IBKR Options History — October 2020 In October 2020, IBKR traded between $11.82 and $12.89. ATM implied volatility averaged 33.3%, placing in the 10.9% IV rank vs the trailing year. The 30-day expected move averaged 10.0%. IV traded above realized volatility by 9.1% (HV 20d: 24.2%). Max pain ranged from $11.25 to $12.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 0.23.
Notable Days 2020-10-20 : Highest Volume — 10,556 contracts2020-10-30 : Largest IV spike — 16.9% change2020-10-30 : Highest IV Rank — 21.8%2020-10-30 : Largest Expected Move — 12.0%Monthly Statistics Metric Avg Min Max Open Close Price $12.40 $11.82 $12.89 $12.11 $11.82 Max Pain $12.39 $11.25 $12.50 $12.50 $12.50 ATM IV 33.3% 28.4% 41.8% 31.4% 41.8% Expected Move 10.0% 9.0% 12.0% 9.0% 12.0% HV 20d 24.2% 21.1% 34.1% 33.3% 21.7% HV 60d 26.6% 25.7% 27.9% 27.8% 25.7% IV Rank 10.9% 4.6% 21.8% 8.4% 21.8% IV Percentile 36.4% 11.1% 70.2% 25.0% 70.2% Term Structure -0.8% -3.8% 2.6% 2.6% -3.8% VWIV 34.9% 31.1% 41.1% 33.7% 41.1% Skew 25d 3.1% 1.1% 5.6% 3.0% 2.7% Skew 10d 5.2% -5.7% 11.2% 1.8% 5.2% Call IV 25d 34.5% 32.1% 40.2% 34.7% 40.2% Put IV 25d 37.6% 33.8% 42.9% 37.7% 42.9% Bid-Ask Spread % 39.14 22.75 75.45 31.15 36.96 Gamma HHI 0.24 0.20 0.28 0.20 0.23 Net GEX 466.0K 135.4K 782.0K 224.0K 135.4K Net DEX -9.1M -17.2M -293.1K -4.3M -293.1K Net VEX -112.2K -121.6K -102.9K -121.6K -102.9K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.23 0.02 0.88 0.10 0.14 Total Volume 2,790.545 984 10,556 1,600 3,192 Total OI 90,654.909 83,828 95,572 85,564 93,608
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 2020-10-01 $12.11 $12.50 31.4% 9.0% 33.3% 8.4% 33.7% 3.0% 2.6% 224.0K -4.3M -121.6K 0.10 31.15 N/A N/A 1,452 148 44,136 41,428 2020-10-02 $12.26 $12.50 35.2% 10.1% 33.8% 13.4% 35.1% 1.1% 1.1% 289.5K -6.3M -120.7K 0.02 28.70 N/A N/A 4,500 92 44,744 41,328 2020-10-05 $12.40 $11.25 31.5% 10.4% 34.1% 8.6% 35.3% 4.0% -0.7% 364.7K -8.2M -117.9K 0.12 53.51 N/A N/A 2,800 336 46,236 41,392 2020-10-06 $12.54 $11.25 30.5% 10.3% 22.4% 7.3% 35.1% 4.2% -0.2% 489.3K -10.2M -117.5K 0.13 36.77 N/A N/A 5,928 776 47,224 41,408 2020-10-07 $12.67 $12.50 29.3% 10.1% 21.8% 5.8% 34.0% 4.9% -0.1% 616.4K -13.3M -118.8K 0.08 35.14 N/A N/A 2,500 204 48,248 41,436 2020-10-08 $12.85 $12.50 28.4% 10.3% 21.1% 4.6% 35.3% 5.6% -1.2% 723.8K -16.0M -115.9K 0.10 39.55 N/A N/A 1,092 104 49,128 41,580 2020-10-09 $12.68 $12.50 28.4% 10.0% 22.0% 4.6% 34.9% 3.1% -0.7% 649.0K -13.8M -113.1K 0.59 43.76 N/A N/A 652 384 49,704 41,540 2020-10-12 $12.89 $12.50 30.8% 9.9% 22.5% 7.7% 33.4% 3.6% -0.5% 698.7K -17.2M -109.5K 0.16 40.86 N/A N/A 2,920 480 49,864 41,868 2020-10-13 $12.76 $12.50 29.9% 9.9% 22.1% 6.5% 33.9% 3.2% -0.8% 675.4K -15.8M -114.5K 0.24 44.63 N/A N/A 1,028 244 51,184 42,104 2020-10-14 $12.41 $12.50 34.3% 9.8% 24.6% 12.2% 33.9% 3.6% -0.8% 647.7K -9.3M -109.6K 0.88 39.66 N/A N/A 2,048 1,800 51,392 42,164 2020-10-15 $12.54 $12.50 35.4% 10.1% 24.8% 13.6% 35.4% 3.2% -1.3% 782.0K -11.4M -113.4K 0.10 37.30 N/A N/A 1,796 188 51,712 42,864 2020-10-16 $12.63 $12.50 34.6% 9.9% 24.8% 12.6% 34.1% 3.1% -1.2% 674.6K -15.0M -112.3K 0.16 29.75 N/A N/A 1,100 180 52,752 42,820 2020-10-19 $12.37 $12.50 36.0% 10.3% 26.0% 14.4% 37.1% 3.4% -2.0% 365.2K -8.3M -108.4K 0.75 40.15 N/A N/A 1,228 916 43,728 40,100 2020-10-20 $12.54 $12.50 37.2% 10.7% 25.3% 16.0% 37.5% 1.7% -2.2% 438.8K -10.5M -110.9K 0.16 36.45 N/A N/A 9,132 1,424 44,004 40,872 2020-10-21 $12.44 $12.50 32.1% 9.2% 21.5% 9.4% 32.5% 1.5% -0.0% 556.0K -10.1M -116.0K 0.14 28.64 N/A N/A 5,104 716 50,436 42,064 2020-10-22 $12.45 $12.50 33.3% 9.6% 21.3% 10.9% 33.4% 1.7% -0.5% 492.0K -9.7M -113.9K 0.26 29.23 N/A N/A 832 216 48,824 42,408 2020-10-23 $12.37 $12.50 32.0% 9.2% 21.3% 9.3% 31.1% 1.6% 0.4% 455.7K -8.1M -111.0K 0.07 36.67 N/A N/A 1,108 76 49,020 42,528 2020-10-26 $12.06 $12.50 35.0% 10.0% 22.1% 13.1% 35.2% 2.0% -1.6% 242.6K -3.5M -105.3K 0.32 33.00 N/A N/A 816 264 48,552 42,652 2020-10-27 $12.05 $12.50 33.3% 9.6% 21.9% 11.0% 33.5% 1.8% -0.0% 236.6K -3.2M -104.2K 0.25 22.75 N/A N/A 880 216 48,988 42,820 2020-10-28 $12.02 $12.50 36.3% 10.4% 21.9% 14.7% 36.8% 4.6% -2.1% 245.5K -3.1M -105.6K 0.23 75.45 N/A N/A 1,252 284 49,468 42,844 2020-10-29 $11.99 $12.50 35.7% 10.2% 21.8% 14.0% 35.8% 4.3% -0.9% 249.2K -2.9M -105.0K 0.15 61.06 N/A N/A 856 128 50,292 42,944 2020-10-30 $11.82 $12.50 41.8% 12.0% 21.7% 21.8% 41.1% 2.7% -3.8% 135.4K -293.1K -102.9K 0.14 36.96 N/A N/A 2,808 384 50,596 43,012
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