IBKR Options History — March 2021 In March 2021, IBKR traded between $18.11 and $19.80. ATM implied volatility averaged 36.5%, placing in the 11.4% IV rank vs the trailing year. The 30-day expected move averaged 10.4%. IV traded above realized volatility by 6.2% (HV 20d: 30.3%). Max pain ranged from $15.00 to $18.75. Net GEX was positive for 17 of 23 trading days. Term structure was in contango for 17 of 23 days. Put/call ratio averaged 1.94.
Notable Days 2021-03-23 : Highest Volume — 13,056 contracts2021-03-29 : Largest IV spike — 10.0% change2021-03-08 : Highest IV Rank — 20.1%2021-03-03 : Largest Expected Move — 11.8%Monthly Statistics Metric Avg Min Max Open Close Price $19.06 $18.11 $19.80 $19.23 $18.35 Max Pain $18.26 $15.00 $18.75 $15.00 $18.75 ATM IV 36.5% 30.2% 43.2% 38.6% 31.5% Expected Move 10.4% 8.7% 11.8% 11.1% 9.0% HV 20d 30.3% 25.2% 36.2% 36.2% 25.6% HV 60d 35.6% 34.6% 36.4% 35.8% 35.0% IV Rank 11.4% 3.0% 20.1% 13.8% 6.7% IV Percentile 41.4% 6.7% 74.6% 53.6% 15.9% Term Structure 0.8% -1.6% 2.5% 1.1% -0.4% VWIV 37.0% 30.5% 42.0% 40.4% 30.5% Skew 25d 3.0% 0.2% 6.9% 4.4% 6.9% Skew 10d 8.1% 1.3% 15.4% 13.6% 8.8% Call IV 25d 35.8% 30.2% 39.9% 37.7% 30.2% Put IV 25d 38.7% 32.4% 44.3% 42.1% 37.1% Bid-Ask Spread % 71.44 56.15 90.20 60.64 85.54 Gamma HHI 0.14 0.11 0.19 0.12 0.19 Net GEX 600.4K -597.6K 1.3M 1.1M -483.3K Net DEX -38.5M -65.3M 4.4M -54.9M 19.4K Net VEX -317.5K -357.6K -275.6K -340.2K -317.2K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.94 0.05 19.77 0.30 0.32 Total Volume 2,950.957 488 13,056 7,864 1,940 Total OI 148,537.391 109,944 163,732 157,124 134,032
Daily Data (23 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 2021-03-01 $19.23 $15.00 38.6% 11.1% 36.2% 13.8% 40.4% 4.4% 1.1% 1.1M -54.9M -340.2K 0.30 60.64 N/A N/A 6,040 1,824 63,520 93,604 2021-03-02 $18.98 $15.00 39.1% 11.2% 31.1% 14.5% 39.0% 5.2% 0.5% 1.2M -54.2M -351.1K 1.64 64.38 N/A N/A 1,376 2,252 68,524 93,924 2021-03-03 $19.13 $15.00 41.0% 11.8% 28.6% 17.1% 41.1% 4.6% -1.4% 1.2M -56.8M -357.6K 0.44 56.15 N/A N/A 852 372 67,800 95,932 2021-03-04 $18.66 $18.75 42.3% 11.6% 30.6% 18.8% 35.0% 0.4% 2.2% 1.1M -50.4M -342.6K 0.29 90.20 N/A N/A 2,032 588 67,524 95,892 2021-03-05 $18.73 $18.75 39.9% 11.5% 30.5% 15.6% 41.1% 4.6% -0.4% 1.1M -51.2M -325.1K 1.28 60.97 N/A N/A 736 944 66,428 95,412 2021-03-08 $19.09 $18.75 43.2% 11.7% 29.8% 20.1% 41.4% 3.6% -0.1% 1.0M -55.2M -333.7K 1.45 69.86 N/A N/A 364 528 66,876 95,120 2021-03-09 $19.80 $18.75 40.2% 11.0% 32.0% 16.0% 38.7% 4.4% 0.3% 1.3M -65.3M -316.9K 0.55 68.84 N/A N/A 1,180 644 66,788 95,300 2021-03-10 $19.59 $18.75 39.0% 11.2% 32.2% 14.3% 41.9% 4.7% 0.2% 1.2M -61.4M -327.1K 0.18 70.35 N/A N/A 2,252 396 66,112 95,312 2021-03-11 $19.70 $18.75 38.4% 11.0% 31.5% 13.6% 42.0% 4.3% 1.8% 1.1M -61.9M -317.5K 0.05 69.86 N/A N/A 3,000 140 64,804 95,276 2021-03-12 $19.66 $18.75 39.1% 11.2% 31.4% 14.6% 41.9% 2.5% -0.6% 1.1M -62.0M -297.4K 0.11 63.44 N/A N/A 1,148 128 64,232 95,348 2021-03-15 $19.62 $18.75 38.8% 11.1% 31.3% 14.1% 41.4% 3.4% 1.1% 1.1M -60.4M -302.3K 0.70 71.02 N/A N/A 420 296 65,248 95,440 2021-03-16 $19.14 $18.75 39.4% 11.3% 30.1% 15.0% 40.2% 2.8% 1.5% 738.9K -51.3M -304.5K 0.82 66.16 N/A N/A 680 556 64,576 95,592 2021-03-17 $19.39 $18.75 36.2% 10.4% 30.1% 10.5% 37.7% 0.9% 1.8% 884.9K -56.1M -305.6K 0.42 68.84 N/A N/A 344 144 64,232 95,716 2021-03-18 $19.44 $18.75 36.2% 10.4% 30.1% 10.5% 38.8% 4.0% 0.3% 892.3K -55.2M -304.4K 0.22 68.48 N/A N/A 712 156 64,232 95,824 2021-03-19 $19.69 $18.75 33.9% 9.7% 30.2% 8.2% 33.4% 3.7% 2.2% 495.2K -59.0M -286.9K 3.11 74.48 N/A N/A 1,252 3,892 63,968 95,904 2021-03-22 $19.53 $18.75 31.7% 9.1% 30.2% 4.9% 31.4% 3.4% 2.5% 401.0K -16.2M -294.9K 0.29 69.34 N/A N/A 1,844 540 35,236 74,708 2021-03-23 $18.99 $18.75 32.0% 9.2% 31.6% 5.4% 33.6% 0.5% 1.9% 434.8K -15.2M -275.6K 6.03 85.13 N/A N/A 1,856 11,200 36,864 75,392 2021-03-24 $18.72 $18.75 30.4% 8.7% 30.6% 3.5% 31.7% 0.9% 0.6% -85.0K -6.9M -316.6K 19.77 69.00 N/A N/A 312 6,168 36,928 86,128 2021-03-25 $18.52 $18.75 30.2% 8.7% 30.7% 3.0% 31.7% 0.2% 1.8% -382.9K -1.2M -317.7K 3.94 83.54 N/A N/A 724 2,852 37,108 91,476 2021-03-26 $18.27 $18.75 31.1% 8.9% 30.9% 4.8% 30.9% 1.1% 1.7% -544.0K 2.0M -329.2K 0.75 79.46 N/A N/A 944 708 37,216 93,276 2021-03-29 $18.14 $18.75 34.2% 9.8% 25.5% 10.5% 32.5% 0.6% -1.6% -575.1K 3.1M -313.9K 1.50 74.16 N/A N/A 660 988 37,384 93,856 2021-03-30 $18.11 $18.75 31.9% 9.2% 25.2% 6.4% 34.5% 0.6% 1.9% -597.6K 4.4M -325.0K 0.46 73.30 N/A N/A 1,292 596 37,816 94,480 2021-03-31 $18.35 $18.75 31.5% 9.0% 25.6% 6.7% 30.5% 6.9% -0.4% -483.3K 19.4K -317.2K 0.32 85.54 N/A N/A 1,472 468 39,112 94,920
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