IBKR Options History — July 2020 In July 2020, IBKR traded between $10.62 and $13.30. ATM implied volatility averaged 40.6%, placing in the 21.4% IV rank vs the trailing year. The 30-day expected move averaged 11.6%. IV traded above realized volatility by 4.7% (HV 20d: 35.9%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 18 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 1.75.
Notable Days 2020-07-20 : Highest Volume — 18,424 contracts2020-07-22 : Largest IV drop — 15.1% change2020-07-13 : Highest IV Rank — 32.0%2020-07-14 : Largest Expected Move — 13.0%Monthly Statistics Metric Avg Min Max Open Close Price $12.32 $10.62 $13.30 $10.62 $12.38 Max Pain $11.42 $10.00 $12.50 $11.25 $12.50 ATM IV 40.6% 35.5% 48.9% 40.9% 36.5% Expected Move 11.6% 10.2% 13.0% 11.7% 10.5% HV 20d 35.9% 32.6% 40.9% 36.5% 33.8% HV 60d 42.3% 38.9% 45.8% 43.4% 39.0% IV Rank 21.4% 14.8% 32.0% 21.7% 16.1% IV Percentile 67.0% 53.2% 83.7% 71.0% 53.2% Term Structure -0.8% -3.0% 4.0% 4.0% 0.7% VWIV 40.2% 36.3% 44.6% 38.0% 37.2% Skew 25d 4.7% 2.8% 8.9% 5.6% 3.2% Skew 10d 12.0% 6.8% 23.7% 23.7% 9.6% Call IV 25d 39.1% 32.9% 44.0% 35.9% 37.0% Put IV 25d 43.8% 39.5% 48.3% 41.6% 40.2% Bid-Ask Spread % 36.33 10.48 56.59 31.50 30.62 Gamma HHI 0.24 0.20 0.36 0.23 0.20 Net GEX 412.0K -138.4K 989.1K -138.4K 254.0K Net DEX -17.4M -41.5M 2.0M 2.0M -10.2M Net VEX -116.2K -132.1K -104.0K -104.5K -107.1K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.75 0.08 19.36 4.04 3.56 Total Volume 6,895.818 2,264 18,424 10,652 4,400 Total OI 85,430.182 69,284 95,752 72,804 87,608
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 2020-07-01 $10.62 $11.25 40.9% 11.7% 36.5% 21.7% 38.0% 5.6% 4.0% -138.4K 2.0M -104.5K 4.04 31.50 N/A N/A 2,112 8,540 34,032 38,772 2020-07-02 $10.78 $11.25 35.5% 10.2% 36.1% 14.8% 36.6% 8.9% 3.3% -120.9K 1.2M -115.1K 0.55 25.53 N/A N/A 1,832 1,000 35,256 44,732 2020-07-06 $11.26 $10.00 40.4% 11.6% 39.1% 21.1% 40.2% 4.9% -1.3% 211.0K -6.2M -104.0K 0.41 53.88 N/A N/A 5,868 2,412 35,892 36,624 2020-07-07 $11.66 $10.00 41.8% 11.9% 39.4% 22.8% 40.9% 5.4% -0.2% 471.3K -11.5M -107.5K 0.08 53.05 N/A N/A 12,336 1,008 37,776 35,340 2020-07-08 $12.13 $10.00 40.2% 11.9% 40.9% 20.8% 41.3% 3.6% -1.7% 901.9K -24.7M -112.8K 0.09 55.93 N/A N/A 8,456 756 45,528 35,572 2020-07-09 $12.16 $10.00 42.9% 12.5% 36.0% 24.3% 43.7% 4.2% -2.0% 958.9K -26.0M -118.7K 0.09 56.59 N/A N/A 2,316 212 48,644 35,780 2020-07-10 $12.29 $10.00 43.1% 12.7% 34.9% 24.5% 44.6% 5.6% -2.1% 962.8K -28.2M -119.3K 0.10 46.84 N/A N/A 3,880 396 49,280 35,780 2020-07-13 $12.45 $10.00 48.9% 12.9% 34.4% 32.0% 44.6% 3.0% -2.8% 989.1K -30.9M -116.5K 0.22 46.81 N/A N/A 3,188 692 49,660 36,048 2020-07-14 $12.72 $11.25 48.0% 13.0% 34.3% 30.8% 43.4% 5.6% -2.4% 871.2K -34.3M -113.4K 0.15 44.26 N/A N/A 4,460 672 49,228 36,100 2020-07-15 $13.30 $11.25 43.7% 12.5% 36.3% 25.2% 44.1% 4.5% -3.0% 753.4K -41.5M -116.3K 0.20 33.30 N/A N/A 9,636 1,968 51,452 36,652 2020-07-16 $13.00 $11.25 45.0% 12.9% 37.2% 26.9% 41.6% 5.5% -2.3% 848.4K -37.8M -115.3K 0.11 44.99 N/A N/A 3,124 356 53,896 37,228 2020-07-17 $12.86 $11.25 43.4% 12.4% 37.4% 24.8% 41.5% 4.8% -2.7% 543.1K -36.3M -110.0K 0.09 40.21 N/A N/A 2,732 244 54,244 37,416 2020-07-20 $12.88 $11.25 42.8% 12.3% 36.8% 24.1% 44.3% 6.4% -2.9% 545.4K -17.9M -110.9K 6.83 36.26 N/A N/A 2,352 16,072 38,284 31,000 2020-07-21 $12.94 $12.50 43.4% 12.4% 35.5% 24.9% 42.8% 3.3% -2.3% 117.0K -13.3M -129.3K 0.15 10.48 N/A N/A 13,252 2,028 38,624 46,108 2020-07-22 $12.84 $12.50 36.9% 10.6% 35.9% 16.5% 36.3% 4.4% -0.1% 307.6K -14.9M -132.1K 0.42 33.63 N/A N/A 6,772 2,828 47,792 47,960 2020-07-23 $12.51 $12.50 36.2% 10.4% 36.6% 15.7% 36.5% 4.7% -0.0% 14.4K -7.5M -124.9K 0.40 18.70 N/A N/A 4,108 1,660 44,612 48,124 2020-07-24 $12.36 $12.50 36.6% 10.5% 37.4% 16.2% 37.2% 2.8% 0.3% -86.2K -5.2M -125.8K 0.09 25.71 N/A N/A 3,896 352 43,960 49,068 2020-07-27 $12.53 $12.50 37.3% 10.7% 32.6% 17.1% 37.9% 4.3% -0.4% 2.2K -8.1M -122.6K 0.73 19.19 N/A N/A 1,368 996 45,296 49,196 2020-07-28 $12.40 $12.50 37.2% 10.7% 33.0% 16.9% 37.3% 3.9% -0.1% -78.0K -6.1M -123.6K 19.36 30.83 N/A N/A 420 8,132 45,932 49,408 2020-07-29 $12.58 $12.50 36.7% 10.5% 33.0% 16.3% 38.2% 4.6% -0.4% 412.9K -13.2M -114.2K 0.60 33.62 N/A N/A 1,632 980 45,992 41,584 2020-07-30 $12.47 $12.50 36.8% 10.5% 33.5% 16.4% 36.6% 4.5% 0.3% 323.7K -11.3M -112.3K 0.10 27.27 N/A N/A 2,056 208 46,004 41,980 2020-07-31 $12.38 $12.50 36.5% 10.5% 33.8% 16.1% 37.2% 3.2% 0.7% 254.0K -10.2M -107.1K 3.56 30.62 N/A N/A 964 3,436 45,472 42,136
« Jun 2020 | All History | Aug 2020 » Home IBKR History July 2020