IBKR Options History — May 2020

In May 2020, IBKR traded between $9.27 and $10.84. ATM implied volatility averaged 43.5%, placing in the 25.1% IV rank vs the trailing year. The 30-day expected move averaged 12.3%. IV traded below realized volatility by 4.1% (HV 20d: 47.6%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 9 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 2.12.

Notable Days

  • 2020-05-27: Highest Volume — 6,900 contracts
  • 2020-05-18: Largest IV drop — 16.3% change
  • 2020-05-04: Highest IV Rank — 37.6%
  • 2020-05-01: Largest Expected Move — 14.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.98$9.27$10.84$10.27$10.53
Max Pain$11.75$10.00$12.50$10.00$11.25
ATM IV43.5%36.6%53.4%50.0%41.3%
Expected Move12.3%10.5%14.3%14.3%11.8%
HV 20d47.6%41.9%54.2%52.6%44.9%
HV 60d68.7%67.8%69.4%68.6%68.5%
IV Rank25.1%16.2%37.6%33.3%22.2%
IV Percentile78.2%69.0%86.1%85.7%75.4%
Term Structure-0.2%-3.1%1.6%-3.1%-1.1%
VWIV43.2%37.6%50.1%50.1%40.4%
Skew 25d6.1%2.0%9.1%5.7%5.4%
Skew 10d13.2%6.7%24.8%20.3%24.8%
Call IV 25d41.6%36.2%49.4%49.4%38.6%
Put IV 25d47.6%42.0%55.0%55.0%44.0%
Bid-Ask Spread %31.8010.8056.4716.4531.22
Gamma HHI0.270.210.410.250.29
Net GEX-86.4K-458.6K245.3K-151.4K237.6K
Net DEX9.3M-120.2K19.3M7.4M2.6M
Net VEX-85.8K-100.4K-71.4K-100.4K-90.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.120.2515.811.4515.81
Total Volume2,8275726,9001,9404,976
Total OI90,117.275,864103,56895,28482,868

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-05-01$10.27$10.0050.0%14.3%52.6%33.3%50.1%5.7%-3.1%-151.4K7.4M-100.4K1.4516.45N/AN/A7921,14853,56441,720
2020-05-04$10.16$12.5053.4%13.6%51.8%37.6%45.9%6.8%-0.6%-198.8K8.5M-95.7K1.1624.32N/AN/A44451653,35242,112
2020-05-05$10.06$12.5046.0%13.2%47.6%28.3%45.0%7.5%-0.3%-296.9K10.0M-91.8K0.4937.82N/AN/A41620453,35242,344
2020-05-06$10.10$12.5048.7%13.3%47.5%31.7%48.1%7.3%-1.0%-290.9K9.6M-90.6K0.6829.41N/AN/A1,08874053,16842,244
2020-05-07$10.12$12.5049.4%13.2%46.9%32.5%46.8%7.0%-0.6%-295.8K9.5M-89.5K2.3218.90N/AN/A20046453,60442,252
2020-05-08$10.27$12.5044.4%12.7%46.6%26.2%45.0%5.5%0.2%-310.3K7.8M-90.7K1.6554.12N/AN/A7481,23253,74442,576
2020-05-11$10.12$12.5045.4%12.6%46.2%27.4%42.2%5.6%0.4%-458.6K9.7M-84.3K0.4645.22N/AN/A2,05694454,01243,272
2020-05-12$9.65$12.5043.6%12.2%48.2%25.2%45.2%2.0%1.6%-417.9K15.5M-75.1K4.7438.47N/AN/A9484,49653,72043,540
2020-05-13$9.27$12.5049.1%14.1%49.5%32.1%46.7%7.1%-1.1%-308.1K19.3M-71.4K1.8346.08N/AN/A1,5082,75653,76846,432
2020-05-14$9.38$12.5045.8%13.1%49.8%27.9%47.1%8.8%-2.1%-288.1K18.7M-73.7K0.3156.47N/AN/A3,2441,01654,13646,684
2020-05-15$9.29$11.2546.7%13.4%49.0%29.1%43.1%5.5%-0.8%-35.4K18.3M-73.4K0.2933.58N/AN/A3,10090856,66046,908
2020-05-18$9.82$11.2539.1%11.2%54.2%19.4%40.9%9.1%1.1%96.1K7.9M-78.3K1.3928.04N/AN/A1,8442,56041,92833,936
2020-05-19$9.67$11.2540.5%11.6%53.7%21.1%40.7%5.7%-0.1%55.1K9.5M-82.6K0.3239.27N/AN/A2,25271242,60436,148
2020-05-20$9.81$11.2538.9%11.2%42.3%19.2%42.3%7.2%0.9%100.2K8.4M-86.1K0.5647.90N/AN/A1,02056843,97636,760
2020-05-21$9.73$11.2538.8%11.1%42.3%19.1%39.2%5.6%1.5%100.9K8.6M-85.9K5.9319.53N/AN/A2441,44844,70836,960
2020-05-22$9.70$11.2538.3%11.0%41.9%18.4%39.5%4.2%0.5%78.0K8.3M-86.7K0.2926.34N/AN/A1,88454044,95237,196
2020-05-26$10.16$11.2538.0%10.9%43.7%18.1%37.6%6.6%1.0%181.0K5.8M-84.3K0.7810.80N/AN/A1,15689644,26037,472
2020-05-27$10.84$11.2536.9%10.6%49.1%16.6%38.1%3.8%-0.2%230.5K-120.2K-92.6K0.2514.81N/AN/A5,5401,36045,08437,476
2020-05-28$10.72$11.2536.6%10.5%45.2%16.2%39.8%5.0%0.3%245.3K761.0K-92.2K1.7017.34N/AN/A21236045,37237,480
2020-05-29$10.53$11.2541.3%11.8%44.9%22.2%40.4%5.4%-1.1%237.6K2.6M-90.6K15.8131.22N/AN/A2964,68045,42037,448