IBKR Options History — December 2019

In December 2019, IBKR traded between $11.60 and $12.04. ATM implied volatility averaged 29.7%, placing in the 22.2% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded above realized volatility by 4.7% (HV 20d: 25.0%). Max pain ranged from $12.50 to $12.50. Net GEX was positive for 4 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 1.22.

Notable Days

  • 2019-12-03: Highest Volume — 2,528 contracts
  • 2019-12-09: Largest IV spike — 8.9% change
  • 2019-12-03: Highest IV Rank — 37.2%
  • 2019-12-03: Largest Expected Move — 9.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.74$11.60$12.04$11.76$11.68
Max Pain$12.50$12.50$12.50$12.50$12.50
ATM IV29.7%27.2%33.9%32.5%29.1%
Expected Move8.4%7.8%9.7%9.3%8.3%
HV 20d25.0%19.8%28.4%23.4%19.8%
HV 60d32.0%25.0%34.3%33.5%25.0%
IV Rank22.2%12.2%37.2%32.1%24.6%
IV Percentile40.3%9.9%79.8%71.0%36.1%
Term Structure0.5%-2.1%2.7%-2.1%1.1%
VWIV28.6%25.0%33.9%32.5%29.4%
Skew 25d2.2%-0.0%3.5%0.6%-0.0%
Skew 10d5.5%-2.0%14.7%14.7%-1.6%
Call IV 25d28.0%24.9%33.6%32.4%29.5%
Put IV 25d30.1%27.6%36.4%33.0%29.5%
Bid-Ask Spread %17.224.6825.3913.245.77
Gamma HHI0.430.300.620.300.54
Net GEX-119.7K-285.6K177.7K13.6K-176.8K
Net DEX10.0M3.9M13.7M8.4M11.4M
Net VEX-80.7K-100.9K-57.1K-100.9K-61.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.220.026.162.526.16
Total Volume1,045.7143562,5282,1841,060
Total OI80,918.28661,97288,94887,08463,120

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-12-02$11.76$12.5032.5%9.3%23.4%32.1%32.5%0.6%-2.1%13.6K8.4M-100.9K2.5213.24N/AN/A6201,56444,95242,132
2019-12-03$11.61$12.5033.9%9.7%23.7%37.2%33.9%2.8%-1.9%-91.5K11.4M-94.7K2.7212.62N/AN/A6801,84845,18842,960
2019-12-04$11.84$12.5032.6%9.3%24.6%32.4%30.8%1.3%-2.0%38.9K7.5M-100.2K0.677.36N/AN/A81254845,22842,892
2019-12-05$11.86$12.5031.8%8.6%24.4%29.3%28.7%2.4%1.5%47.1K7.4M-98.2K1.5221.09N/AN/A16825645,22442,836
2019-12-06$11.79$12.5030.0%8.7%24.4%22.6%29.1%3.0%0.2%-4958.8M-94.0K0.7721.71N/AN/A22817645,30842,844
2019-12-09$11.61$12.5032.6%8.6%24.8%32.6%29.7%3.4%1.1%-138.7K12.2M-84.8K0.2822.86N/AN/A1,08830445,31642,940
2019-12-10$11.60$12.5032.0%8.6%24.1%30.2%29.5%2.8%0.5%-162.9K12.0M-85.8K0.7525.39N/AN/A20415245,79243,112
2019-12-11$11.69$12.5029.8%8.5%24.2%21.8%29.3%2.6%1.1%-127.3K10.7M-86.9K1.7724.08N/AN/A17230445,83243,116
2019-12-12$12.04$12.5027.3%7.8%26.3%12.6%28.3%2.3%1.6%177.7K3.9M-93.8K2.0024.85N/AN/A20440845,84442,700
2019-12-13$11.72$12.5028.3%8.1%28.3%16.3%27.9%2.9%1.0%-180.3K10.7M-83.2K0.6123.68N/AN/A78047645,78842,636
2019-12-16$11.64$12.5027.2%7.8%28.4%12.2%26.1%2.2%2.7%-285.6K12.2M-75.2K0.4722.15N/AN/A59228045,76442,520
2019-12-17$11.70$12.5027.3%7.8%28.3%12.8%25.0%2.7%1.5%-245.9K11.1M-76.4K0.4221.96N/AN/A40016845,95642,228
2019-12-18$11.74$12.5027.5%7.9%27.8%13.4%27.0%2.0%0.7%-211.1K10.1M-75.6K0.614.68N/AN/A28417246,03642,304
2019-12-19$11.80$12.5027.6%7.9%27.4%13.8%26.3%2.3%1.2%-196.5K9.7M-76.4K0.3117.18N/AN/A52816445,93642,412
2019-12-20$11.80$12.5028.2%8.1%27.2%15.9%26.4%3.5%0.9%-183.3K9.4M-73.7K1.0317.40N/AN/A73275646,02842,252
2019-12-23$11.72$12.5028.5%8.2%26.1%17.2%26.2%2.6%-0.0%-192.4K10.7M-69.0K0.605.66N/AN/A93255631,06430,908
2019-12-24$11.71$12.5029.0%8.3%23.5%18.8%27.3%1.0%-0.1%-162.5K10.2M-69.0K0.0218.00N/AN/A2,3244431,60430,880
2019-12-26$11.82$12.5029.8%8.6%23.5%22.1%28.3%3.5%0.3%-131.0K8.4M-70.1K0.4717.61N/AN/A28813632,05230,376
2019-12-27$11.78$12.5029.6%8.5%22.9%21.3%28.6%1.7%0.3%-138.7K9.1M-67.8K1.0517.56N/AN/A30432032,17230,456
2019-12-30$11.66$12.5029.5%8.5%22.5%26.8%29.5%0.4%1.0%-165.9K13.7M-57.1K0.9316.78N/AN/A48044832,13230,444
2019-12-31$11.68$12.5029.1%8.3%19.8%24.6%29.4%-0.0%1.1%-176.8K11.4M-61.7K6.165.77N/AN/A14891232,36830,752