IBKR Options History — September 2020

In September 2020, IBKR traded between $11.72 and $13.31. ATM implied volatility averaged 35.3%, placing in the 13.5% IV rank vs the trailing year. The 30-day expected move averaged 10.1%. IV traded above realized volatility by 6.3% (HV 20d: 29.0%). Max pain ranged from $11.25 to $12.50. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.67.

Notable Days

  • 2020-09-08: Highest Volume — 9,240 contracts
  • 2020-09-04: Largest IV spike — 21.4% change
  • 2020-09-08: Highest IV Rank — 21.6%
  • 2020-09-04: Largest Expected Move — 11.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.19$11.72$13.31$13.31$12.05
Max Pain$12.38$11.25$12.50$11.25$12.50
ATM IV35.3%31.7%41.6%34.5%32.3%
Expected Move10.1%9.1%11.1%9.9%9.3%
HV 20d29.0%19.8%33.2%21.6%33.2%
HV 60d31.0%28.6%32.4%30.8%28.9%
IV Rank13.5%8.9%21.6%12.5%9.6%
IV Percentile45.6%28.2%68.3%46.0%29.8%
Term Structure1.1%-1.5%4.2%-1.5%3.2%
VWIV34.9%32.3%41.2%36.2%32.3%
Skew 25d4.4%1.3%8.1%4.3%1.3%
Skew 10d9.9%-5.4%19.8%8.5%-5.4%
Call IV 25d33.5%29.6%36.0%34.7%33.5%
Put IV 25d37.8%34.8%41.4%39.0%34.8%
Bid-Ask Spread %39.1713.3166.0257.7919.05
Gamma HHI0.220.170.300.300.20
Net GEX142.0K-147.8K709.0K709.0K179.5K
Net DEX-3.7M-18.4M1.9M-18.3M-3.4M
Net VEX-113.3K-119.0K-99.9K-107.4K-118.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.670.042.390.200.17
Total Volume2,385.3336569,2403,6681,324
Total OI90,358.47675,204104,64485,92885,788

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-09-01$13.31$11.2534.5%9.9%21.6%12.5%36.2%4.3%-1.5%709.0K-18.3M-107.4K0.2057.79N/AN/A3,04462442,27243,656
2020-09-02$13.31$11.2537.2%10.7%21.1%16.0%35.9%2.7%1.7%700.8K-18.4M-111.7K0.4766.02N/AN/A82839243,53644,232
2020-09-03$13.21$12.5034.1%10.5%19.8%12.0%36.3%5.4%0.0%685.6K-16.7M-115.3K0.1552.12N/AN/A2,75642444,08444,184
2020-09-04$13.04$12.5041.4%11.1%20.4%21.4%41.2%4.8%-1.5%611.8K-14.7M-111.1K1.1056.39N/AN/A1,3081,43643,96044,512
2020-09-08$12.14$12.5041.6%10.5%31.6%21.6%36.1%5.2%-0.3%243.7K-4.7M-99.9K2.3964.66N/AN/A2,7286,51243,96045,164
2020-09-09$11.97$12.5035.8%10.3%31.8%14.1%36.1%4.8%0.2%92.0K-897.9K-111.3K0.7155.11N/AN/A2,5361,80845,74050,564
2020-09-10$11.80$12.5037.5%10.8%30.6%16.4%35.4%5.0%0.3%-10.5K1.5M-114.7K0.9257.67N/AN/A1,2241,12447,15252,128
2020-09-11$11.87$12.5038.0%10.9%30.8%17.0%33.6%5.7%-1.4%-8.1K1.2M-114.7K0.4146.21N/AN/A1,51262047,22053,000
2020-09-14$11.95$12.5032.5%9.3%29.1%9.9%32.8%5.1%1.3%26.8K505.2K-113.4K0.3149.52N/AN/A74823248,22853,368
2020-09-15$11.78$12.5036.3%10.4%29.3%14.8%35.7%4.1%-1.3%-147.8K1.9M-108.7K1.8351.17N/AN/A37668848,72853,444
2020-09-16$11.90$12.5032.7%9.4%29.8%10.1%32.8%2.8%1.9%-100.5K987.0K-109.9K0.3741.76N/AN/A1,55256848,76854,000
2020-09-17$11.95$12.5033.6%9.6%29.2%11.3%36.0%4.7%2.0%-62.1K429.3K-113.8K2.1726.40N/AN/A24052049,72854,480
2020-09-18$12.03$12.5031.7%9.1%29.5%8.9%32.4%3.6%2.7%-62.4K-351.6K-113.1K1.4232.33N/AN/A61687649,88454,760
2020-09-21$11.96$12.5032.3%9.3%29.2%9.6%32.6%4.1%2.0%-98.7K834.6K-111.7K0.1318.81N/AN/A1,34416834,84440,360
2020-09-22$12.22$12.5032.6%9.4%30.4%10.1%33.2%4.4%2.4%8.7K-2.4M-114.4K0.0418.17N/AN/A3,67214435,88440,460
2020-09-23$11.78$12.5038.2%10.9%32.6%17.2%34.6%4.5%0.8%-21.3K641.2K-116.8K0.5529.81N/AN/A1,42077638,99640,452
2020-09-24$11.72$12.5038.6%11.1%31.6%17.8%34.7%6.3%-0.8%-41.8K1.4M-116.9K0.2728.17N/AN/A51614039,97641,184
2020-09-25$11.86$12.5035.4%10.2%31.7%13.7%35.2%2.3%3.5%5.7K-237.0K-119.0K0.1019.63N/AN/A7327640,28441,296
2020-09-28$12.12$12.5032.7%9.4%33.1%10.2%32.6%2.9%3.3%116.3K-3.3M-118.1K0.1118.52N/AN/A2,97631640,79641,324
2020-09-29$12.02$12.5032.4%9.3%33.1%9.7%36.3%8.1%4.2%155.4K-3.0M-118.8K0.3113.31N/AN/A91228443,72041,412
2020-09-30$12.05$12.5032.3%9.3%33.2%9.6%32.3%1.3%3.2%179.5K-3.4M-118.9K0.1719.05N/AN/A1,13219244,22841,560