IBKR Options History — July 2021

In July 2021, IBKR traded between $15.10 and $16.55. ATM implied volatility averaged 28.8%, placing in the 9.9% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded above realized volatility by 6.5% (HV 20d: 22.3%). Max pain ranged from $16.25 to $17.50. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 2.71.

Notable Days

  • 2021-07-06: Highest Volume — 21,532 contracts
  • 2021-07-19: Largest IV spike — 15.6% change
  • 2021-07-19: Highest IV Rank — 25.7%
  • 2021-07-19: Largest Expected Move — 9.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.79$15.10$16.55$16.55$15.42
Max Pain$16.55$16.25$17.50$17.50$16.25
ATM IV28.8%26.3%34.1%27.2%28.1%
Expected Move8.4%7.5%9.8%7.8%8.1%
HV 20d22.3%19.7%24.2%20.9%23.6%
HV 60d23.1%21.2%24.9%24.3%21.8%
IV Rank9.9%2.3%25.7%5.1%7.8%
IV Percentile17.4%0.8%60.7%4.4%11.1%
Term Structure-0.1%-2.4%3.0%3.0%-0.2%
VWIV29.5%26.2%32.7%26.2%26.5%
Skew 25d3.1%1.7%4.5%3.8%3.0%
Skew 10d5.3%1.7%9.3%4.8%2.0%
Call IV 25d28.2%24.4%31.6%25.8%26.3%
Put IV 25d31.3%27.5%36.1%29.6%29.3%
Bid-Ask Spread %65.9623.7991.1885.7264.77
Gamma HHI0.180.140.240.150.23
Net GEX-735.3K-910.8K-485.1K-539.0K-910.8K
Net DEX21.6M13.2M27.8M13.2M23.9M
Net VEX-262.3K-322.2K-234.1K-322.2K-243.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.710.1222.610.730.12
Total Volume3,692.76277621,5321,4402,400
Total OI111,626.095102,284122,872120,812113,940

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-07-01$16.55$17.5027.2%7.8%20.9%5.1%26.2%3.8%3.0%-539.0K13.2M-322.2K0.7385.72N/AN/A83260845,78875,024
2021-07-02$16.33$17.5026.3%7.5%20.8%2.3%26.2%3.1%2.9%-724.8K18.3M-317.8K0.7691.18N/AN/A1,03679246,14475,312
2021-07-06$16.18$17.5028.4%8.5%20.1%8.7%30.1%2.8%0.1%-831.2K20.8M-309.6K22.6164.91N/AN/A91220,62046,82476,048
2021-07-07$16.14$17.5027.0%8.6%20.1%4.6%30.8%2.9%-0.2%-659.0K18.2M-267.1K0.2164.30N/AN/A2,00442447,30860,328
2021-07-08$15.79$17.5029.4%8.8%19.7%11.6%31.3%4.0%-0.6%-697.3K22.6M-262.4K1.0266.04N/AN/A72473648,28860,436
2021-07-09$16.30$16.2526.9%8.4%23.1%4.2%31.9%3.5%-0.0%-485.1K14.4M-268.3K1.0552.41N/AN/A77281248,54460,864
2021-07-12$16.26$16.2528.8%8.7%23.1%9.8%32.4%3.4%-1.0%-531.3K15.2M-266.8K0.7169.76N/AN/A2,0481,45248,76461,332
2021-07-13$16.11$16.2530.0%8.6%22.5%13.5%29.9%2.6%-0.8%-563.7K17.9M-265.2K0.4257.81N/AN/A98041650,50061,844
2021-07-14$15.95$16.2529.7%8.5%22.6%12.5%31.9%1.9%-0.5%-583.0K20.8M-261.5K1.5672.46N/AN/A1,3242,06050,84861,964
2021-07-15$15.94$16.2529.8%8.5%22.4%12.7%29.1%3.0%-0.5%-673.6K22.4M-262.1K3.2861.06N/AN/A4561,49651,51662,628
2021-07-16$15.77$16.2529.5%8.5%22.7%12.0%29.5%3.1%-0.7%-786.5K24.3M-253.2K1.1376.99N/AN/A86497251,64862,728
2021-07-19$15.48$16.2534.1%9.8%21.5%25.7%32.7%4.5%-2.4%-814.4K23.7M-248.1K1.0269.78N/AN/A77278843,08459,200
2021-07-20$15.77$16.2531.0%8.9%22.4%16.3%32.3%3.1%-1.6%-796.5K21.2M-253.8K0.6623.79N/AN/A3,9442,58843,36859,520
2021-07-21$15.80$16.2527.2%7.8%22.3%5.0%27.7%2.8%0.6%-726.7K20.0M-253.1K0.9465.59N/AN/A1,8281,71645,95261,356
2021-07-22$15.31$16.2528.5%8.2%24.2%8.8%27.5%2.4%0.1%-872.8K26.1M-235.5K0.2072.76N/AN/A3,64072445,42061,068
2021-07-23$15.25$16.2527.8%8.0%24.1%6.7%27.3%2.7%0.7%-807.3K26.4M-248.5K0.1675.64N/AN/A2,86044847,57261,424
2021-07-26$15.18$16.2529.3%8.4%23.2%11.2%29.2%3.6%-0.5%-860.4K27.5M-234.1K7.3346.95N/AN/A5884,31247,57261,424
2021-07-27$15.10$16.2529.9%8.6%22.8%13.1%31.7%3.9%-0.7%-810.6K27.8M-238.3K1.6954.13N/AN/A28848849,56861,560
2021-07-28$15.41$16.2528.2%8.1%23.3%8.1%28.0%1.7%0.1%-908.1K25.3M-249.2K10.4374.04N/AN/A5125,34049,64464,104
2021-07-29$15.56$16.2528.2%8.1%23.7%7.9%27.4%2.8%-0.2%-859.3K22.8M-249.1K0.8974.99N/AN/A1,04492849,56064,132
2021-07-30$15.42$16.2528.1%8.1%23.6%7.8%26.5%3.0%-0.2%-910.8K23.9M-243.5K0.1264.77N/AN/A2,15224849,76464,176