IBKR Options History — November 2020

In November 2020, IBKR traded between $11.92 and $13.82. ATM implied volatility averaged 31.1%, placing in the 8.0% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded above realized volatility by 5.8% (HV 20d: 25.3%). Max pain ranged from $12.50 to $12.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 0.37.

Notable Days

  • 2020-11-27: Highest Volume — 26,272 contracts
  • 2020-11-11: Largest IV drop — 10.8% change
  • 2020-11-02: Highest IV Rank — 18.9%
  • 2020-11-02: Largest Expected Move — 11.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.93$11.92$13.82$11.92$13.18
Max Pain$12.50$12.50$12.50$12.50$12.50
ATM IV31.1%28.4%39.5%39.5%30.3%
Expected Move8.8%8.1%11.3%11.3%8.7%
HV 20d25.3%21.6%30.1%21.6%30.1%
HV 60d26.8%25.1%29.2%25.8%29.2%
IV Rank8.0%4.6%18.9%18.9%7.0%
IV Percentile24.7%9.9%63.5%63.5%21.8%
Term Structure0.1%-3.6%1.1%-3.6%0.3%
VWIV31.3%28.3%41.2%41.2%31.4%
Skew 25d2.3%-0.4%4.3%2.8%3.5%
Skew 10d7.6%-3.5%16.6%5.8%16.2%
Call IV 25d30.6%27.7%40.2%40.2%28.9%
Put IV 25d32.9%30.1%43.0%43.0%32.4%
Bid-Ask Spread %32.7013.7073.0773.0715.30
Gamma HHI0.300.240.480.240.26
Net GEX1.0M227.2K2.6M227.2K781.3K
Net DEX-19.3M-45.4M-1.9M-1.9M-15.1M
Net VEX-99.1K-124.5K-79.5K-100.3K-91.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.370.001.580.180.13
Total Volume4,166.638426,2721,4762,880
Total OI102,45794,016120,07294,01695,036

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-11-02$11.92$12.5039.5%11.3%21.6%18.9%41.2%2.8%-3.6%227.2K-1.9M-100.3K0.1873.07N/AN/A1,25222450,71643,300
2020-11-03$12.21$12.5037.8%10.8%23.0%16.7%39.4%-0.4%-2.8%433.7K-5.9M-99.1K0.2568.36N/AN/A60815250,71643,300
2020-11-04$12.10$12.5034.0%9.7%22.7%11.8%35.0%1.1%-2.7%357.1K-4.1M-95.9K0.6652.05N/AN/A30820451,92043,336
2020-11-05$12.28$12.5030.8%8.9%22.8%7.7%31.3%3.6%1.1%528.8K-6.8M-93.1K0.2843.25N/AN/A94426051,97643,368
2020-11-06$12.22$12.5030.2%8.7%22.5%6.9%30.5%3.0%0.3%479.9K-5.5M-91.2K0.3745.26N/AN/A28010451,96843,388
2020-11-09$12.44$12.5032.1%8.5%22.5%9.3%29.6%2.9%1.0%729.1K-10.0M-85.7K0.8443.38N/AN/A1,11693652,14043,684
2020-11-10$12.72$12.5033.2%8.7%23.9%10.8%30.3%4.1%0.7%948.8K-14.2M-84.2K0.4616.76N/AN/A1,59273651,47643,644
2020-11-11$12.86$12.5029.6%8.5%21.8%6.2%28.4%3.4%0.8%1.1M-17.5M-79.5K0.1428.03N/AN/A1,01614051,69643,368
2020-11-12$12.88$12.5032.6%9.3%21.6%10.0%32.0%4.3%0.4%1.1M-17.3M-83.8K0.0029.70N/AN/A22,15210051,28843,016
2020-11-13$13.40$12.5029.5%8.5%25.6%6.0%30.9%3.4%0.6%2.1M-33.1M-124.5K0.0735.97N/AN/A6,68446876,01242,968
2020-11-16$13.65$12.5029.5%8.5%24.4%6.1%30.2%1.9%0.4%2.3M-41.3M-120.6K0.2917.00N/AN/A2,29667677,39242,680
2020-11-17$13.82$12.5029.2%8.4%24.4%5.6%28.9%1.5%1.1%2.6M-45.4M-124.1K0.2626.66N/AN/A3,57691676,88842,376
2020-11-18$13.24$12.5029.3%8.4%29.3%5.7%30.7%2.0%0.7%1.1M-30.6M-106.9K0.3037.30N/AN/A1,17234875,16442,384
2020-11-19$13.35$12.5029.3%8.4%29.3%5.8%30.2%2.2%0.4%1.4M-32.3M-104.6K0.2326.17N/AN/A88820474,81242,308
2020-11-20$13.32$12.5028.8%8.3%29.2%5.1%29.0%1.6%1.0%866.1K-31.1M-104.0K0.3022.71N/AN/A1,46844074,70042,224
2020-11-23$13.21$12.5028.4%8.1%27.5%4.6%29.2%1.9%0.7%788.7K-17.5M-96.4K1.5820.82N/AN/A48877256,46440,320
2020-11-24$13.19$12.5029.2%8.4%27.5%5.7%29.6%0.8%0.7%781.9K-17.4M-102.6K0.4522.55N/AN/A60027256,56840,980
2020-11-25$13.16$12.5028.7%8.2%27.5%4.9%28.3%2.5%0.3%747.0K-16.4M-97.2K0.5913.70N/AN/A49629256,62041,084
2020-11-27$13.54$12.5029.5%8.5%28.6%6.1%30.2%0.9%0.5%1.1M-22.1M-97.7K0.0115.98N/AN/A25,91635656,66841,192
2020-11-30$13.18$12.5030.3%8.7%30.1%7.0%31.4%3.5%0.3%781.3K-15.1M-91.6K0.1315.30N/AN/A2,55232853,48041,556