IBKR Options History — December 2021 In December 2021, IBKR traded between $18.65 and $20.45. ATM implied volatility averaged 33.1%, placing in the 26.2% IV rank vs the trailing year. The 30-day expected move averaged 9.4%. IV traded above realized volatility by 7.4% (HV 20d: 25.7%). Max pain ranged from $17.50 to $18.75. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 0.74.
Notable Days 2021-12-01 : Highest Volume — 11,424 contracts2021-12-13 : Largest IV spike — 20.9% change2021-12-03 : Highest IV Rank — 47.8%2021-12-03 : Largest Expected Move — 11.7%Monthly Statistics Metric Avg Min Max Open Close Price $19.41 $18.65 $20.45 $19.02 $19.90 Max Pain $18.07 $17.50 $18.75 $17.50 $18.75 ATM IV 33.1% 28.2% 40.7% 35.9% 28.2% Expected Move 9.4% 8.1% 11.7% 10.3% 8.1% HV 20d 25.7% 22.6% 30.2% 23.6% 26.1% HV 60d 28.5% 25.1% 29.8% 29.6% 25.1% IV Rank 26.2% 12.3% 47.8% 34.2% 12.3% IV Percentile 67.8% 34.5% 92.9% 83.7% 34.5% Term Structure -0.1% -2.5% 1.0% -0.7% 0.6% VWIV 33.6% 28.8% 41.8% 35.3% 28.8% Skew 25d 4.8% 2.7% 7.9% 5.8% 2.7% Skew 10d 11.4% 6.4% 16.5% 16.3% 6.4% Call IV 25d 31.2% 28.5% 38.8% 33.6% 28.6% Put IV 25d 36.1% 31.3% 46.8% 39.4% 31.3% Bid-Ask Spread % 60.27 43.31 71.23 65.84 47.25 Gamma HHI 0.26 0.22 0.35 0.28 0.26 Net GEX 744.0K 301.2K 1.8M 1.4M 645.4K Net DEX -53.2M -66.4M -31.2M -56.5M -58.3M Net VEX -252.1K -298.9K -218.1K -268.8K -218.1K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.74 0.24 1.90 1.60 0.47 Total Volume 5,070 2,920 11,424 11,424 3,184 Total OI 113,843.273 100,476 128,204 110,700 103,780
Daily Data (22 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2021-12-01 $19.02 $17.50 35.9% 10.3% 23.6% 34.2% 35.3% 5.8% -0.7% 1.4M -56.5M -268.8K 1.60 65.84 N/A N/A 4,400 7,024 65,648 45,052 2021-12-02 $19.13 $17.50 36.8% 10.5% 22.6% 36.6% 36.1% 7.6% 1.0% 1.2M -56.8M -271.9K 1.90 62.21 N/A N/A 3,688 7,020 65,360 50,640 2021-12-03 $18.65 $17.50 40.7% 11.7% 23.9% 47.8% 41.8% 7.9% -2.5% 542.6K -38.8M -298.9K 0.43 60.36 N/A N/A 4,372 1,884 65,068 56,448 2021-12-06 $18.91 $17.50 37.5% 10.7% 23.9% 38.7% 39.0% 6.1% -1.1% 621.8K -46.2M -290.1K 0.31 63.06 N/A N/A 3,980 1,224 65,360 57,260 2021-12-07 $19.11 $17.50 33.2% 9.8% 24.1% 26.5% 35.8% 5.5% -0.5% 722.6K -50.5M -277.7K 0.48 57.82 N/A N/A 2,348 1,116 64,580 57,408 2021-12-08 $19.29 $17.50 32.9% 9.7% 24.1% 25.5% 33.0% 5.3% -0.8% 849.7K -56.3M -268.1K 0.63 66.65 N/A N/A 2,428 1,540 64,332 57,764 2021-12-09 $19.11 $17.50 34.0% 9.6% 24.4% 28.8% 32.4% 5.5% -0.4% 635.1K -51.3M -262.2K 0.67 54.73 N/A N/A 2,112 1,412 64,788 57,580 2021-12-10 $19.05 $17.50 29.3% 9.1% 24.4% 15.4% 31.9% 5.1% -0.0% 665.4K -51.8M -258.2K 0.64 67.68 N/A N/A 2,160 1,384 65,096 57,948 2021-12-13 $18.89 $17.50 35.4% 9.2% 24.5% 32.8% 33.0% 5.1% 0.1% 491.1K -47.5M -252.7K 0.54 71.23 N/A N/A 2,284 1,232 65,048 58,068 2021-12-14 $19.00 $17.50 37.3% 9.4% 23.9% 38.2% 30.9% 5.3% 0.1% 649.0K -50.9M -250.3K 0.24 69.91 N/A N/A 4,756 1,148 65,004 58,224 2021-12-15 $19.10 $17.50 32.7% 9.4% 23.9% 25.0% 32.3% 4.9% -0.7% 841.6K -53.6M -250.7K 0.52 70.09 N/A N/A 2,244 1,168 67,252 58,212 2021-12-16 $19.64 $17.50 31.6% 9.1% 25.6% 22.0% 33.1% 4.8% 0.6% 1.8M -66.3M -248.2K 0.31 66.89 N/A N/A 7,312 2,268 67,376 58,252 2021-12-17 $19.34 $18.75 33.7% 9.7% 26.3% 27.9% 33.9% 4.7% 0.4% 338.6K -55.9M -262.9K 0.41 62.23 N/A N/A 5,000 2,032 66,540 61,664 2021-12-20 $18.76 $18.75 35.6% 10.2% 28.7% 33.2% 37.2% 3.4% -0.2% 301.2K -31.2M -254.1K 0.86 56.44 N/A N/A 2,928 2,516 54,060 46,964 2021-12-21 $19.31 $18.75 33.8% 9.7% 29.0% 28.0% 36.1% 4.1% -0.8% 388.1K -40.4M -248.3K 0.83 68.93 N/A N/A 2,296 1,900 53,664 46,812 2021-12-22 $19.66 $18.75 30.0% 8.6% 29.7% 17.4% 34.4% 4.8% 0.6% 535.2K -46.5M -245.5K 1.60 50.32 N/A N/A 1,328 2,120 53,672 47,088 2021-12-23 $20.07 $18.75 29.5% 8.5% 30.2% 15.9% 30.5% 3.5% 0.7% 639.9K -57.7M -232.2K 1.00 55.07 N/A N/A 1,884 1,892 53,940 47,524 2021-12-27 $20.26 $18.75 30.6% 8.8% 27.4% 19.1% 30.6% 3.7% 0.1% 759.0K -62.9M -221.7K 0.99 59.59 N/A N/A 1,468 1,460 54,488 47,260 2021-12-28 $20.45 $18.75 30.4% 8.7% 27.4% 18.5% 31.5% 3.8% 0.1% 819.3K -66.4M -218.4K 0.49 46.46 N/A N/A 3,128 1,528 54,744 47,492 2021-12-29 $20.25 $18.75 29.9% 8.6% 26.7% 17.1% 31.8% 3.5% 0.2% 840.9K -62.1M -224.7K 0.73 43.31 N/A N/A 1,996 1,456 55,468 47,868 2021-12-30 $20.12 $18.75 29.3% 8.4% 25.7% 15.4% 29.1% 3.3% 0.4% 750.1K -62.0M -222.4K 0.60 59.96 N/A N/A 1,824 1,096 55,900 47,856 2021-12-31 $19.90 $18.75 28.2% 8.1% 26.1% 12.3% 28.8% 2.7% 0.6% 645.4K -58.3M -218.1K 0.47 47.25 N/A N/A 2,172 1,012 55,836 47,944
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