IBKR Options History — July 2023

In July 2023, IBKR traded between $20.61 and $21.79. ATM implied volatility averaged 28.1%, placing in the 7.4% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded above realized volatility by 4.1% (HV 20d: 24.0%). Max pain ranged from $20.00 to $21.25. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 0.74.

Notable Days

  • 2023-07-18: Highest Volume — 34,820 contracts
  • 2023-07-12: Largest IV drop — 27.4% change
  • 2023-07-11: Highest IV Rank — 28.5%
  • 2023-07-11: Largest Expected Move — 8.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.23$20.61$21.79$21.00$21.73
Max Pain$20.88$20.00$21.25$20.00$21.25
ATM IV28.1%22.3%40.2%27.5%25.2%
Expected Move7.6%6.4%8.5%7.9%7.2%
HV 20d24.0%19.8%27.8%22.5%25.3%
HV 60d28.6%27.1%29.7%28.2%27.1%
IV Rank7.4%0.0%28.5%3.8%5.2%
IV Percentile22.4%0.0%88.1%8.3%3.2%
Term Structure-0.1%-2.5%1.7%-1.5%0.3%
VWIV27.1%22.5%31.2%28.5%25.0%
Skew 25d2.6%0.7%4.3%2.1%3.0%
Skew 10d5.2%-1.6%8.6%-1.6%5.1%
Call IV 25d25.9%22.0%30.1%27.3%23.5%
Put IV 25d28.4%23.8%32.2%29.5%26.4%
Bid-Ask Spread %59.7634.4967.1567.0034.49
Gamma HHI0.210.170.320.200.20
Net GEX913.7K382.4K1.4M833.0K1.1M
Net DEX-26.7M-38.2M-11.2M-24.9M-33.4M
Net VEX-170.4K-180.8K-160.5K-173.4K-166.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.740.132.570.170.23
Total Volume7,286.41,27634,8201,2763,384
Total OI81,810.867,216112,64467,21683,380

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-07-03$21.00$20.0027.5%7.9%22.5%3.8%28.5%2.1%-1.5%833.0K-24.9M-173.4K0.1767.00N/AN/A1,09218432,50034,716
2023-07-05$21.10$20.0029.0%8.3%22.4%6.6%31.2%3.0%-2.5%923.1K-26.7M-168.7K0.6063.83N/AN/A1,18870833,14434,764
2023-07-06$21.09$20.0034.5%8.2%22.2%17.4%29.9%4.1%-1.1%774.9K-26.1M-175.4K1.0562.71N/AN/A4,7925,02033,53235,048
2023-07-07$21.66$20.0035.6%8.4%23.6%19.6%30.1%3.5%-0.9%1.2M-38.2M-164.7K0.4258.58N/AN/A2,4001,00835,86037,760
2023-07-10$21.39$20.0039.0%8.3%23.6%26.1%30.0%3.5%-0.9%897.9K-32.0M-173.3K1.0063.71N/AN/A91291235,73238,108
2023-07-11$21.54$20.0040.2%8.5%23.6%28.5%29.3%4.3%-1.6%994.9K-33.9M-173.5K2.5758.17N/AN/A1,1242,89235,98038,604
2023-07-12$21.28$21.2529.2%8.4%20.7%7.0%29.5%3.6%-1.8%1.1M-32.1M-165.5K1.2863.50N/AN/A62479636,41240,776
2023-07-13$21.41$21.2528.9%8.3%19.8%6.6%29.2%3.5%-1.1%1.1M-31.5M-174.4K0.5365.71N/AN/A1,9921,06036,44441,236
2023-07-14$21.17$21.2528.5%8.2%20.1%5.7%29.0%3.3%-1.5%1.0M-28.8M-169.5K1.4066.39N/AN/A1,6522,30836,56441,456
2023-07-17$20.97$21.2529.5%8.5%20.3%7.7%30.3%3.2%-1.4%814.9K-23.6M-171.4K0.3567.15N/AN/A5,5601,93636,93242,516
2023-07-18$21.50$21.2529.5%8.5%21.3%7.7%30.4%0.7%-0.4%1.3M-35.9M-173.5K0.5859.79N/AN/A22,08412,73640,51643,116
2023-07-19$20.61$21.2524.5%7.0%26.7%0.0%23.9%1.7%1.6%458.7K-11.2M-179.0K0.5857.65N/AN/A16,2929,38860,44852,196
2023-07-20$20.90$21.2523.4%6.7%27.1%0.0%23.9%1.1%1.6%1.4M-19.8M-180.8K0.5459.39N/AN/A3,7922,04459,05251,092
2023-07-21$20.93$21.2522.4%6.4%26.8%0.0%23.0%1.5%1.7%382.4K-16.2M-170.5K0.5954.76N/AN/A4,1642,45258,34850,648
2023-07-24$20.79$21.2522.4%6.4%26.9%0.0%23.0%1.5%1.3%483.1K-15.6M-165.3K0.5549.11N/AN/A1,9321,05642,02835,428
2023-07-25$20.76$21.2522.3%6.4%26.8%0.0%26.5%1.8%1.5%462.4K-14.8M-165.2K1.4656.08N/AN/A1,7162,51242,21235,740
2023-07-26$21.30$21.2523.1%6.6%27.8%1.5%23.3%2.4%1.2%740.5K-24.9M-165.7K0.4964.25N/AN/A7,1803,49242,21638,856
2023-07-27$21.59$21.2523.8%6.8%27.5%2.6%23.5%1.9%1.5%1.1M-31.1M-170.4K0.3359.67N/AN/A4,3961,45243,48438,052
2023-07-28$21.79$21.2522.9%6.6%25.4%1.1%22.5%1.7%1.5%1.2M-33.1M-160.5K0.1363.20N/AN/A6,63286443,09238,228
2023-07-31$21.73$21.2525.2%7.2%25.3%5.2%25.0%3.0%0.3%1.1M-33.4M-166.7K0.2334.49N/AN/A2,74064444,92438,456