IBKR Options History — February 2020

In February 2020, IBKR traded between $12.63 and $14.27. ATM implied volatility averaged 34.6%, placing in the 45.5% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded below realized volatility by 11.8% (HV 20d: 46.4%). Max pain ranged from $12.50 to $13.75. Net GEX was positive for 12 of 19 trading days. Term structure was in contango for 5 of 19 days. Put/call ratio averaged 1.16.

Notable Days

  • 2020-02-25: Highest Volume — 17,896 contracts
  • 2020-02-25: Largest IV spike — 22.9% change
  • 2020-02-25: Highest IV Rank — 100.0%
  • 2020-02-28: Largest Expected Move — 17.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.42$12.63$14.27$12.71$12.63
Max Pain$12.89$12.50$13.75$12.50$13.75
ATM IV34.6%26.6%60.0%29.4%60.0%
Expected Move9.9%7.9%17.2%8.4%17.2%
HV 20d46.4%41.3%51.0%41.3%51.0%
HV 60d32.6%29.4%34.8%29.4%34.8%
IV Rank45.5%13.4%100.0%27.5%100.0%
IV Percentile61.5%6.3%100.0%45.6%100.0%
Term Structure-1.7%-9.8%0.7%-0.0%-9.8%
VWIV35.3%27.8%62.6%31.5%62.6%
Skew 25d6.0%3.7%8.2%4.8%8.2%
Skew 10d14.3%3.5%20.6%9.1%15.8%
Call IV 25d32.4%24.5%58.3%27.8%58.3%
Put IV 25d38.3%31.1%66.5%32.6%66.5%
Bid-Ask Spread %28.668.5155.7713.6555.77
Gamma HHI0.290.170.600.230.30
Net GEX85.9K-164.5K629.7K95.3K-164.5K
Net DEX-6.5M-13.3M3.4M-4.4M3.4M
Net VEX-74.3K-123.8K-58.0K-59.1K-123.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.160.106.981.210.35
Total Volume3,607.15834017,8961,7005,332
Total OI64,133.26354,27681,61254,38881,612

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-02-03$12.71$12.5029.4%8.4%41.3%27.5%31.5%4.8%-0.0%95.3K-4.4M-59.1K1.2113.65N/AN/A76893217,68436,704
2020-02-04$13.37$12.5027.7%7.9%44.5%19.0%28.5%6.6%-0.1%184.5K-8.0M-58.0K0.438.51N/AN/A2,9761,29217,66036,616
2020-02-05$13.01$12.5032.8%9.4%46.1%44.5%32.7%3.7%-0.8%196.2K-6.4M-60.5K6.9823.61N/AN/A9086,34018,62436,860
2020-02-06$12.96$12.5032.5%8.7%45.9%42.7%28.5%7.0%-0.5%-138.5K-3.8M-68.8K1.1141.42N/AN/A39644019,08442,332
2020-02-07$12.94$12.5031.1%8.6%45.8%36.0%27.8%6.5%-1.2%-154.0K-3.7M-67.6K0.7754.78N/AN/A26420419,04842,536
2020-02-10$13.31$12.5026.6%8.0%46.5%13.4%32.0%5.8%0.3%7.2K-6.8M-65.0K0.8518.13N/AN/A68058019,08442,564
2020-02-11$13.80$12.5028.1%8.2%47.7%20.6%28.8%5.6%-0.2%184.4K-10.4M-62.5K1.2211.48N/AN/A2,0442,48419,20843,020
2020-02-12$13.79$12.5028.2%8.1%47.7%21.6%30.1%5.1%0.5%135.9K-9.8M-67.8K1.9327.86N/AN/A22844020,47644,816
2020-02-13$13.79$12.5028.3%8.1%47.1%21.7%28.6%5.9%0.3%144.7K-9.8M-67.7K0.1029.94N/AN/A3083220,52044,948
2020-02-14$13.79$12.5028.1%8.1%46.3%21.0%29.0%5.3%0.7%181.8K-9.8M-66.6K0.4929.39N/AN/A43221220,41644,956
2020-02-18$13.71$12.5029.0%8.3%46.4%25.2%33.3%5.7%0.0%209.3K-9.3M-64.2K0.8217.14N/AN/A20016420,38044,948
2020-02-19$14.02$12.5029.2%8.4%46.6%26.3%31.0%6.5%-0.3%219.9K-11.3M-64.2K0.3514.32N/AN/A85629620,35644,972
2020-02-20$14.27$12.5032.4%9.3%42.6%42.4%32.2%4.8%-1.1%120.4K-13.3M-62.6K0.7114.26N/AN/A2,5121,78420,32045,120
2020-02-21$13.69$13.7534.0%9.7%45.9%50.1%34.6%5.5%-2.0%629.7K-7.6M-69.9K0.3852.50N/AN/A2,18884021,10846,476
2020-02-24$13.54$13.7538.3%11.0%45.7%71.9%40.7%7.9%-2.2%-22.0K-4.9M-74.2K0.8217.10N/AN/A1,2281,00416,80439,664
2020-02-25$13.11$13.7547.1%13.5%47.3%100.0%45.2%7.5%-7.0%-39.8K-2.6M-75.0K2.0721.31N/AN/A5,82012,07617,36440,172
2020-02-26$13.48$13.7542.6%12.2%47.8%80.3%42.3%5.0%-2.1%-94.5K-3.7M-112.8K0.4238.38N/AN/A5,0842,14023,54849,640
2020-02-27$13.08$13.7551.5%14.8%49.1%100.0%50.7%5.8%-7.4%-64.0K-1.4M-120.7K1.0754.92N/AN/A2,4362,61628,29250,600
2020-02-28$12.63$13.7560.0%17.2%51.0%100.0%62.6%8.2%-9.8%-164.5K3.4M-123.8K0.3555.77N/AN/A3,9441,38829,02852,584