IBKR Options History — June 2020

In June 2020, IBKR traded between $10.05 and $11.27. ATM implied volatility averaged 40.5%, placing in the 21.1% IV rank vs the trailing year. The 30-day expected move averaged 11.6%. IV traded below realized volatility by 2.9% (HV 20d: 43.3%). Max pain ranged from $10.00 to $11.25. Net GEX was positive for 14 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 1.88.

Notable Days

  • 2020-06-19: Highest Volume — 9,740 contracts
  • 2020-06-08: Largest IV spike — 15.0% change
  • 2020-06-12: Highest IV Rank — 29.1%
  • 2020-06-12: Largest Expected Move — 13.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.60$10.05$11.27$10.69$10.46
Max Pain$11.02$10.00$11.25$11.25$11.25
ATM IV40.5%33.4%46.7%38.0%40.5%
Expected Move11.6%10.2%13.4%10.9%11.6%
HV 20d43.3%34.4%48.4%45.2%38.2%
HV 60d55.2%43.7%68.0%68.0%44.7%
IV Rank21.1%12.1%29.1%18.0%21.1%
IV Percentile72.7%63.5%81.0%70.2%70.2%
Term Structure0.3%-2.0%2.4%-1.0%0.8%
VWIV39.9%35.4%45.9%40.4%39.0%
Skew 25d6.6%3.9%13.7%7.6%6.1%
Skew 10d16.9%6.0%32.6%27.7%23.1%
Call IV 25d37.8%28.0%41.6%35.6%37.6%
Put IV 25d44.4%39.8%50.7%43.2%43.7%
Bid-Ask Spread %51.639.2172.7022.6843.20
Gamma HHI0.300.140.490.340.25
Net GEX76.2K-265.5K348.1K190.0K-204.5K
Net DEX1.9M-5.4M7.2M1.9M3.5M
Net VEX-96.2K-109.5K-87.3K-92.7K-104.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.880.1015.110.900.10
Total Volume2,773.2737449,7407441,680
Total OI83,56261,03296,97285,66871,880

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-06-01$10.69$11.2538.0%10.9%45.2%18.0%40.4%7.6%-1.0%190.0K1.9M-92.7K0.9022.68N/AN/A39235245,50040,168
2020-06-02$10.68$11.2536.8%10.5%45.0%16.4%38.1%7.1%-0.1%203.7K2.0M-89.2K3.579.21N/AN/A19670045,62840,236
2020-06-03$11.04$11.2535.5%10.2%46.0%14.9%35.4%13.7%0.9%223.4K-1.6M-91.4K0.3112.96N/AN/A2,35672045,62840,460
2020-06-04$10.79$10.0035.8%10.4%47.1%15.2%41.2%5.8%2.4%238.6K614.6K-91.7K0.4947.52N/AN/A3,6801,82046,26040,416
2020-06-05$10.91$10.0033.4%10.3%47.2%12.1%35.9%4.7%1.6%316.5K-1.7M-96.7K0.3571.54N/AN/A1,28444448,73640,692
2020-06-08$11.27$10.0038.4%10.6%48.1%18.5%37.0%7.2%0.3%284.9K-5.4M-98.4K0.9365.13N/AN/A1,6721,55649,13640,468
2020-06-09$11.08$10.0039.5%10.8%48.3%19.9%37.7%6.5%0.5%348.1K-4.1M-102.5K4.4369.11N/AN/A22499250,06840,840
2020-06-10$10.56$11.2541.1%11.8%48.4%21.9%38.2%5.3%-0.0%259.0K2.2M-94.0K0.3657.14N/AN/A1,69261650,14841,652
2020-06-11$10.38$11.2545.2%13.0%46.1%27.2%39.9%6.0%-1.7%207.1K3.9M-95.0K0.7272.70N/AN/A99271251,56041,736
2020-06-12$10.31$11.2546.7%13.4%46.3%29.1%45.9%11.0%-0.7%180.4K5.0M-94.8K0.8771.95N/AN/A97284851,67642,164
2020-06-15$10.57$11.2546.3%13.3%46.5%28.5%41.9%8.8%-2.0%244.1K2.6M-93.7K1.1965.77N/AN/A43251651,52442,496
2020-06-16$10.79$11.2541.8%12.0%43.0%22.8%45.6%5.9%-1.8%331.5K-35.1K-92.8K1.1662.18N/AN/A68880051,53242,312
2020-06-17$10.63$11.2540.0%11.5%43.0%20.6%42.2%5.9%-0.2%212.5K1.7M-89.8K0.8854.79N/AN/A47642051,98842,080
2020-06-18$10.55$11.2543.5%12.5%43.0%25.0%41.7%5.7%0.1%39.2K1.2M-87.3K15.1153.62N/AN/A3244,89652,12841,764
2020-06-19$10.45$11.2540.8%11.7%43.0%21.6%40.5%5.5%1.7%-59.7K2.3M-90.8K5.5857.96N/AN/A1,4808,26052,20044,772
2020-06-22$10.28$11.2540.2%11.5%43.6%20.8%36.4%4.8%0.9%-231.7K5.0M-97.0K0.4135.90N/AN/A2,30094026,74034,292
2020-06-23$10.52$11.2539.5%11.3%41.2%20.0%37.1%5.3%1.5%-199.1K3.3M-100.8K1.8262.34N/AN/A2,2524,08828,57635,376
2020-06-24$10.32$11.2541.7%11.9%34.4%22.7%41.0%4.9%0.9%-225.4K4.6M-100.0K0.6660.42N/AN/A2,3441,54829,77236,008
2020-06-25$10.46$11.2542.9%12.3%34.7%24.3%40.5%7.1%-0.5%-186.2K3.5M-109.5K0.1537.91N/AN/A1,50422430,90437,504
2020-06-26$10.05$11.2540.9%11.7%37.0%21.8%41.2%3.9%1.7%-265.5K7.2M-99.5K0.7455.13N/AN/A1,3801,02832,19237,664
2020-06-29$10.29$11.2541.9%12.0%37.7%22.9%40.6%6.1%0.5%-230.8K5.2M-103.3K0.6246.72N/AN/A74846432,89638,592
2020-06-30$10.46$11.2540.5%11.6%38.2%21.1%39.0%6.1%0.8%-204.5K3.5M-104.5K0.1043.20N/AN/A1,53214833,21638,664