IBKR Options History — December 2023

In December 2023, IBKR traded between $19.48 and $20.98. ATM implied volatility averaged 28.9%, placing in the 13.9% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 0.7% (HV 20d: 28.3%). Max pain ranged from $20.00 to $20.00. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 0 of 20 days. Put/call ratio averaged 0.89.

Notable Days

  • 2023-12-15: Highest Volume — 13,444 contracts
  • 2023-12-11: Largest IV spike — 14.1% change
  • 2023-12-27: Highest IV Rank — 17.3%
  • 2023-12-27: Largest Expected Move — 8.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.39$19.48$20.98$19.48$20.78
Max Pain$20.00$20.00$20.00$20.00$20.00
ATM IV28.9%26.3%30.8%27.9%28.9%
Expected Move8.2%7.6%8.8%8.0%8.3%
HV 20d28.3%23.4%30.9%27.1%23.4%
HV 60d25.7%24.5%26.7%24.5%26.0%
IV Rank13.9%9.2%17.3%12.0%13.9%
IV Percentile50.0%22.6%68.3%38.9%51.2%
Term Structure-1.0%-2.0%-0.2%-0.3%-1.3%
VWIV28.6%26.9%30.8%27.9%30.8%
Skew 25d2.7%-0.6%4.3%-0.6%2.9%
Skew 10d5.6%2.7%8.6%3.8%6.4%
Call IV 25d27.5%26.0%30.0%28.1%28.6%
Put IV 25d30.3%27.5%32.0%27.5%31.5%
Bid-Ask Spread %49.227.1780.0869.2010.03
Gamma HHI0.210.160.440.190.18
Net GEX561.7K-325.9K1.8M538.2K358.6K
Net DEX-10.1M-31.3M9.4M2.1M-12.9M
Net VEX-209.4K-227.7K-189.2K-194.5K-227.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.890.142.670.510.97
Total Volume4,6131,05613,4446,0402,424
Total OI103,838.686,788119,204110,81696,648

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-12-01$19.48$20.0027.9%8.0%27.1%12.0%27.9%-0.6%-0.3%538.2K2.1M-194.5K0.5169.20N/AN/A3,9922,04866,97643,840
2023-12-04$19.82$20.0029.3%8.4%27.7%14.5%29.7%2.5%-1.7%786.8K-4.4M-204.5K1.7680.08N/AN/A1,0401,82867,73245,568
2023-12-05$19.73$20.0028.3%8.0%27.1%12.8%28.3%4.0%-1.0%723.2K-2.4M-196.9K0.1472.01N/AN/A1,70424467,66046,136
2023-12-06$20.00$20.0029.3%8.1%27.2%14.5%27.5%3.0%-0.8%1.0M-9.5M-205.9K0.7076.65N/AN/A2,0281,41267,94046,136
2023-12-07$20.18$20.0029.8%8.0%27.0%15.4%26.9%4.3%-1.6%1.1M-12.7M-201.6K0.5052.11N/AN/A70435267,76446,160
2023-12-08$20.85$20.0026.3%7.6%28.5%9.2%27.6%2.9%-0.2%1.8M-31.3M-200.2K0.3268.75N/AN/A9,0202,88867,79645,772
2023-12-11$20.98$20.0030.0%7.7%28.5%15.9%28.0%2.9%-0.2%1.7M-27.4M-189.2K0.7050.65N/AN/A4,2602,97264,41246,660
2023-12-12$20.94$20.0029.9%7.7%28.3%15.6%27.8%3.3%-0.9%1.7M-24.7M-195.2K1.4742.03N/AN/A1,1201,64464,58448,708
2023-12-13$20.25$20.0028.4%8.1%29.4%12.9%28.4%2.7%-1.8%155.2K-6.8M-193.5K0.9765.87N/AN/A5,5885,44864,53648,900
2023-12-14$20.39$20.0029.0%8.3%29.5%14.1%29.5%0.4%-1.1%536.9K-11.3M-198.7K1.6865.41N/AN/A2,5244,24466,10049,684
2023-12-15$19.91$20.0028.0%8.0%29.9%12.2%28.3%2.5%-0.9%-325.9K9.4M-201.1K2.6770.08N/AN/A3,6689,77666,58052,624
2023-12-18$20.29$20.0028.6%8.2%30.5%13.2%27.9%3.8%-1.3%-10.3K-4.1M-218.3K0.6357.03N/AN/A1,7161,08845,48441,304
2023-12-19$20.59$20.0028.4%8.1%30.9%12.9%27.7%3.1%-0.3%135.7K-8.7M-219.9K0.3033.34N/AN/A2,02861646,13241,872
2023-12-20$20.43$20.0029.2%8.4%30.9%14.3%28.6%2.8%-0.9%113.3K-7.2M-223.0K0.7229.24N/AN/A1,6801,21647,05242,100
2023-12-21$20.46$20.0029.5%8.5%30.8%14.9%29.5%3.4%-1.0%116.5K-7.3M-224.5K1.7627.30N/AN/A9041,58847,66442,708
2023-12-22$20.53$20.0028.5%8.2%30.6%13.2%28.2%2.4%-0.5%92.2K-8.1M-223.8K0.5924.19N/AN/A1,10465648,12843,808
2023-12-26$20.78$20.0028.7%8.2%30.7%13.5%29.5%2.6%-1.0%230.1K-11.6M-222.6K0.5444.35N/AN/A1,9241,04048,54444,116
2023-12-27$20.62$20.0030.8%8.8%23.6%17.3%30.0%2.9%-1.4%161.1K-9.5M-220.8K0.2238.96N/AN/A2,44853249,01644,560
2023-12-28$20.81$20.0029.5%8.4%23.6%14.9%30.3%2.8%-2.0%349.4K-13.0M-225.7K0.687.17N/AN/A1,6641,12850,60044,768
2023-12-29$20.78$20.0028.9%8.3%23.4%13.9%30.8%2.9%-1.3%358.6K-12.9M-227.7K0.9710.03N/AN/A1,2321,19251,24845,400