IBKR Options History — January 2021 In January 2021, IBKR traded between $15.37 and $17.47. ATM implied volatility averaged 38.2%, placing in the 16.7% IV rank vs the trailing year. The 30-day expected move averaged 10.7%. IV traded above realized volatility by 3.4% (HV 20d: 34.7%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 18 of 19 trading days. Term structure was in contango for 3 of 19 days. Put/call ratio averaged 2.53.
Notable Days 2021-01-29 : Highest Volume — 81,368 contracts2021-01-11 : Largest IV spike — 25.7% change2021-01-29 : Highest IV Rank — 43.2%2021-01-29 : Largest Expected Move — 16.9%Monthly Statistics Metric Avg Min Max Open Close Price $16.77 $15.37 $17.47 $15.37 $15.37 Max Pain $16.45 $15.00 $17.50 $15.00 $17.50 ATM IV 38.2% 32.7% 59.1% 35.0% 59.1% Expected Move 10.7% 9.2% 16.9% 9.5% 16.9% HV 20d 34.7% 30.9% 39.5% 30.9% 39.5% HV 60d 31.0% 28.4% 33.7% 28.4% 33.7% IV Rank 16.7% 8.5% 43.2% 13.1% 43.2% IV Percentile 51.8% 29.4% 90.1% 43.7% 90.1% Term Structure -1.5% -8.1% 0.9% -0.7% -7.8% VWIV 39.5% 32.7% 72.0% 33.8% 72.0% Skew 25d 1.8% -1.4% 16.5% 2.1% 16.5% Skew 10d 4.6% -2.4% 38.0% 4.9% 36.6% Call IV 25d 37.4% 32.5% 52.9% 32.5% 52.9% Put IV 25d 39.2% 33.1% 69.4% 34.6% 69.4% Bid-Ask Spread % 31.80 9.27 47.57 42.42 19.12 Gamma HHI 0.32 0.17 0.42 0.41 0.17 Net GEX 1.2M -157.5K 1.9M 1.3M -157.5K Net DEX -42.1M -66.1M 1.4M -34.1M 1.4M Net VEX -138.7K -201.0K -121.4K -124.8K -201.0K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 2.53 0.03 20.17 0.66 12.17 Total Volume 11,256.421 1,324 81,368 2,532 81,368 Total OI 85,229.263 61,520 125,384 86,368 125,384
Daily Data (19 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 2021-01-04 $15.37 $15.00 35.0% 9.5% 30.9% 13.1% 33.8% 2.1% -0.7% 1.3M -34.1M -124.8K 0.66 42.42 N/A N/A 1,528 1,004 50,900 35,468 2021-01-05 $15.77 $15.00 33.5% 9.2% 31.7% 11.2% 32.7% 1.5% -0.5% 1.3M -39.5M -124.5K 0.11 44.22 N/A N/A 2,832 308 50,224 36,092 2021-01-06 $16.73 $15.00 35.8% 9.9% 34.6% 14.2% 35.0% -0.6% -0.8% 1.4M -53.7M -121.4K 0.20 38.27 N/A N/A 7,524 1,480 51,184 36,256 2021-01-07 $17.42 $15.00 38.0% 10.2% 36.0% 17.0% 36.4% -0.7% -1.0% 1.5M -64.8M -125.6K 0.31 36.45 N/A N/A 5,112 1,568 54,536 36,072 2021-01-08 $17.47 $15.00 34.5% 10.2% 35.4% 12.5% 36.0% -0.6% -1.2% 1.6M -65.9M -135.1K 0.22 38.47 N/A N/A 2,004 432 56,616 37,096 2021-01-11 $17.20 $16.25 43.4% 10.5% 36.5% 23.9% 36.9% -0.4% -1.5% 1.6M -61.9M -135.5K 0.62 36.07 N/A N/A 1,556 968 57,100 37,280 2021-01-12 $17.34 $16.25 41.9% 10.4% 35.6% 22.0% 36.8% -1.1% -1.7% 1.7M -64.3M -133.7K 0.38 36.34 N/A N/A 960 364 57,668 37,732 2021-01-13 $17.43 $16.25 35.4% 10.2% 34.5% 13.7% 36.3% -0.7% -1.7% 1.9M -66.1M -132.6K 0.19 39.28 N/A N/A 1,424 268 58,288 37,996 2021-01-14 $17.23 $16.25 35.9% 10.3% 34.2% 14.2% 37.4% -1.4% -0.8% 1.9M -62.1M -132.2K 0.45 29.55 N/A N/A 2,264 1,024 57,996 37,976 2021-01-15 $17.27 $16.25 35.4% 10.1% 33.6% 13.6% 36.0% -0.2% -0.5% 1.3M -60.9M -133.2K 0.56 40.70 N/A N/A 2,296 1,284 58,208 38,240 2021-01-19 $17.42 $16.25 37.3% 10.7% 32.5% 16.1% 37.6% -1.0% -1.6% 1.3M -41.8M -132.2K 1.09 16.89 N/A N/A 6,300 6,872 40,780 20,740 2021-01-20 $16.96 $17.50 33.7% 9.7% 34.3% 11.4% 34.1% 0.5% 0.2% 1.2M -32.8M -145.7K 1.02 15.41 N/A N/A 3,488 3,568 45,316 26,576 2021-01-21 $17.25 $17.50 33.0% 9.5% 33.5% 10.5% 33.6% 1.3% 0.7% 1.3M -37.3M -142.0K 0.41 9.27 N/A N/A 2,140 872 44,804 25,676 2021-01-22 $17.23 $17.50 32.7% 9.4% 32.5% 8.5% 32.8% 0.3% 0.9% 1.3M -38.1M -144.7K 0.03 30.88 N/A N/A 5,096 172 45,964 25,904 2021-01-25 $16.87 $17.50 34.7% 10.0% 33.9% 11.1% 34.0% 1.1% -0.1% 1.1M -28.5M -134.9K 0.43 27.21 N/A N/A 2,496 1,084 42,580 26,040 2021-01-26 $16.55 $17.50 35.5% 10.2% 34.9% 12.2% 35.0% 2.3% -0.8% 935.8K -23.4M -131.2K 0.35 28.11 N/A N/A 1,476 524 41,408 26,452 2021-01-27 $15.84 $17.50 42.2% 12.1% 38.1% 20.9% 44.1% 3.0% -1.7% 669.1K -14.8M -132.1K 8.68 47.57 N/A N/A 2,044 17,752 41,268 26,568 2021-01-28 $15.95 $17.50 48.2% 13.8% 37.8% 28.8% 70.7% 12.9% -8.1% 424.3K -10.8M -173.0K 20.17 27.98 N/A N/A 2,004 40,416 41,752 49,216 2021-01-29 $15.37 $17.50 59.1% 16.9% 39.5% 43.2% 72.0% 16.5% -7.8% -157.5K 1.4M -201.0K 12.17 19.12 N/A N/A 6,176 75,192 42,420 82,964
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