11.25 to $12.50. Net GEX was positive for 4 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 1.42.

Notable Days

  • 2019-11-22: Highest Volume — 14,092 contracts
  • 2019-11-11: Largest IV spike — 14.5% change
  • 2019-11-11: Highest IV Rank — 43.6%
  • 2019-11-01: Largest Expected Move — 9.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.76$11.47$12.35$11.71$12.13
Max Pain$12.44$11.25$12.50$11.25$12.50
ATM IV30.8%28.0%35.6%33.2%28.3%
Expected Move8.6%8.0%9.5%9.5%8.1%
HV 20d23.2%19.4%31.8%31.8%21.4%
HV 60d32.8%32.2%33.9%33.9%33.0%
IV Rank25.8%15.1%43.6%34.8%16.3%
IV Percentile47.8%17.5%80.2%74.2%21.8%
Term Structure0.7%-1.7%1.6%-1.7%-0.4%
VWIV29.7%23.6%34.7%28.1%30.7%
Skew 25d3.7%0.8%5.7%3.0%1.2%
Skew 10d7.9%-2.0%17.3%17.3%-1.4%
Call IV 25d28.5%26.6%31.2%30.3%29.5%
Put IV 25d32.2%30.6%34.6%33.3%30.6%
Bid-Ask Spread %21.3013.5533.6423.3718.29
Gamma HHI0.410.270.550.450.30
Net GEX-236.1K-620.2K551.9K-301.0K243.3K
Net DEX7.7M-5.5M12.8M9.1M1.4M
Net VEX-93.3K-115.7K-79.7K-103.1K-111.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.420.074.770.642.73
Total Volume2,580.448014,0922,732732
Total OI76,943.866,89286,60476,58486,604

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-11-01$11.71$11.2533.2%9.5%31.8%34.8%28.1%3.0%-1.7%-301.0K9.1M-103.1K0.6423.37N/AN/A1,6681,06434,68841,896
2019-11-04$11.62$12.5034.4%9.2%31.8%39.0%34.7%5.5%0.8%-380.3K10.7M-95.8K1.8528.70N/AN/A9521,76034,61241,200
2019-11-05$11.56$12.5033.2%8.9%27.9%34.8%34.3%4.8%1.2%-471.8K11.8M-96.0K3.2933.64N/AN/A13644835,27242,472
2019-11-06$11.47$12.5032.3%8.7%28.1%31.5%31.5%5.5%1.6%-546.4K12.8M-92.7K2.1329.62N/AN/A28460435,32842,636
2019-11-07$11.59$12.5032.2%8.7%24.7%30.8%30.6%5.7%0.7%-538.8K11.5M-94.2K4.7721.57N/AN/A5282,52035,34843,092
2019-11-08$11.70$12.5031.1%8.6%24.1%26.8%30.2%4.6%1.6%-421.3K9.9M-91.5K0.1316.34N/AN/A2,23228835,63641,956
2019-11-11$11.50$12.5035.6%8.5%24.1%43.6%29.9%3.6%1.1%-603.1K11.8M-86.0K2.7423.70N/AN/A28076836,76441,812
2019-11-12$11.54$12.5033.6%8.5%24.0%36.3%29.3%4.9%0.9%-620.2K11.2M-85.0K0.6225.07N/AN/A29618436,76441,896
2019-11-13$11.62$12.5029.6%8.5%21.3%21.2%29.7%5.0%1.2%-550.6K10.2M-84.8K0.5320.69N/AN/A31616836,84441,848
2019-11-14$11.63$12.5029.6%8.5%21.2%21.2%31.1%4.3%1.2%-533.2K10.0M-85.5K0.0821.80N/AN/A2,30817636,89241,884
2019-11-15$11.59$12.5028.5%8.2%20.2%17.2%27.5%3.8%1.5%-249.0K9.7M-82.5K0.4216.51N/AN/A1,30854438,91641,884
2019-11-18$11.50$12.5028.3%8.1%20.5%16.3%28.2%4.8%1.0%-280.2K11.2M-79.7K2.3316.82N/AN/A38088431,05235,840
2019-11-19$11.69$12.5029.4%8.4%20.3%20.6%23.6%4.2%0.5%-267.3K9.6M-83.1K0.1214.78N/AN/A1,36816831,29236,700
2019-11-20$11.85$12.5031.0%8.9%19.5%26.4%29.0%4.6%0.2%-217.6K7.9M-87.1K1.2017.96N/AN/A36043232,32436,752
2019-11-21$11.75$12.5030.4%8.7%19.4%24.3%28.0%4.1%-0.1%-235.8K8.8M-84.5K0.4620.59N/AN/A2,06494032,32436,856
2019-11-22$12.00$12.5029.9%8.6%19.6%22.5%30.3%1.4%0.3%-110.3K5.6M-89.9K0.0723.13N/AN/A13,23286033,76437,052
2019-11-25$12.35$12.5029.2%8.4%20.6%19.8%29.7%0.8%1.5%551.9K-5.5M-112.4K0.1213.55N/AN/A2,31627644,56036,920
2019-11-26$12.17$12.5028.0%8.0%21.3%15.1%28.2%1.1%0.6%454.9K-1.8M-105.0K3.1224.41N/AN/A1,7525,47244,31636,968
2019-11-27$12.32$12.5028.4%8.1%21.5%16.8%28.7%1.6%-0.6%355.3K-2.1M-115.7K1.0215.43N/AN/A76477644,56441,348
2019-11-29$12.13$12.5028.3%8.1%21.4%16.3%30.7%1.2%-0.4%243.3K1.4M-111.6K2.7318.29N/AN/A19653644,88041,724