IBKR Options History — August 2020

In August 2020, IBKR traded between $12.42 and $13.31. ATM implied volatility averaged 35.0%, placing in the 13.3% IV rank vs the trailing year. The 30-day expected move averaged 10.1%. IV traded above realized volatility by 8.9% (HV 20d: 26.1%). Max pain ranged from $11.25 to $12.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.59.

Notable Days

  • 2020-08-25: Highest Volume — 5,696 contracts
  • 2020-08-28: Largest IV spike — 14.2% change
  • 2020-08-04: Highest IV Rank — 18.8%
  • 2020-08-04: Largest Expected Move — 11.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.93$12.42$13.31$12.72$13.30
Max Pain$11.43$11.25$12.50$12.50$11.25
ATM IV35.0%30.4%38.6%38.5%36.1%
Expected Move10.1%8.7%11.1%11.0%10.3%
HV 20d26.1%21.6%32.0%32.0%21.6%
HV 60d35.2%31.4%39.3%39.3%31.4%
IV Rank13.3%7.2%18.8%18.6%14.5%
IV Percentile47.5%25.0%60.7%60.7%50.8%
Term Structure1.2%-1.5%3.0%-1.4%-1.5%
VWIV34.3%30.7%37.2%37.1%36.9%
Skew 25d4.2%0.1%6.9%5.5%3.1%
Skew 10d8.4%1.5%16.8%5.9%7.1%
Call IV 25d33.4%30.2%37.1%35.4%37.1%
Put IV 25d37.6%33.8%41.0%40.9%40.2%
Bid-Ask Spread %31.6511.9156.6230.9252.87
Gamma HHI0.260.210.340.240.29
Net GEX519.0K284.7K713.3K442.6K707.8K
Net DEX-16.0M-20.4M-10.7M-14.2M-18.3M
Net VEX-99.3K-110.5K-84.1K-110.5K-109.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.590.052.060.150.18
Total Volume2,185.1433845,6961,9041,776
Total OI91,053.33377,548103,69690,68485,660

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-08-03$12.72$12.5038.5%11.0%32.0%18.6%37.1%5.5%-1.4%442.6K-14.2M-110.5K0.1530.92N/AN/A1,66024445,78444,900
2020-08-04$12.77$12.5038.6%11.1%30.1%18.8%34.1%6.9%-1.3%471.9K-14.6M-108.8K0.2418.58N/AN/A1,03224846,06044,968
2020-08-05$12.95$12.5038.2%11.0%27.4%18.3%33.4%6.4%-1.3%613.5K-17.3M-102.4K0.2617.26N/AN/A78020046,44045,000
2020-08-06$12.69$11.2534.8%10.4%28.7%13.9%35.3%5.3%1.8%428.5K-13.5M-102.6K0.9752.41N/AN/A82079646,44045,000
2020-08-07$12.77$11.2534.7%10.3%28.5%13.8%35.0%4.6%3.0%487.1K-14.8M-102.4K1.1854.21N/AN/A36042446,86045,588
2020-08-10$12.42$11.2537.5%10.7%30.1%16.3%37.2%4.7%1.3%284.7K-10.7M-99.9K0.8154.29N/AN/A80865246,91645,780
2020-08-11$12.47$11.2537.4%10.5%29.1%16.3%35.8%4.8%2.3%307.6K-11.1M-98.8K0.4416.40N/AN/A69630447,14446,360
2020-08-12$12.78$11.2536.0%10.3%25.4%14.5%35.3%5.0%2.2%532.4K-15.2M-96.7K0.5036.56N/AN/A76438047,09646,348
2020-08-13$12.70$11.2536.1%10.4%24.3%14.6%34.5%5.0%2.3%447.2K-13.8M-95.7K0.1738.42N/AN/A3285647,20846,340
2020-08-14$13.03$11.2535.6%10.2%25.7%13.9%32.8%5.4%2.7%713.3K-18.0M-93.1K0.0528.95N/AN/A2,30010847,26846,328
2020-08-17$13.02$11.2535.7%10.2%25.7%14.1%35.1%5.6%2.2%696.6K-18.2M-88.1K0.7922.03N/AN/A40432048,97646,356
2020-08-18$12.99$11.2535.6%10.2%25.7%13.9%34.6%4.9%2.2%599.2K-18.4M-84.1K0.9831.76N/AN/A2,1562,11648,99646,216
2020-08-19$13.18$11.2533.2%9.5%25.9%10.8%34.9%3.1%2.3%538.9K-20.4M-90.4K0.3438.91N/AN/A4,0401,39250,01649,108
2020-08-20$13.11$11.2533.2%9.5%24.1%10.8%32.8%2.1%1.9%476.6K-19.2M-97.6K0.5830.82N/AN/A1,25272052,64050,356
2020-08-21$12.91$11.2532.6%9.4%24.3%10.1%32.8%4.1%1.5%423.1K-17.1M-96.6K1.2521.15N/AN/A1,2041,50852,85250,844
2020-08-24$13.00$11.2532.8%9.4%24.0%10.2%34.3%3.3%0.5%445.4K-13.6M-94.9K2.0611.91N/AN/A44090835,68841,860
2020-08-25$12.95$11.2532.0%9.2%23.7%9.3%30.7%3.7%1.7%430.3K-13.0M-95.9K0.0922.86N/AN/A5,21248436,05242,444
2020-08-26$13.18$11.2531.0%8.9%24.0%8.0%32.3%2.6%1.0%584.4K-16.8M-103.5K0.4413.69N/AN/A2,25298039,65242,640
2020-08-27$13.29$11.2530.4%8.7%23.7%7.2%30.8%2.7%2.4%643.3K-18.5M-105.5K0.7014.15N/AN/A92064440,81642,972
2020-08-28$13.31$11.2534.7%10.0%23.4%12.8%35.6%0.1%0.4%623.7K-18.5M-109.5K0.1956.62N/AN/A3,52068040,77643,372
2020-08-31$13.30$11.2536.1%10.3%21.6%14.5%36.9%3.1%-1.5%707.8K-18.3M-109.5K0.1852.87N/AN/A1,50427242,16043,500