IBKR Options History — December 2020

In December 2020, IBKR traded between $13.42 and $15.56. ATM implied volatility averaged 31.6%, placing in the 8.8% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded above realized volatility by 0.1% (HV 20d: 31.6%). 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 18 of 22 days. Put/call ratio averaged 1.09.

Notable Days

  • 2020-12-07: Highest Volume — 14,076 contracts
  • 2020-12-07: Largest IV spike — 13.8% change
  • 2020-12-07: Highest IV Rank — 12.7%
  • 2020-12-14: Largest Expected Move — 9.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.40$13.42$15.56$13.54$15.24
Max Pain$12.10$11.25$12.50$12.50$12.50
ATM IV31.6%29.9%34.7%29.9%30.7%
Expected Move9.0%8.6%9.4%8.6%8.8%
HV 20d31.6%30.2%33.4%31.1%31.1%
HV 60d27.0%25.2%29.6%29.6%28.5%
IV Rank8.8%6.5%12.7%6.6%7.5%
IV Percentile27.3%16.3%42.5%20.6%18.7%
Term Structure0.7%-1.1%2.0%0.5%1.4%
VWIV32.3%29.8%35.2%29.8%31.4%
Skew 25d1.8%0.3%3.5%3.5%0.9%
Skew 10d5.2%-0.0%15.2%3.5%-0.0%
Call IV 25d31.6%29.2%33.0%29.4%31.8%
Put IV 25d33.3%31.5%35.0%33.0%32.7%
Bid-Ask Spread %18.378.2435.109.178.83
Gamma HHI0.330.260.430.300.39
Net GEX1.2M895.2K1.8M1.0M1.2M
Net DEX-28.9M-43.6M-18.6M-19.4M-32.7M
Net VEX-111.6K-130.8K-90.8K-93.6K-128.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.090.029.760.110.49
Total Volume3,848.90964814,0761,4801,624
Total OI95,993.27377,560112,68895,28486,532

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-12-01$13.54$12.5029.9%8.6%31.1%6.6%29.8%3.5%0.5%1.0M-19.4M-93.6K0.119.17N/AN/A1,33214853,54041,744
2020-12-02$13.72$12.5031.5%9.0%30.6%8.6%31.7%2.1%-1.1%1.1M-22.3M-98.9K0.0211.33N/AN/A6,05614853,74841,620
2020-12-03$13.64$11.2530.2%8.9%30.4%6.9%30.9%2.7%0.6%1.1M-20.8M-91.2K0.3018.44N/AN/A1,70450452,94441,592
2020-12-04$13.74$11.2530.5%8.8%30.2%7.3%30.0%3.2%1.0%1.1M-22.9M-98.1K0.259.77N/AN/A78819653,82441,604
2020-12-07$13.42$11.2534.7%9.3%31.8%12.7%33.7%1.9%-0.3%951.7K-19.0M-90.8K9.7630.73N/AN/A1,30812,76853,75241,428
2020-12-08$13.48$11.2532.4%9.0%31.5%9.8%33.6%2.8%0.5%895.2K-18.6M-93.1K1.0135.10N/AN/A1,4481,46054,30449,220
2020-12-09$13.91$11.2532.3%9.3%32.4%9.6%33.9%2.9%0.6%1.2M-25.3M-101.0K0.2423.80N/AN/A3,40083254,52849,576
2020-12-10$13.96$11.2532.6%9.3%32.3%10.0%35.2%3.0%-0.1%1.2M-26.0M-105.0K0.6222.76N/AN/A40024855,70049,564
2020-12-11$13.80$11.2532.8%9.4%32.7%10.3%34.8%2.2%0.5%1.2M-24.2M-104.5K3.1621.46N/AN/A7402,33655,94049,744
2020-12-14$13.62$12.5032.9%9.4%30.2%10.4%33.3%2.3%-0.5%1.0M-20.1M-97.5K0.3329.06N/AN/A71223256,38053,868
2020-12-15$14.13$12.5032.7%9.4%32.3%10.1%33.9%2.8%0.6%1.3M-29.5M-105.6K0.1423.67N/AN/A4,17257656,37253,940
2020-12-16$14.53$12.5031.3%9.0%33.4%8.3%32.5%0.8%0.5%1.4M-36.1M-115.1K0.3426.28N/AN/A2,19673658,22454,088
2020-12-17$15.01$12.5031.5%9.0%30.5%8.6%32.1%0.5%0.5%1.7M-43.6M-128.7K0.0516.69N/AN/A10,06052858,62854,060
2020-12-18$14.90$12.5031.1%8.9%30.9%8.1%32.9%1.1%1.1%1.8M-40.6M-122.0K0.2311.61N/AN/A3,71683657,18854,116
2020-12-21$14.68$12.5032.9%9.4%31.7%10.4%33.1%0.9%0.2%1.1M-29.2M-116.9K0.3726.93N/AN/A1,42052450,43227,128
2020-12-22$15.14$12.5031.1%8.9%32.6%8.1%31.5%1.2%1.6%1.3M-34.5M-120.8K1.7916.32N/AN/A2,1883,92050,40827,600
2020-12-23$15.24$12.5031.2%9.0%32.4%8.2%31.4%1.3%1.5%1.3M-34.9M-128.2K1.9518.17N/AN/A1,1442,22850,73230,892
2020-12-24$15.19$12.5029.9%8.6%32.5%6.5%31.5%0.6%2.0%1.2M-33.0M-130.1K0.6612.60N/AN/A70446850,54432,592
2020-12-28$15.56$12.5031.4%9.0%32.1%8.4%30.9%0.9%1.1%1.3M-37.6M-129.1K0.2515.03N/AN/A3,59690050,38832,716
2020-12-29$15.36$12.5031.5%9.0%30.5%8.6%31.5%0.8%1.1%1.3M-35.0M-130.8K1.198.24N/AN/A1,5521,84451,53633,220
2020-12-30$15.04$12.5030.8%8.8%31.1%7.6%31.1%0.3%1.0%1.1M-29.8M-126.1K0.818.27N/AN/A1,6521,33251,11234,784
2020-12-31$15.24$12.5030.7%8.8%31.1%7.5%31.4%0.9%1.4%1.2M-32.7M-128.0K0.498.83N/AN/A1,09253251,28035,252