IBKR Options History — November 2021

In November 2021, IBKR traded between $18.26 and $19.33. ATM implied volatility averaged 27.5%, placing in the 10.2% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded above realized volatility by 1.0% (HV 20d: 26.5%). Max pain ranged from $17.50 to $17.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.46.

Notable Days

  • 2021-11-19: Highest Volume — 12,160 contracts
  • 2021-11-26: Largest IV spike — 17.3% change
  • 2021-11-30: Highest IV Rank — 32.1%
  • 2021-11-30: Largest Expected Move — 10.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.63$18.26$19.33$18.58$18.55
Max Pain$17.50$17.50$17.50$17.50$17.50
ATM IV27.5%24.9%35.2%26.3%35.2%
Expected Move7.9%7.1%10.1%7.5%10.1%
HV 20d26.5%21.8%31.3%31.3%21.8%
HV 60d28.6%28.1%29.3%28.5%29.3%
IV Rank10.2%2.8%32.1%6.8%32.1%
IV Percentile20.2%0.4%81.3%6.3%81.3%
Term Structure0.8%-2.4%2.3%0.1%-2.4%
VWIV29.0%26.4%38.0%27.6%38.0%
Skew 25d4.3%3.3%7.2%3.7%7.2%
Skew 10d10.8%6.9%18.5%10.0%18.5%
Call IV 25d26.7%25.0%34.1%26.2%34.1%
Put IV 25d31.0%28.8%41.3%29.9%41.3%
Bid-Ask Spread %58.2043.8970.1644.9763.92
Gamma HHI0.360.250.670.300.25
Net GEX1.9M1.2M4.3M1.9M1.2M
Net DEX-52.5M-66.7M-43.7M-52.7M-48.9M
Net VEX-266.1K-294.8K-240.6K-287.1K-258.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.460.150.950.700.30
Total Volume5,909.5244,00812,1605,9845,368
Total OI117,434.857109,000121,832118,244110,620

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-11-01$18.58$17.5026.3%7.5%31.3%6.8%27.6%3.7%0.1%1.9M-52.7M-287.1K0.7044.97N/AN/A3,5282,45669,95648,288
2021-11-02$18.54$17.5027.1%7.8%28.5%9.1%27.5%3.9%-0.5%1.7M-49.4M-294.8K0.9546.36N/AN/A3,2923,12069,72848,904
2021-11-03$18.92$17.5026.6%7.6%27.2%7.8%27.1%4.3%0.3%2.0M-62.3M-278.9K0.4243.89N/AN/A4,3241,83270,44048,812
2021-11-04$18.64$17.5026.8%7.7%27.2%8.3%28.8%3.9%0.9%1.9M-55.4M-280.3K0.4952.87N/AN/A3,0961,53270,24848,664
2021-11-05$18.42$17.5026.2%7.6%27.2%6.6%27.7%4.2%1.0%1.7M-47.1M-290.6K0.3353.68N/AN/A4,4721,48870,69648,980
2021-11-08$18.38$17.5027.6%7.7%27.2%10.6%28.1%4.0%1.2%1.8M-48.2M-275.5K0.7259.60N/AN/A2,8002,00870,67248,876
2021-11-09$18.30$17.5026.9%7.6%27.2%8.5%27.0%4.7%1.5%1.7M-45.3M-271.1K0.5556.08N/AN/A2,9481,62070,80049,324
2021-11-10$18.26$17.5026.7%7.6%26.8%7.9%27.9%4.2%0.8%1.6M-43.7M-272.9K0.6164.61N/AN/A3,0001,82071,42449,448
2021-11-11$18.39$17.5025.7%7.4%26.8%5.1%29.4%4.3%1.7%1.8M-47.5M-261.9K0.6258.73N/AN/A2,4681,54071,30849,392
2021-11-12$18.27$17.5024.9%7.1%27.0%2.8%26.5%4.2%2.1%1.7M-45.3M-259.0K0.5464.38N/AN/A3,1041,68071,03649,380
2021-11-15$18.58$17.5025.7%7.4%27.5%5.2%26.5%3.5%1.6%2.1M-54.8M-249.5K0.5563.01N/AN/A3,0081,64070,99649,408
2021-11-16$18.56$17.5025.7%7.4%25.9%5.3%26.8%3.8%2.3%2.1M-52.6M-254.6K0.5366.24N/AN/A3,0921,63270,83249,904
2021-11-17$18.48$17.5026.1%7.5%25.1%6.4%27.3%3.9%1.8%2.0M-47.8M-260.3K0.4470.16N/AN/A2,9281,27671,27649,824
2021-11-18$18.64$17.5026.0%7.5%24.8%6.0%27.3%3.7%2.0%2.6M-51.1M-263.8K0.4569.29N/AN/A3,3361,49271,75249,904
2021-11-19$18.64$17.5025.9%7.4%24.7%5.6%27.0%3.3%1.8%4.3M-54.4M-240.6K0.1566.26N/AN/A10,5841,57672,08849,744
2021-11-22$19.14$17.5026.9%7.7%26.3%8.5%26.4%4.0%2.0%1.5M-57.5M-255.3K0.2658.05N/AN/A5,4281,43663,40045,600
2021-11-23$19.09$17.5028.0%8.0%25.4%11.6%34.1%5.3%0.8%1.6M-59.4M-245.6K0.3259.04N/AN/A6,6682,10464,65645,544
2021-11-24$19.33$17.5028.1%8.1%24.9%11.9%29.2%3.4%0.4%1.7M-66.7M-261.5K0.2350.46N/AN/A6,6241,54466,09245,256
2021-11-26$18.71$17.5032.9%9.4%26.8%25.7%33.6%5.1%-1.0%1.3M-54.6M-268.8K0.2349.76N/AN/A5,6761,28066,32845,004
2021-11-29$18.89$17.5031.7%9.1%26.8%22.2%34.2%6.0%-0.9%1.5M-57.9M-257.7K0.3160.79N/AN/A4,0281,25266,42045,108
2021-11-30$18.55$17.5035.2%10.1%21.8%32.1%38.0%7.2%-2.4%1.2M-48.9M-258.2K0.3063.92N/AN/A4,1401,22865,54845,072