IBKR Options History — June 2021

In June 2021, IBKR traded between $15.88 and $17.31. ATM implied volatility averaged 28.2%, placing in the 5.8% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded above realized volatility by 7.1% (HV 20d: 21.1%). Max pain ranged from $16.25 to $17.50. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 1.78.

Notable Days

  • 2021-06-15: Highest Volume — 14,548 contracts
  • 2021-06-07: Largest IV spike — 15.8% change
  • 2021-06-11: Highest IV Rank — 17.7%
  • 2021-06-11: Largest Expected Move — 9.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.47$15.88$17.31$16.90$16.46
Max Pain$16.99$16.25$17.50$17.50$17.50
ATM IV28.2%25.5%32.2%27.0%26.7%
Expected Move8.1%7.3%9.2%7.7%7.7%
HV 20d21.1%18.3%23.7%18.3%23.7%
HV 60d24.2%23.5%24.7%24.7%24.3%
IV Rank5.8%0.0%17.7%0.3%3.5%
IV Percentile9.0%0.0%38.1%0.4%1.2%
Term Structure1.6%-1.2%4.8%-0.8%2.9%
VWIV28.0%25.3%31.5%29.4%26.2%
Skew 25d3.1%1.4%5.6%1.4%2.5%
Skew 10d5.8%-3.8%13.9%6.1%6.5%
Call IV 25d27.3%24.6%31.0%26.8%26.3%
Put IV 25d30.4%27.3%35.4%28.3%28.8%
Bid-Ask Spread %74.6114.8887.6376.1459.68
Gamma HHI0.220.140.410.360.15
Net GEX-1.2M-1.9M-564.1K-1.9M-600.8K
Net DEX24.3M13.8M37.7M22.6M14.8M
Net VEX-286.0K-320.0K-257.8K-261.4K-320.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.780.2412.231.100.62
Total Volume4,783.63689214,5481,888892
Total OI144,690.727108,292171,116153,584120,420

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-06-01$16.90$17.5027.0%7.7%18.3%0.3%29.4%1.4%-0.8%-1.9M22.6M-261.4K1.1076.14N/AN/A90098847,308106,276
2021-06-02$16.80$17.5028.5%8.2%18.3%4.8%27.4%2.0%1.2%-1.9M25.5M-257.8K0.5814.88N/AN/A1,65295247,264106,180
2021-06-03$17.31$16.2528.4%8.3%21.5%4.5%30.4%2.0%1.0%-1.9M13.8M-282.7K0.3172.98N/AN/A2,14466448,460106,192
2021-06-04$17.05$16.2526.5%7.4%21.9%0.0%26.6%2.9%4.8%-1.9M19.0M-267.7K0.8378.96N/AN/A1,6801,40049,304106,004
2021-06-07$16.75$16.2530.7%8.3%22.7%12.9%29.0%2.2%1.6%-1.8M24.7M-269.2K0.3368.94N/AN/A3,7681,24850,140106,536
2021-06-08$16.77$16.2531.1%8.8%21.7%14.2%29.9%3.6%0.1%-1.7M24.4M-277.6K0.7375.82N/AN/A1,5001,09652,396107,212
2021-06-09$16.36$16.2531.1%8.9%22.9%14.3%31.2%2.8%0.7%-1.3M30.7M-265.2K0.6674.03N/AN/A6,6964,40453,204107,784
2021-06-10$16.38$16.2531.1%8.9%22.1%14.1%31.5%4.9%0.9%-1.1M30.3M-272.5K0.9185.61N/AN/A2,0961,90857,092108,124
2021-06-11$16.39$16.2532.2%9.2%19.8%17.7%28.7%5.6%-1.2%-1.1M31.5M-274.8K2.5186.39N/AN/A6481,62456,368109,340
2021-06-14$16.11$16.2529.1%8.4%19.4%8.2%29.0%4.6%1.3%-918.0K37.3M-268.6K1.9073.95N/AN/A1,1602,20456,620109,880
2021-06-15$16.23$16.2528.3%8.1%19.7%5.6%28.4%3.7%1.3%-876.1K28.4M-267.0K12.2379.68N/AN/A1,10013,44857,212105,792
2021-06-16$16.34$17.5028.0%8.0%19.7%4.8%26.8%4.3%1.2%-1.1M29.0M-280.8K5.0078.01N/AN/A1,6048,02857,304109,760
2021-06-17$16.32$17.5027.5%7.9%18.7%3.3%27.4%2.9%1.9%-1.5M33.0M-295.4K1.8087.63N/AN/A1,8403,30457,472113,644
2021-06-18$15.88$17.5028.2%8.1%20.8%5.4%28.9%2.2%1.5%-886.8K37.7M-288.7K3.9379.91N/AN/A1,0204,00857,956111,588
2021-06-21$16.01$17.5026.9%7.7%20.8%1.2%27.3%2.4%2.5%-932.3K24.2M-290.4K0.2477.58N/AN/A3,34080037,26471,028
2021-06-22$16.08$17.5027.4%7.9%21.0%2.9%27.2%4.6%1.1%-894.4K23.3M-297.0K0.4080.46N/AN/A2,05683238,58471,508
2021-06-23$16.30$17.5026.9%7.7%21.7%1.4%26.4%2.8%2.5%-791.3K19.4M-305.1K0.6479.35N/AN/A5,3643,42039,82872,136
2021-06-24$16.36$17.5026.1%7.5%21.6%0.0%26.1%2.5%2.9%-763.5K19.0M-308.2K2.0777.09N/AN/A1,3042,70041,15673,424
2021-06-25$16.58$17.5025.5%7.3%22.3%0.0%25.3%2.7%3.2%-606.8K14.7M-314.9K0.3278.13N/AN/A2,02464842,52874,600
2021-06-28$16.32$17.5026.8%7.7%22.7%3.7%27.0%2.2%2.6%-707.4K17.4M-310.9K0.8778.52N/AN/A68860044,35674,628
2021-06-29$16.59$17.5026.8%7.7%23.6%4.0%26.1%3.6%2.8%-564.1K14.0M-316.5K1.1177.78N/AN/A3,5523,93644,68874,636
2021-06-30$16.46$17.5026.7%7.7%23.7%3.5%26.2%2.5%2.9%-600.8K14.8M-320.0K0.6259.68N/AN/A55234045,46874,952