IBKR Options History — October 2021

In October 2021, IBKR traded between $16.01 and $18.74. ATM implied volatility averaged 29.3%, placing in the 15.4% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded below realized volatility by 4.5% (HV 20d: 33.8%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.67.

Notable Days

  • 2021-10-25: Highest Volume — 10,968 contracts
  • 2021-10-13: Largest IV drop — 16.7% change
  • 2021-10-12: Highest IV Rank — 34.8%
  • 2021-10-12: Largest Expected Move — 9.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.77$16.01$18.74$16.18$17.70
Max Pain$16.67$15.00$17.50$15.00$17.50
ATM IV29.3%25.3%36.1%30.5%27.6%
Expected Move8.2%7.2%9.2%8.7%7.9%
HV 20d33.8%27.8%37.4%32.9%27.8%
HV 60d27.0%25.3%27.9%26.0%27.0%
IV Rank15.4%3.9%34.8%18.7%10.5%
IV Percentile35.5%0.8%82.1%51.6%19.0%
Term Structure-0.6%-2.5%0.8%-1.1%-0.9%
VWIV29.0%24.7%35.8%35.8%28.8%
Skew 25d4.7%2.8%6.9%6.9%6.3%
Skew 10d10.2%6.0%13.9%13.9%12.8%
Call IV 25d27.2%24.5%29.6%29.6%25.3%
Put IV 25d32.0%28.2%36.6%36.6%31.5%
Bid-Ask Spread %52.1211.3067.7067.7036.17
Gamma HHI0.210.170.260.180.25
Net GEX1.2M254.4K1.9M403.6K1.1M
Net DEX-38.2M-56.4M-3.8M-7.4M-29.0M
Net VEX-284.9K-295.7K-261.3K-267.4K-294.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.670.062.112.110.73
Total Volume5,547.8176010,9681,5285,664
Total OI109,011.619100,264117,388100,264117,388

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-10-01$16.18$15.0030.5%8.7%32.9%18.7%35.8%6.9%-1.1%403.6K-7.4M-267.4K2.1167.70N/AN/A4921,03655,18845,076
2021-10-04$16.01$16.2533.8%8.8%33.2%28.1%32.7%6.3%-0.6%254.4K-3.8M-261.3K1.7558.51N/AN/A27648455,42446,984
2021-10-05$16.70$16.2531.4%8.8%36.5%21.4%28.0%5.3%-1.1%567.1K-17.7M-274.8K0.1261.17N/AN/A5,49665655,52446,916
2021-10-06$17.27$16.2529.7%8.6%36.9%16.5%29.2%5.1%-1.5%682.4K-27.7M-285.1K0.1048.70N/AN/A5,05251655,56846,704
2021-10-07$17.64$16.2529.3%8.5%37.4%15.3%29.7%4.0%-0.3%943.9K-37.8M-294.7K0.2154.46N/AN/A6,8081,40059,44446,628
2021-10-08$17.94$16.2531.0%8.7%37.3%20.3%30.7%4.9%-1.2%1.2M-46.1M-291.7K0.1546.91N/AN/A2,29633661,96846,548
2021-10-11$18.00$16.2535.7%9.0%36.4%33.7%30.9%5.4%-1.2%1.3M-48.0M-293.5K0.4058.17N/AN/A1,22448464,94446,716
2021-10-12$17.95$16.2536.1%9.2%35.9%34.8%30.0%5.3%-2.5%1.4M-47.4M-290.3K0.2564.22N/AN/A2,05650865,88846,764
2021-10-13$17.73$16.2530.1%8.6%36.7%17.7%32.3%4.5%-0.8%1.3M-42.2M-290.5K1.1762.84N/AN/A1,0201,19265,61646,864
2021-10-14$17.73$16.2529.1%8.3%36.6%14.9%31.8%5.7%-0.4%1.4M-42.3M-283.8K1.2154.00N/AN/A9641,16466,05247,000
2021-10-15$17.82$16.2528.4%8.2%36.6%12.9%28.6%4.9%0.1%1.1M-44.0M-288.0K0.5162.74N/AN/A1,27264465,73647,896
2021-10-18$17.92$16.2530.5%8.8%32.2%18.9%28.8%3.7%-1.1%1.3M-38.6M-278.7K0.0655.55N/AN/A10,12060060,39240,592
2021-10-19$18.40$16.2528.3%8.1%32.7%12.7%28.9%2.8%-1.4%1.3M-47.2M-275.8K0.2411.30N/AN/A6,5081,58060,43640,628
2021-10-20$18.74$17.5025.5%7.3%32.8%4.5%25.7%3.4%0.6%1.9M-56.4M-284.7K0.3857.55N/AN/A7,7282,92066,60041,980
2021-10-21$18.49$17.5025.6%7.3%33.1%4.9%26.0%2.8%0.5%1.6M-49.9M-284.2K0.8949.53N/AN/A4,3763,89265,02042,344
2021-10-22$18.62$17.5025.3%7.2%33.1%3.9%24.7%4.0%0.8%1.8M-54.4M-278.5K0.5056.55N/AN/A6,3723,20865,33242,852
2021-10-25$18.53$17.5026.1%7.5%30.3%6.2%26.1%3.6%0.5%1.7M-51.4M-289.7K0.8146.44N/AN/A6,0684,90066,84843,720
2021-10-26$18.22$17.5025.6%7.3%31.3%4.9%26.2%3.7%0.5%1.6M-45.5M-292.6K1.0233.38N/AN/A3,2043,26469,24046,396
2021-10-27$17.95$17.5028.2%8.1%31.6%12.4%27.2%5.4%-0.7%1.4M-37.1M-295.7K0.7650.93N/AN/A3,2122,44469,75247,156
2021-10-28$17.60$17.5027.7%7.9%29.5%10.8%27.4%5.5%-0.3%1.2M-28.8M-286.9K0.7557.63N/AN/A2,8882,18069,77647,344
2021-10-29$17.70$17.5027.6%7.9%27.8%10.5%28.8%6.3%-0.9%1.1M-29.0M-294.3K0.7336.17N/AN/A3,2682,39669,79647,592