IBKR Options History — May 2021

In May 2021, IBKR traded between $16.52 and $17.59. ATM implied volatility averaged 29.8%, placing in the 9.0% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded above realized volatility by 2.8% (HV 20d: 27.1%). Max pain ranged from $17.50 to $18.75. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 1.87.

Notable Days

  • 2021-05-05: Highest Volume — 4,596 contracts
  • 2021-05-11: Largest IV spike — 14.9% change
  • 2021-05-11: Highest IV Rank — 25.6%
  • 2021-05-12: Largest Expected Move — 9.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.00$16.52$17.59$17.59$16.86
Max Pain$17.63$17.50$18.75$18.75$17.50
ATM IV29.8%27.4%35.1%28.2%27.5%
Expected Move8.5%7.8%9.8%8.1%7.9%
HV 20d27.1%18.8%30.9%30.5%18.8%
HV 60d27.2%24.7%28.6%28.6%24.7%
IV Rank9.0%1.3%25.6%3.9%1.8%
IV Percentile13.9%0.8%47.6%1.6%2.0%
Term Structure0.3%-3.5%2.9%0.2%-3.5%
VWIV29.2%26.1%33.1%28.4%26.4%
Skew 25d3.1%2.1%4.9%2.1%2.5%
Skew 10d6.9%0.3%13.0%0.3%4.3%
Call IV 25d28.2%25.2%31.2%28.1%25.2%
Put IV 25d31.3%27.8%36.1%30.2%27.8%
Bid-Ask Spread %47.5414.0981.7235.2719.43
Gamma HHI0.300.260.350.270.34
Net GEX-1.6M-1.9M-980.7K-1.0M-1.8M
Net DEX23.1M10.5M33.2M10.7M23.6M
Net VEX-300.7K-328.8K-269.3K-323.9K-269.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.870.225.420.830.22
Total Volume1,645.86324,5961,648840
Total OI162,223.8151,608169,676159,916153,024

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-05-03$17.59$18.7528.2%8.1%30.5%3.9%28.4%2.1%0.2%-1.0M10.7M-323.9K0.8335.27N/AN/A90074853,276106,640
2021-05-04$17.50$18.7529.6%8.5%30.5%8.3%29.6%3.7%-0.3%-1.0M12.0M-326.2K0.3073.54N/AN/A2,10062053,708106,964
2021-05-05$17.52$17.5031.5%9.0%30.5%14.3%31.3%3.8%-1.8%-980.7K10.5M-320.0K5.4280.61N/AN/A7163,88054,296107,092
2021-05-06$17.36$17.5031.0%8.5%30.4%12.5%29.2%3.2%0.6%-1.3M17.0M-328.8K0.6668.51N/AN/A92060854,932108,968
2021-05-07$17.38$17.5028.0%8.1%29.6%3.2%28.3%3.1%1.4%-1.5M16.3M-314.4K5.0347.99N/AN/A12864455,316108,904
2021-05-10$17.05$17.5030.6%8.1%30.2%11.4%28.9%3.0%1.5%-1.7M24.4M-316.5K0.4761.80N/AN/A66030855,260108,988
2021-05-11$16.82$17.5035.1%9.1%30.4%25.6%30.3%3.4%-0.7%-1.7M28.6M-309.4K1.0281.72N/AN/A93295255,364109,148
2021-05-12$16.52$17.5034.0%9.8%29.0%22.0%33.1%4.9%-1.7%-1.6M33.2M-311.8K2.5869.87N/AN/A9442,43255,812109,224
2021-05-13$16.95$17.5030.6%8.8%29.9%11.5%30.5%3.4%0.5%-1.7M24.9M-312.1K0.6242.96N/AN/A57235256,848110,016
2021-05-14$17.23$17.5028.9%8.3%30.9%6.1%28.9%2.5%1.2%-1.7M19.0M-308.7K2.7272.67N/AN/A4441,20857,248110,040
2021-05-17$17.14$17.5030.1%8.6%30.4%9.8%30.5%2.5%0.5%-1.9M21.8M-305.5K5.1837.70N/AN/A13268457,308110,424
2021-05-18$16.94$17.5029.6%8.5%28.3%8.4%31.1%3.0%1.1%-1.9M26.0M-299.7K1.4432.95N/AN/A44864457,292110,312
2021-05-19$16.63$17.5032.0%9.2%28.5%15.6%30.8%3.1%0.4%-1.7M32.4M-293.9K1.6873.29N/AN/A1,1241,89257,668110,668
2021-05-20$16.70$17.5030.4%8.7%26.4%10.9%30.0%2.6%-0.2%-1.7M31.1M-292.8K1.5630.54N/AN/A42866858,596110,808
2021-05-21$16.81$17.5029.5%8.4%22.3%7.9%28.2%3.0%0.4%-1.6M29.1M-283.6K1.9928.73N/AN/A6161,22858,720110,956
2021-05-24$16.75$17.5027.8%8.0%21.7%2.6%26.8%2.9%1.1%-1.7M26.0M-277.9K0.3914.09N/AN/A1,17245245,872105,736
2021-05-25$16.74$17.5027.7%7.9%21.7%2.4%26.1%2.8%0.6%-1.7M25.2M-270.2K1.4322.33N/AN/A26037246,728106,020
2021-05-26$16.81$17.5027.4%7.8%21.9%1.3%28.7%2.2%2.9%-1.8M24.3M-277.0K1.1716.00N/AN/A55664846,744105,952
2021-05-27$16.75$17.5027.5%7.9%20.1%1.6%26.9%3.4%1.2%-1.9M26.9M-271.4K2.8040.85N/AN/A18050447,176106,428
2021-05-28$16.86$17.5027.5%7.9%18.8%1.8%26.4%2.5%-3.5%-1.8M23.6M-269.3K0.2219.43N/AN/A68815246,740106,284