IBKR Options History — March 2022 In March 2022, IBKR traded between $14.24 and $17.02. ATM implied volatility averaged 41.7%, placing in the 54.9% IV rank vs the trailing year. The 30-day expected move averaged 12.1%. IV traded below realized volatility by 7.1% (HV 20d: 48.7%). Max pain ranged from $16.25 to $17.50. Net GEX was positive for 12 of 23 trading days. Term structure was in contango for 7 of 23 days. Put/call ratio averaged 0.55.
Notable Days 2022-03-17 : Highest Volume — 15,156 contracts2022-03-07 : Largest IV spike — 26.9% change2022-03-01 : Highest IV Rank — 100.0%2022-03-07 : Largest Expected Move — 17.2%Monthly Statistics Metric Avg Min Max Open Close Price $15.94 $14.24 $17.02 $15.64 $16.53 Max Pain $16.82 $16.25 $17.50 $16.25 $17.50 ATM IV 41.7% 31.8% 59.8% 47.4% 35.9% Expected Move 12.1% 9.4% 17.2% 13.6% 10.3% HV 20d 48.7% 42.0% 54.4% 43.3% 42.5% HV 60d 39.4% 35.0% 41.6% 35.0% 41.2% IV Rank 54.9% 22.0% 100.0% 100.0% 33.4% IV Percentile 91.8% 67.9% 100.0% 100.0% 82.5% Term Structure -1.5% -6.6% 1.3% -6.6% 0.5% VWIV 41.7% 33.7% 53.9% 48.2% 36.2% Skew 25d 7.4% 4.7% 9.3% 6.0% 4.7% Skew 10d 15.0% 10.7% 19.2% 11.0% 17.7% Call IV 25d 37.8% 31.1% 47.9% 47.9% 34.1% Put IV 25d 45.2% 36.6% 54.0% 54.0% 38.8% Bid-Ask Spread % 56.56 33.09 77.95 67.80 61.72 Gamma HHI 0.23 0.17 0.34 0.22 0.20 Net GEX 280.7K -297.7K 891.1K -117.2K 792.4K Net DEX -6.8M -19.0M 10.4M 1.8M -14.7M Net VEX -150.6K -172.7K -116.7K -139.9K -159.5K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.55 0.20 1.84 0.25 0.76 Total Volume 6,625.739 3,048 15,156 5,876 3,048 Total OI 60,873.913 50,104 76,784 60,196 53,660
Daily Data (23 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 2022-03-01 $15.64 $16.25 47.4% 13.6% 43.3% 100.0% 48.2% 6.0% -6.6% -117.2K 1.8M -139.9K 0.25 67.80 N/A N/A 4,704 1,172 35,892 24,304 2022-03-02 $16.02 $16.25 41.4% 11.9% 42.0% 74.5% 44.9% 8.5% -2.4% -32.2K -1.6M -140.8K 0.60 33.09 N/A N/A 3,044 1,820 36,724 24,020 2022-03-03 $15.19 $16.25 45.1% 12.9% 44.9% 90.2% 45.1% 6.5% -2.1% -245.8K 6.1M -127.7K 0.58 64.58 N/A N/A 2,164 1,260 36,864 24,800 2022-03-04 $14.64 $16.25 47.1% 13.5% 46.0% 98.9% 51.7% 8.8% -3.1% -297.7K 9.3M -121.5K 0.36 72.05 N/A N/A 3,740 1,336 37,060 24,928 2022-03-07 $14.24 $16.25 59.8% 17.2% 42.6% 100.0% 53.9% 7.1% -3.4% -216.7K 10.4M -116.7K 0.41 52.37 N/A N/A 3,464 1,408 39,124 25,172 2022-03-08 $14.78 $16.25 47.8% 15.1% 45.9% 66.5% 52.6% 8.8% -3.4% -210.6K 6.0M -128.4K 1.84 74.11 N/A N/A 2,256 4,152 39,808 25,036 2022-03-09 $15.39 $16.25 45.1% 14.5% 49.1% 59.1% 50.0% 8.2% -2.5% -115.9K 391.9K -137.6K 0.59 54.73 N/A N/A 5,788 3,420 39,924 23,984 2022-03-10 $15.34 $16.25 45.6% 14.6% 48.5% 60.4% 51.1% 9.3% -2.9% -128.0K -8.9K -145.8K 0.51 77.95 N/A N/A 5,564 2,836 42,076 24,496 2022-03-11 $15.29 $16.25 44.9% 13.9% 48.5% 58.5% 48.0% 7.9% -2.1% -208.2K 580.8K -141.6K 0.44 66.73 N/A N/A 6,664 2,932 41,936 24,576 2022-03-14 $15.46 $16.25 47.5% 12.9% 49.0% 65.8% 42.8% 9.3% -2.3% -188.2K -1.1M -140.2K 0.27 56.71 N/A N/A 7,264 1,976 41,788 24,724 2022-03-15 $15.47 $16.25 46.1% 12.3% 49.1% 61.9% 40.3% 8.9% -3.4% -174.9K -1.6M -137.8K 0.20 49.67 N/A N/A 9,512 1,936 43,416 24,808 2022-03-16 $16.40 $16.25 40.2% 11.1% 53.6% 45.4% 38.9% 7.4% -1.4% 410.9K -13.9M -168.0K 0.36 56.10 N/A N/A 9,548 3,480 47,876 24,956 2022-03-17 $16.13 $0.00 39.3% 11.3% 53.2% 42.8% 41.0% 7.1% 0.5% 420.6K -10.6M -160.9K 0.26 47.27 N/A N/A 12,004 3,152 48,004 26,240 2022-03-18 $16.64 $17.50 37.5% 10.9% 52.5% 37.8% 35.5% 8.5% 0.9% 669.4K -18.4M -169.5K 0.34 45.39 N/A N/A 9,192 3,140 50,400 26,384 2022-03-21 $16.30 $17.50 36.7% 10.6% 52.8% 35.5% 33.7% 6.9% 0.3% 629.1K -13.8M -162.4K 0.63 53.88 N/A N/A 2,172 1,372 37,088 13,016 2022-03-22 $17.02 $17.50 33.5% 9.7% 54.4% 26.6% 35.1% 8.0% 1.2% 771.5K -19.0M -171.5K 0.64 52.93 N/A N/A 2,056 1,312 37,608 13,112 2022-03-23 $16.52 $17.50 37.6% 10.6% 53.6% 38.1% 35.2% 6.8% -0.6% 693.5K -15.0M -166.7K 0.35 47.62 N/A N/A 3,680 1,284 37,752 13,828 2022-03-24 $16.55 $17.50 37.0% 10.6% 53.5% 36.5% 36.0% 6.6% 0.0% 728.0K -15.0M -164.2K 0.42 49.25 N/A N/A 2,956 1,236 38,464 13,900 2022-03-25 $16.48 $17.50 36.0% 10.5% 52.3% 33.7% 35.2% 6.1% -0.1% 728.1K -14.3M -161.9K 0.50 52.84 N/A N/A 2,968 1,480 38,604 14,008 2022-03-28 $16.66 $17.50 38.3% 10.4% 50.4% 40.1% 35.0% 8.6% -1.9% 783.1K -15.7M -161.6K 0.84 54.18 N/A N/A 1,924 1,616 38,728 14,228 2022-03-29 $16.98 $17.50 31.8% 9.4% 46.9% 22.0% 33.7% 5.5% 1.3% 891.1K -18.4M -167.5K 0.76 49.80 N/A N/A 1,884 1,428 38,984 14,300 2022-03-30 $16.86 $17.50 36.7% 10.3% 46.4% 35.6% 34.6% 5.6% -0.3% 872.7K -17.1M -172.7K 0.66 60.21 N/A N/A 1,836 1,212 39,116 14,384 2022-03-31 $16.53 $17.50 35.9% 10.3% 42.5% 33.4% 36.2% 4.7% 0.5% 792.4K -14.7M -159.5K 0.76 61.72 N/A N/A 1,736 1,312 39,160 14,500
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