IBKR Options History — September 2023

In September 2023, IBKR traded between $21.59 and $23.63. ATM implied volatility averaged 26.8%, placing in the 9.7% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded above realized volatility by 6.4% (HV 20d: 20.4%). Max pain ranged from $21.25 to $23.75. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 1.47.

Notable Days

  • 2023-09-18: Highest Volume — 9,588 contracts
  • 2023-09-26: Largest IV spike — 13.2% change
  • 2023-09-26: Highest IV Rank — 22.1%
  • 2023-09-26: Largest Expected Move — 9.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.68$21.59$23.63$23.10$21.59
Max Pain$23.38$21.25$23.75$21.25$22.50
ATM IV26.8%21.2%33.5%23.0%32.6%
Expected Move8.0%6.6%9.6%6.6%9.4%
HV 20d20.4%19.0%21.5%20.6%20.8%
HV 60d22.6%22.0%23.2%23.2%22.9%
IV Rank9.7%0.0%22.1%1.2%20.5%
IV Percentile23.2%0.0%62.7%2.4%57.1%
Term Structure-0.5%-2.5%4.3%4.3%-2.1%
VWIV28.6%22.4%33.4%22.4%32.8%
Skew 25d3.2%1.7%4.4%1.7%3.7%
Skew 10d6.3%3.9%9.1%3.9%5.8%
Call IV 25d27.0%21.4%31.9%21.4%31.3%
Put IV 25d30.2%23.1%35.7%23.1%34.9%
Bid-Ask Spread %40.499.7256.5552.4450.92
Gamma HHI0.180.110.300.240.12
Net GEX826.7K88.8K1.7M1.6M88.8K
Net DEX-28.8M-52.8M-5.2M-45.6M-5.2M
Net VEX-136.8K-154.0K-119.8K-144.4K-143.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.470.165.392.662.40
Total Volume2,855.86169,5883,2241,672
Total OI78,674.851,88495,62891,56468,840

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-09-01$23.10$21.2523.0%6.6%20.6%1.2%22.4%1.7%4.3%1.6M-45.6M-144.4K2.6652.44N/AN/A8802,34451,05640,508
2023-09-05$23.00$23.7523.7%7.8%20.5%2.6%27.9%3.0%0.1%1.5M-43.9M-134.4K5.3940.81N/AN/A5402,91250,95641,964
2023-09-06$23.38$23.7521.8%7.4%20.9%0.0%26.6%3.2%0.3%1.7M-49.6M-131.9K1.0218.36N/AN/A1,2801,30450,93241,756
2023-09-07$23.26$23.7523.0%7.5%20.9%2.2%27.3%3.5%0.4%1.5M-46.5M-134.0K0.7854.45N/AN/A74057651,12442,224
2023-09-08$23.63$23.7521.2%7.4%21.5%0.0%27.0%2.8%0.5%1.6M-52.7M-134.5K4.0456.55N/AN/A9083,67251,60442,480
2023-09-11$23.62$23.7523.5%7.3%21.1%4.1%27.5%2.7%0.4%1.5M-52.8M-127.7K1.4915.48N/AN/A1,9922,97651,69242,520
2023-09-12$23.49$23.7523.6%7.3%20.2%4.3%26.6%2.9%0.6%1.6M-50.4M-122.9K1.4622.00N/AN/A1,0241,50052,06842,212
2023-09-13$23.01$23.7526.7%7.6%20.7%9.8%26.2%3.1%0.2%1.6M-42.9M-124.0K0.2649.22N/AN/A3,01677252,36041,984
2023-09-14$23.15$23.7524.8%7.1%20.8%6.5%26.0%3.3%0.1%533.5K-45.9M-119.8K0.2213.06N/AN/A2,36451651,96442,068
2023-09-15$22.84$23.7526.4%7.6%20.9%9.4%26.8%2.6%-0.7%596.9K-43.7M-129.8K0.3351.40N/AN/A2,67287253,12442,504
2023-09-18$22.70$23.7526.7%7.7%20.8%10.0%29.0%3.0%-0.6%386.7K-14.4M-129.3K0.169.72N/AN/A8,2801,30834,04817,836
2023-09-19$22.40$23.7526.9%7.7%20.0%10.2%27.9%3.1%-0.6%360.9K-12.3M-139.6K0.5932.52N/AN/A2,2961,36041,91218,516
2023-09-20$22.68$23.7527.6%7.9%19.0%11.5%28.1%3.1%-1.1%455.1K-15.6M-144.5K0.7444.07N/AN/A71652843,28419,336
2023-09-21$22.27$23.7529.2%8.4%19.8%14.4%29.9%3.5%-1.5%358.0K-11.9M-147.7K1.0146.45N/AN/A80481243,66819,600
2023-09-22$21.97$23.7528.7%8.2%20.2%13.6%30.1%3.6%-1.2%253.2K-9.1M-143.0K1.0950.49N/AN/A86894843,82819,924
2023-09-25$21.95$23.7529.6%8.5%19.5%15.1%31.0%3.5%-1.5%215.6K-8.4M-145.4K1.2348.61N/AN/A34842843,91620,340
2023-09-26$21.59$22.5033.5%9.6%19.8%22.1%33.4%4.4%-2.5%108.4K-5.2M-140.8K3.1547.14N/AN/A5041,58843,98420,488
2023-09-27$22.00$22.5031.9%9.2%20.6%19.3%32.8%3.6%-2.2%260.4K-9.6M-154.0K0.3954.20N/AN/A84833247,62420,864
2023-09-28$22.02$22.5031.2%9.0%20.0%18.0%32.3%3.9%-2.3%244.0K-9.5M-144.4K1.0352.01N/AN/A30431247,54420,844
2023-09-29$21.59$22.5032.6%9.4%20.8%20.5%32.8%3.7%-2.1%88.8K-5.2M-143.8K2.4050.92N/AN/A4921,18047,68821,152