IBKR Options History — November 2023

In November 2023, IBKR traded between $19.19 and $20.62. ATM implied volatility averaged 24.0%, placing in the 5.0% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded below realized volatility by 0.9% (HV 20d: 24.9%). Max pain ranged from $20.00 to $21.25. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.10.

Notable Days

  • 2023-11-29: Highest Volume — 25,764 contracts
  • 2023-11-28: Largest IV spike — 19.9% change
  • 2023-11-29: Highest IV Rank — 12.5%
  • 2023-11-29: Largest Expected Move — 8.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.98$19.19$20.62$19.55$19.46
Max Pain$20.18$20.00$21.25$21.25$20.00
ATM IV24.0%22.0%28.2%23.8%26.9%
Expected Move6.9%6.3%8.1%6.8%7.7%
HV 20d24.9%21.9%29.3%25.2%28.8%
HV 60d23.0%22.2%24.6%22.2%24.5%
IV Rank5.0%1.5%12.5%4.8%10.2%
IV Percentile10.4%0.8%41.7%7.5%30.6%
Term Structure2.3%0.0%3.8%1.3%0.4%
VWIV24.1%22.0%28.1%23.9%28.0%
Skew 25d2.6%0.5%4.6%1.8%0.5%
Skew 10d4.8%0.4%9.4%6.2%4.2%
Call IV 25d23.5%21.4%27.7%24.4%27.7%
Put IV 25d26.1%23.1%29.8%26.1%28.2%
Bid-Ask Spread %31.005.8868.2865.3956.10
Gamma HHI0.310.190.490.320.19
Net GEX151.6K-1.4M1.6M-694.5K531.8K
Net DEX452.4K-15.1M13.0M13.0M3.7M
Net VEX-132.8K-191.2K-117.1K-117.9K-191.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.100.145.575.570.44
Total Volume5,566.28682425,7644,5964,792
Total OI86,562.09576,016110,63676,016110,636

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-11-01$19.55$21.2523.8%6.8%25.2%4.8%23.9%1.8%1.3%-694.5K13.0M-117.9K5.5765.39N/AN/A7003,89650,79625,220
2023-11-02$20.08$21.2522.8%7.0%26.5%2.9%24.2%4.6%3.5%-795.1K8.3M-131.7K0.8018.73N/AN/A88470450,85627,872
2023-11-03$19.88$21.2522.6%6.9%24.6%2.6%24.4%3.5%3.3%-953.2K11.1M-127.6K0.5916.48N/AN/A4,3882,60451,12828,008
2023-11-06$20.18$20.0023.6%7.0%25.0%4.3%24.0%4.3%2.8%-569.0K3.8M-136.1K0.3922.81N/AN/A2,8041,09653,69228,724
2023-11-07$20.42$20.0024.4%7.0%25.4%5.8%23.4%3.8%3.2%-152.2K-2.4M-134.3K2.1327.33N/AN/A2,2484,79255,09628,540
2023-11-08$20.11$20.0023.9%6.8%25.5%4.8%22.8%3.1%2.9%-562.4K3.1M-132.7K0.6313.94N/AN/A2,4601,56055,57231,780
2023-11-09$20.52$20.0024.5%7.0%25.8%5.9%22.8%3.2%3.3%124.8K-7.5M-136.6K0.4611.45N/AN/A2,4601,14056,19230,916
2023-11-10$20.62$20.0023.6%6.8%25.9%4.3%22.0%3.4%3.8%276.8K-8.7M-131.8K0.6213.93N/AN/A1,51294056,14031,484
2023-11-13$20.43$20.0023.8%6.8%25.7%4.8%23.0%2.6%3.4%-273.3K-5.3M-122.9K1.2231.27N/AN/A37245255,41631,280
2023-11-14$19.93$20.0023.5%6.7%26.7%4.1%23.6%2.8%3.0%-1.4M6.6M-117.1K0.1568.28N/AN/A7,2121,07255,52431,584
2023-11-15$20.01$20.0023.7%6.8%22.5%4.4%23.3%2.7%2.5%-1.1M929.3K-124.7K0.768.95N/AN/A3,5442,68459,17631,544
2023-11-16$19.62$20.0024.2%6.9%21.9%5.4%24.6%2.0%2.6%-4.1K10.4M-123.3K0.3362.47N/AN/A4,8801,62461,12031,192
2023-11-17$19.75$20.0023.6%6.8%22.1%4.3%24.2%2.6%2.1%819.8K8.4M-129.0K0.608.57N/AN/A2,9481,77263,20831,800
2023-11-20$19.80$20.0022.8%6.5%22.1%2.8%24.4%1.6%2.3%1.1M-3.5M-129.0K0.148.73N/AN/A4,40061656,57622,444
2023-11-21$20.04$20.0022.6%6.5%22.5%2.6%23.2%2.8%1.7%1.4M-9.0M-137.8K0.7667.67N/AN/A99675260,31222,660
2023-11-22$20.14$20.0022.0%6.3%22.4%1.5%22.9%1.7%1.9%1.5M-10.9M-137.1K1.1914.65N/AN/A1,8162,15660,45622,956
2023-11-24$20.38$20.0022.2%6.4%22.7%1.9%22.6%1.3%1.8%1.6M-15.1M-141.7K0.7220.75N/AN/A69650060,86423,920
2023-11-27$20.23$20.0023.1%6.6%22.6%3.4%22.5%2.4%1.8%1.5M-11.9M-135.2K0.535.88N/AN/A2,2081,17660,91224,072
2023-11-28$19.19$20.0027.7%7.9%29.3%11.7%28.0%1.2%0.0%486.7K6.7M-120.4K1.8853.77N/AN/A3,5726,70060,86824,912
2023-11-29$19.19$20.0028.2%8.1%29.3%12.5%28.1%2.7%0.3%314.8K8.0M-130.9K3.1453.91N/AN/A6,22819,53663,76028,596
2023-11-30$19.46$20.0026.9%7.7%28.8%10.2%28.0%0.5%0.4%531.8K3.7M-191.2K0.4456.10N/AN/A3,3361,45666,86043,776