IBKR Options History — January 2020

In January 2020, IBKR traded between $11.72 and $12.74. ATM implied volatility averaged 28.8%, placing in the 24.3% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 7.5% (HV 20d: 21.3%). Max pain ranged from $11.25 to $12.50. Net GEX was positive for 4 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 2.96.

Notable Days

  • 2020-01-31: Highest Volume — 25,192 contracts
  • 2020-01-31: Largest IV spike — 20.0% change
  • 2020-01-06: Highest IV Rank — 45.7%
  • 2020-01-31: Largest Expected Move — 9.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.07$11.72$12.74$11.89$11.72
Max Pain$12.38$11.25$12.50$12.50$12.50
ATM IV28.8%24.9%33.1%28.7%31.6%
Expected Move8.2%7.1%9.0%8.2%9.0%
HV 20d21.3%13.2%29.6%20.1%29.6%
HV 60d23.0%21.4%25.3%25.3%24.4%
IV Rank24.3%4.7%45.7%24.0%38.1%
IV Percentile34.9%0.4%83.7%29.8%72.6%
Term Structure-0.4%-1.8%1.0%0.1%0.1%
VWIV28.9%24.7%31.1%29.2%31.0%
Skew 25d2.3%0.4%5.3%0.5%0.4%
Skew 10d5.2%-2.8%13.0%4.6%3.8%
Call IV 25d27.5%21.3%30.4%28.5%30.4%
Put IV 25d29.8%25.5%32.3%29.0%30.8%
Bid-Ask Spread %20.195.3545.6918.4635.25
Gamma HHI0.370.200.590.490.32
Net GEX-44.0K-231.2K367.8K-138.6K-46.0K
Net DEX3.3M-7.6M12.1M8.8M214.4K
Net VEX-56.5K-66.2K-51.1K-65.0K-52.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.960.1531.974.6431.97
Total Volume3,368.95232825,1922,73225,192
Total OI49,744.95224,42465,28863,24431,504

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-01-02$11.89$12.5028.7%8.2%20.1%24.0%29.2%0.5%0.1%-138.6K8.8M-65.0K4.6418.46N/AN/A4842,24832,42830,816
2020-01-03$11.84$12.5030.5%8.8%18.9%33.0%29.9%1.4%-0.3%-141.5K9.6M-62.5K2.067.65N/AN/A27256032,51230,580
2020-01-06$11.83$11.2533.1%8.9%18.9%45.7%31.1%2.9%-0.5%-150.1K10.2M-59.1K1.6912.53N/AN/A1,1922,02032,49630,852
2020-01-07$11.80$11.2529.8%8.6%18.8%29.5%29.2%2.1%-0.8%-231.2K12.1M-57.7K9.5537.10N/AN/A1161,10832,13632,244
2020-01-08$12.01$12.5027.9%8.3%18.8%20.0%29.4%2.2%-1.4%-165.4K9.0M-63.5K0.3412.42N/AN/A1,09636832,11633,172
2020-01-09$12.17$12.5028.1%8.2%19.2%20.9%28.6%2.7%-0.7%-105.0K5.9M-66.2K0.5335.54N/AN/A52027632,16833,000
2020-01-10$12.07$12.5026.3%8.1%19.4%11.7%29.4%1.4%-1.2%-126.4K9.0M-61.1K0.9515.38N/AN/A34432832,05632,872
2020-01-13$12.23$12.5031.4%8.1%16.9%37.2%30.4%3.2%-0.7%-40.4K5.7M-59.7K0.1826.89N/AN/A1,11619632,00832,856
2020-01-14$12.28$12.5031.9%8.2%13.2%40.0%28.8%0.9%-1.2%-23.2K4.7M-58.2K0.1933.44N/AN/A1,38025631,85233,000
2020-01-15$12.09$12.5028.7%8.2%14.4%23.7%30.5%1.6%-1.4%-111.7K10.7M-53.0K1.0829.60N/AN/A51255231,30032,976
2020-01-16$12.47$12.5028.1%8.1%17.7%21.1%28.2%2.1%-1.0%-11.9K420.6K-56.0K0.5045.69N/AN/A1,90496031,39232,800
2020-01-17$12.52$12.5027.1%7.8%17.7%15.6%27.4%2.5%-0.4%367.8K-7.6M-51.1K1.1934.66N/AN/A4,4645,29631,90832,172
2020-01-21$12.74$12.5030.9%8.8%18.4%34.6%30.8%2.9%-1.8%54.5K-3.9M-51.5K0.1522.03N/AN/A7,4961,12011,85212,572
2020-01-22$12.17$12.5024.9%7.1%25.7%4.7%24.7%4.2%0.9%119.4K-2.3M-54.3K0.3611.71N/AN/A2,66896017,82413,604
2020-01-23$12.09$12.5026.3%7.5%25.6%12.0%27.2%1.4%0.4%-5.0K-1.3M-52.8K1.597.06N/AN/A28445216,36013,988
2020-01-24$11.92$12.5027.2%7.8%26.2%16.5%28.5%3.7%1.0%-43.8K-339.9K-52.4K1.728.73N/AN/A39267616,44414,276
2020-01-27$11.78$12.5030.7%8.8%26.4%33.6%30.3%2.4%-0.5%-71.5K394.5K-51.5K0.905.35N/AN/A99288816,05614,300
2020-01-28$11.73$12.5029.0%8.3%26.4%25.4%28.4%1.5%-0.2%-70.4K441.7K-52.0K0.168.44N/AN/A90814416,74014,376
2020-01-29$12.02$12.5026.3%7.5%27.5%11.8%26.8%3.0%0.5%-4.5K-1.0M-53.2K0.479.13N/AN/A46421616,99614,444
2020-01-30$12.12$12.5026.3%7.5%27.6%11.9%27.0%5.3%0.6%21.1K-1.5M-53.4K1.936.91N/AN/A11221617,14814,448
2020-01-31$11.72$12.5031.6%9.0%29.6%38.1%31.0%0.4%0.1%-46.0K214.4K-52.7K31.9735.25N/AN/A76424,42817,23214,272