IBKR Options History — March 2020 In March 2020, IBKR traded between $8.98 and $13.50. ATM implied volatility averaged 79.4%, placing in the 85.2% IV rank vs the trailing year. The 30-day expected move averaged 22.2%. IV traded above realized volatility by 6.8% (HV 20d: 72.6%). Max pain ranged from $11.25 to $13.75. Net GEX was positive for 1 of 22 trading days. Term structure was in contango for 0 of 22 days. Put/call ratio averaged 2.04.
Notable Days 2020-03-02 : Highest Volume — 6,324 contracts2020-03-09 : Largest IV spike — 31.3% change2020-03-05 : Highest IV Rank — 100.0%2020-03-18 : Largest Expected Move — 29.3%Monthly Statistics Metric Avg Min Max Open Close Price $10.92 $8.98 $13.50 $13.50 $10.69 Max Pain $11.93 $11.25 $13.75 $13.75 $11.25 ATM IV 79.4% 48.5% 102.2% 48.8% 65.5% Expected Move 22.2% 13.9% 29.3% 14.0% 18.8% HV 20d 72.6% 47.1% 102.8% 54.2% 98.5% HV 60d 52.0% 37.2% 67.3% 37.2% 67.3% IV Rank 85.2% 53.1% 100.0% 69.0% 53.1% IV Percentile 98.4% 93.3% 100.0% 99.2% 93.3% Term Structure -14.4% -29.3% -0.9% -2.7% -0.9% VWIV 74.9% 48.5% 97.1% 52.7% 62.0% Skew 25d 15.5% 5.0% 51.9% 5.0% 6.3% Skew 10d 28.2% -4.3% 70.1% 23.3% 26.6% Call IV 25d 69.9% 46.9% 90.2% 47.8% 64.6% Put IV 25d 85.3% 52.2% 128.5% 52.8% 70.9% Bid-Ask Spread % 67.75 31.13 94.86 40.89 87.74 Gamma HHI 0.22 0.16 0.35 0.35 0.24 Net GEX -180.5K -321.8K 52.6K 52.6K -157.2K Net DEX 10.3M -5.6M 20.0M -5.6M 7.4M Net VEX -100.6K -131.8K -67.7K -131.8K -87.7K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 2.04 0.21 11.47 5.27 1.31 Total Volume 2,378.909 892 6,324 6,324 1,588 Total OI 78,727.636 52,456 94,124 84,284 58,788
Daily Data (22 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 2020-03-02 $13.50 $13.75 48.8% 14.0% 54.2% 69.0% 52.7% 5.0% -2.7% 52.6K -5.6M -131.8K 5.27 40.89 N/A N/A 1,008 5,316 32,048 52,236 2020-03-03 $13.00 $13.75 56.2% 16.1% 48.8% 89.5% 54.8% 8.2% -7.2% -78.3K -211.4K -127.6K 0.60 56.74 N/A N/A 960 580 32,236 52,076 2020-03-04 $12.49 $13.75 48.5% 13.9% 47.1% 68.2% 48.5% 5.3% -5.9% -182.4K 4.1M -118.3K 0.78 31.13 N/A N/A 976 764 32,388 52,200 2020-03-05 $11.95 $12.50 60.4% 14.9% 48.7% 100.0% 53.8% 7.0% -8.2% -222.3K 8.4M -117.3K 0.21 64.93 N/A N/A 3,188 672 32,920 52,476 2020-03-06 $11.96 $12.50 65.9% 17.5% 48.7% 100.0% 66.9% 16.1% -9.1% -147.3K 6.9M -123.2K 0.81 55.93 N/A N/A 760 616 34,204 52,736 2020-03-09 $11.04 $12.50 86.5% 20.1% 55.8% 100.0% 67.2% 5.1% -12.0% -228.7K 13.3M -105.2K 2.03 64.33 N/A N/A 740 1,500 34,076 52,792 2020-03-10 $11.70 $12.50 86.3% 21.0% 59.2% 99.7% 78.7% 13.1% -15.4% -183.6K 8.8M -115.4K 11.47 47.14 N/A N/A 480 5,508 34,584 52,296 2020-03-11 $11.19 $12.50 72.9% 20.9% 58.5% 78.3% 75.0% 8.3% -18.2% -269.6K 13.8M -107.7K 1.81 45.30 N/A N/A 1,540 2,788 34,608 56,240 2020-03-12 $10.39 $12.50 89.7% 25.7% 62.6% 100.0% 97.1% 18.2% -22.7% -321.8K 17.8M -103.5K 2.19 57.82 N/A N/A 1,088 2,384 35,220 58,504 2020-03-13 $10.64 $11.25 76.5% 21.9% 63.9% 80.0% 82.3% 12.9% -28.8% -306.0K 17.6M -99.3K 2.14 63.19 N/A N/A 924 1,976 35,304 58,564 2020-03-16 $10.19 $11.25 98.1% 28.1% 64.6% 100.0% 88.5% 21.0% -25.6% -308.9K 18.8M -93.6K 2.21 66.80 N/A N/A 540 1,196 35,644 58,480 2020-03-17 $10.43 $11.25 90.0% 25.8% 66.0% 89.0% 88.1% 24.1% -15.8% -301.7K 17.4M -101.3K 1.05 61.53 N/A N/A 436 456 35,668 58,356 2020-03-18 $9.38 $11.25 102.2% 29.3% 72.2% 100.0% 86.9% 51.9% -29.3% -297.8K 20.0M -82.6K 1.71 74.13 N/A N/A 556 948 35,860 58,136 2020-03-19 $10.21 $11.25 95.6% 27.4% 80.4% 91.6% 92.3% 26.9% -22.7% -195.1K 14.1M -93.7K 1.05 81.83 N/A N/A 700 736 36,312 54,744 2020-03-20 $9.74 $11.25 83.6% 24.0% 80.7% 76.3% 85.2% 14.9% -11.9% -110.9K 17.4M -82.5K 1.19 82.75 N/A N/A 816 972 36,392 54,812 2020-03-23 $8.98 $11.25 95.8% 27.5% 83.7% 91.8% 91.5% 23.2% -14.0% -113.7K 11.2M -67.7K 0.28 81.82 N/A N/A 1,160 324 26,228 26,228 2020-03-24 $10.12 $11.25 82.2% 23.6% 97.0% 74.5% 88.3% 15.4% -12.4% -121.7K 8.7M -83.1K 1.58 83.78 N/A N/A 1,228 1,944 26,616 26,364 2020-03-25 $11.04 $11.25 87.7% 25.2% 102.4% 81.6% 85.7% 15.4% -11.4% -81.2K 5.0M -99.6K 0.33 88.03 N/A N/A 984 328 27,040 28,488 2020-03-26 $10.59 $11.25 85.5% 24.5% 102.8% 78.6% 72.6% 10.9% -10.5% -118.8K 7.1M -91.5K 3.31 81.20 N/A N/A 336 1,112 27,148 28,496 2020-03-27 $10.46 $11.25 84.0% 24.1% 102.4% 76.8% 63.0% 14.5% -14.7% -132.9K 7.9M -88.5K 3.12 94.86 N/A N/A 232 724 27,372 29,384 2020-03-30 $10.61 $11.25 83.9% 24.1% 98.8% 76.6% 67.6% 17.0% -16.7% -142.8K 7.3M -91.1K 0.41 78.56 N/A N/A 888 364 27,416 30,328 2020-03-31 $10.69 $11.25 65.5% 18.8% 98.5% 53.1% 62.0% 6.3% -0.9% -157.2K 7.4M -87.7K 1.31 87.74 N/A N/A 688 900 28,288 30,500
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