IBKR Options History — September 2021

In September 2021, IBKR traded between $14.85 and $16.41. ATM implied volatility averaged 27.8%, placing in the 8.4% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded above realized volatility by 5.2% (HV 20d: 22.6%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 2.01.

Notable Days

  • 2021-09-14: Highest Volume — 9,028 contracts
  • 2021-09-30: Largest IV spike — 21.3% change
  • 2021-09-30: Highest IV Rank — 25.6%
  • 2021-09-30: Largest Expected Move — 9.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.71$14.85$16.41$16.35$15.67
Max Pain$15.65$15.00$17.50$17.50$15.00
ATM IV27.8%23.9%32.9%26.7%32.9%
Expected Move8.0%6.8%9.4%7.7%9.4%
HV 20d22.6%18.8%31.0%18.9%31.0%
HV 60d22.3%21.0%25.6%21.8%25.6%
IV Rank8.4%0.0%25.6%3.9%25.6%
IV Percentile18.9%0.0%70.2%4.0%70.2%
Term Structure0.9%-2.5%2.5%2.1%-2.5%
VWIV28.1%26.1%36.7%26.8%36.7%
Skew 25d4.5%2.8%6.2%6.2%5.2%
Skew 10d9.7%1.7%16.3%9.9%13.4%
Call IV 25d26.4%23.3%33.1%25.8%33.1%
Put IV 25d30.8%28.8%38.3%32.0%38.3%
Bid-Ask Spread %61.1041.8672.4470.7863.84
Gamma HHI0.210.140.360.140.17
Net GEX-75.8K-746.3K425.0K-69.6K211.0K
Net DEX8.1M-10.7M22.5M2.2M859.9K
Net VEX-246.1K-273.0K-223.2K-272.7K-256.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.010.168.300.348.30
Total Volume2,925.1436769,0282,2405,988
Total OI117,16894,840137,936127,448100,400

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-09-01$16.35$17.5026.7%7.7%18.9%3.9%26.8%6.2%2.1%-69.6K2.2M-272.7K0.3470.78N/AN/A1,66857264,60862,840
2021-09-02$16.14$15.0026.0%8.1%19.7%1.9%28.3%3.1%0.8%3.9K6.0M-257.0K0.1662.56N/AN/A1,89229664,80062,652
2021-09-03$16.14$15.0025.2%8.0%18.9%0.0%28.5%3.6%0.8%22.7K6.6M-255.2K4.6268.89N/AN/A18083265,27662,772
2021-09-07$16.16$15.0028.1%7.8%18.8%8.7%27.5%3.6%1.4%88.4K5.7M-249.9K1.4260.56N/AN/A8001,13265,68462,776
2021-09-08$15.79$15.0027.2%7.8%20.7%5.9%28.0%3.9%1.6%-37.9K13.1M-239.7K1.3246.46N/AN/A8321,10065,76462,936
2021-09-09$15.84$15.0027.3%7.8%20.7%6.4%28.2%2.8%1.8%27.3K12.5M-237.5K2.3663.83N/AN/A4281,00866,12862,948
2021-09-10$15.74$16.2526.4%7.6%20.8%3.5%26.6%3.8%1.8%12.9K14.8M-230.4K0.9252.65N/AN/A84077666,01262,540
2021-09-13$15.50$16.2528.9%8.3%21.4%11.0%27.1%4.0%0.7%-465.1K22.5M-235.1K0.6269.26N/AN/A2,6801,67266,18870,740
2021-09-14$15.32$16.2528.8%8.3%21.4%10.7%28.5%3.5%0.1%-746.3K16.0M-226.2K6.3849.37N/AN/A1,2247,80466,66064,640
2021-09-15$15.41$16.2527.6%7.9%20.8%7.2%26.2%4.9%0.4%-627.8K13.8M-223.2K4.5867.80N/AN/A1,1085,07267,38064,288
2021-09-16$15.37$15.0027.5%7.9%20.6%6.9%26.1%3.9%0.5%-713.9K17.6M-238.4K2.2564.02N/AN/A8401,88868,01268,516
2021-09-17$15.45$16.2527.6%7.9%19.1%7.1%26.2%4.1%1.0%-35.5K15.4M-246.9K2.2463.81N/AN/A8641,93668,71669,220
2021-09-20$14.85$16.2531.4%9.0%22.5%18.4%31.5%5.3%-0.2%-172.6K14.7M-225.1K1.4956.21N/AN/A1,5482,31250,16444,676
2021-09-21$14.91$16.2529.9%8.6%22.4%14.0%29.8%5.3%-0.0%-194.2K15.0M-225.0K0.6668.60N/AN/A58038050,62045,280
2021-09-22$15.11$16.2528.1%8.0%22.4%8.5%27.8%5.1%1.3%-171.1K12.7M-232.9K0.5649.56N/AN/A56031251,78046,460
2021-09-23$15.55$16.2527.9%8.0%24.3%8.0%27.0%4.6%0.8%-20.5K6.3M-247.9K0.1765.39N/AN/A1,71629251,94846,812
2021-09-24$15.67$15.0023.9%6.8%24.5%0.0%26.3%5.6%2.5%53.9K4.5M-251.2K0.5456.86N/AN/A65635652,37246,912
2021-09-27$16.41$15.0026.4%7.6%28.6%7.0%27.2%4.2%1.3%415.1K-10.2M-270.4K1.6341.86N/AN/A2,5444,15653,50846,928
2021-09-28$16.41$15.0028.1%8.1%28.3%11.9%27.9%5.5%0.5%425.0K-10.7M-273.0K0.4372.44N/AN/A1,33257653,66846,900
2021-09-29$16.23$15.0027.1%7.8%28.6%9.2%27.2%5.3%1.6%401.6K-8.5M-273.0K1.1968.38N/AN/A30836854,85645,148
2021-09-30$15.67$15.0032.9%9.4%31.0%25.6%36.7%5.2%-2.5%211.0K859.9K-256.7K8.3063.84N/AN/A6445,34455,22045,180