IBKR Options History — September 2022

In September 2022, IBKR traded between $15.40 and $17.56. ATM implied volatility averaged 35.5%, placing in the 32.0% IV rank vs the trailing year. The 30-day expected move averaged 10.2%. IV traded above realized volatility by 3.5% (HV 20d: 32.0%). 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 2 of 21 days. Put/call ratio averaged 0.78.

Notable Days

  • 2022-09-13: Highest Volume — 6,212 contracts
  • 2022-09-12: Largest IV spike — 35.8% change
  • 2022-09-29: Highest IV Rank — 46.2%
  • 2022-09-29: Largest Expected Move — 11.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.59$15.40$17.56$15.63$16.07
Max Pain$16.37$15.00$17.50$15.00$16.25
ATM IV35.5%26.0%41.0%30.9%40.0%
Expected Move10.2%8.7%11.8%8.8%11.5%
HV 20d32.0%24.4%35.5%24.4%35.2%
HV 60d33.1%32.3%34.4%33.5%33.0%
IV Rank32.0%5.9%46.2%19.4%43.2%
IV Percentile54.8%4.4%85.3%31.0%78.6%
Term Structure-1.1%-2.8%2.7%2.7%-1.0%
VWIV36.1%31.1%42.7%39.7%40.3%
Skew 25d6.2%4.6%7.9%6.3%5.9%
Skew 10d14.3%9.5%24.9%16.3%9.5%
Call IV 25d33.3%28.1%39.6%29.7%37.8%
Put IV 25d39.5%34.3%46.0%36.0%43.7%
Bid-Ask Spread %59.2848.7977.1077.1051.22
Gamma HHI0.170.140.230.190.14
Net GEX409.2K142.3K787.3K195.5K304.1K
Net DEX-15.8M-26.6M-7.1M-9.0M-10.4M
Net VEX-100.9K-114.4K-85.6K-86.9K-114.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.780.152.272.080.36
Total Volume2,848.3812206,2121,0602,608
Total OI62,734.47653,47273,63666,49658,460

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-09-01$15.63$15.0030.9%8.8%24.4%19.4%39.7%6.3%2.7%195.5K-9.0M-86.9K2.0877.10N/AN/A34471641,83224,664
2022-09-02$15.40$15.0033.7%9.6%24.9%27.1%31.1%4.6%2.0%142.3K-7.5M-85.6K1.1260.33N/AN/A10411641,86024,408
2022-09-06$16.14$15.0032.5%9.9%29.9%23.9%32.4%7.9%-2.3%358.6K-13.4M-91.0K0.3360.55N/AN/A4,5521,50841,83224,408
2022-09-07$16.61$16.2533.9%10.1%30.9%27.9%35.8%7.0%-1.9%549.7K-20.1M-108.4K0.4559.91N/AN/A3,9361,75643,55624,416
2022-09-08$16.77$16.2534.4%9.9%30.2%29.2%34.0%6.4%-1.6%561.5K-21.2M-110.1K0.3461.22N/AN/A41614044,38425,180
2022-09-09$17.27$16.2526.0%8.7%30.7%5.9%31.3%6.2%-0.1%653.4K-24.9M-100.4K0.9958.81N/AN/A1,1081,09244,61225,184
2022-09-12$17.49$17.5035.3%9.2%30.3%31.8%32.2%6.2%-0.8%787.3K-26.6M-102.9K0.3656.27N/AN/A2,30484045,55225,932
2022-09-13$17.15$16.2536.1%9.6%31.3%33.9%35.1%7.0%-0.9%600.1K-23.7M-104.0K0.8755.84N/AN/A3,3202,89245,80026,196
2022-09-14$17.56$17.5033.6%9.6%32.3%27.0%36.0%7.2%-1.0%631.8K-26.2M-105.5K1.8161.51N/AN/A6201,12445,24426,184
2022-09-15$17.46$17.5033.8%9.7%31.0%27.6%32.7%6.2%-0.3%599.3K-25.3M-106.0K0.1564.46N/AN/A2,43636845,28026,688
2022-09-16$16.88$17.5033.9%9.7%33.7%27.8%34.5%5.7%-0.3%371.2K-20.2M-103.1K0.3263.80N/AN/A4,1201,32046,89626,740
2022-09-19$17.18$17.5033.4%9.6%32.9%26.5%36.1%6.5%-0.8%454.8K-16.8M-102.5K0.2859.99N/AN/A78022033,67619,796
2022-09-20$16.91$16.2533.8%9.7%33.5%27.5%35.0%6.2%-1.7%430.7K-15.6M-108.0K0.4159.23N/AN/A1767234,04019,812
2022-09-21$16.75$16.2537.6%10.8%33.7%38.2%35.7%5.2%-2.2%418.4K-15.2M-108.7K1.2062.75N/AN/A22026434,05619,848
2022-09-22$16.60$16.2536.4%10.4%33.9%34.7%34.3%5.6%-1.9%360.3K-12.4M-100.4K0.5160.45N/AN/A20410434,20420,080
2022-09-23$16.11$16.2539.1%11.2%35.5%42.2%39.0%5.9%-2.5%237.9K-8.6M-93.4K2.2750.50N/AN/A35680834,24020,076
2022-09-26$16.03$16.2540.1%11.5%33.8%45.1%39.7%5.9%-2.8%254.1K-8.9M-98.2K0.4554.92N/AN/A2,06493234,32020,016
2022-09-27$15.89$16.2540.8%11.7%33.9%45.5%40.8%6.9%-2.7%200.4K-7.1M-90.0K0.8348.79N/AN/A2,6482,18834,36420,088
2022-09-28$16.35$16.2539.6%11.3%35.0%42.0%40.4%6.3%-2.3%264.1K-10.2M-99.7K0.7657.12N/AN/A3,3922,59234,89621,152
2022-09-29$16.05$16.2541.0%11.8%35.3%46.2%42.7%6.3%-1.5%218.5K-8.3M-100.3K0.4060.17N/AN/A3,6081,44835,96421,488
2022-09-30$16.07$16.2540.0%11.5%35.2%43.2%40.3%5.9%-1.0%304.1K-10.4M-114.4K0.3651.22N/AN/A1,92068836,93621,524