IBKR Options History — September 2024

In September 2024, IBKR traded between $30.51 and $34.66. ATM implied volatility averaged 30.5%, placing in the 45.9% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded above realized volatility by 9.9% (HV 20d: 20.6%). Max pain ranged from $30.00 to $32.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 0.95.

Notable Days

  • 2024-09-13: Highest Volume — 46,460 contracts
  • 2024-09-09: Largest IV drop — 9.8% change
  • 2024-09-17: Highest IV Rank — 61.7%
  • 2024-09-17: Largest Expected Move — 9.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.46$30.51$34.66$31.80$34.66
Max Pain$31.44$30.00$32.50$30.00$32.50
ATM IV30.5%27.3%33.8%28.2%33.1%
Expected Move8.8%8.1%9.7%8.1%9.5%
HV 20d20.6%15.0%23.4%15.2%22.6%
HV 60d26.1%25.1%27.2%25.2%25.8%
IV Rank45.9%30.6%61.7%35.1%58.6%
IV Percentile76.8%52.4%93.3%61.9%89.7%
Term Structure-1.4%-3.3%1.1%0.7%-3.3%
VWIV31.5%28.0%36.2%28.0%33.8%
Skew 25d2.5%0.9%4.4%3.3%2.7%
Skew 10d6.0%-0.6%9.5%6.4%5.9%
Call IV 25d30.0%25.8%33.7%25.8%32.8%
Put IV 25d32.5%29.1%35.5%29.1%35.5%
Bid-Ask Spread %52.1937.0863.0451.4253.05
Gamma HHI0.190.130.370.200.14
Net GEX2.1M608.0K5.1M2.3M1.9M
Net DEX-65.2M-97.1M-34.8M-58.5M-79.8M
Net VEX-320.6K-346.5K-293.4K-318.7K-330.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.950.093.791.460.71
Total Volume6,97388046,4604,1643,468
Total OI111,950.278,520144,956113,77284,552

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-09-03$31.80$30.0028.2%8.1%15.2%35.1%28.0%3.3%0.7%2.3M-58.5M-318.7K1.4651.42N/AN/A1,6922,47264,66049,112
2024-09-04$31.44$30.0028.9%8.3%15.4%38.3%28.9%3.4%1.1%1.7M-50.6M-317.9K1.8051.66N/AN/A6601,18865,05649,784
2024-09-05$31.50$31.2528.2%8.6%15.0%35.3%29.6%3.9%-1.0%1.8M-52.8M-312.6K0.7255.13N/AN/A51236865,12849,820
2024-09-06$30.60$31.2530.2%9.0%18.2%44.7%36.2%3.9%-1.0%707.1K-35.8M-324.4K3.7959.73N/AN/A7842,97265,28450,028
2024-09-09$30.95$31.2527.3%8.3%18.3%30.6%29.2%4.4%-0.2%1.0M-42.3M-304.8K1.2658.51N/AN/A9321,17265,30051,776
2024-09-10$30.51$31.2529.8%8.8%19.0%42.8%31.1%3.7%-0.9%608.0K-34.8M-305.6K2.1144.43N/AN/A6561,38465,48452,292
2024-09-11$30.68$31.2529.3%8.4%19.1%40.3%30.4%3.5%-0.9%718.7K-38.4M-298.4K1.1159.57N/AN/A69677265,69252,468
2024-09-12$30.93$31.2529.0%8.3%19.2%39.0%30.3%4.0%-0.6%875.0K-42.5M-293.4K1.4961.14N/AN/A54480865,68852,796
2024-09-13$31.99$31.2531.7%9.1%21.6%51.6%31.9%1.4%-2.7%2.1M-60.5M-296.5K0.0963.04N/AN/A42,7323,72865,80453,060
2024-09-16$32.09$31.2532.2%9.2%21.6%54.1%32.9%1.7%-3.2%4.2M-75.6M-330.1K0.2754.69N/AN/A10,0282,70479,48855,068
2024-09-17$32.94$31.2533.8%9.7%23.1%61.7%34.4%1.7%-3.2%5.1M-95.6M-320.0K0.2051.07N/AN/A10,7122,12478,31255,688
2024-09-18$32.63$31.2532.6%9.4%23.4%56.2%32.7%2.2%-3.0%3.9M-84.4M-335.4K0.2057.51N/AN/A9,3641,84883,42456,528
2024-09-19$33.07$31.2531.0%8.9%23.3%48.6%31.2%1.7%0.2%4.5M-97.1M-337.9K0.2548.53N/AN/A8,4762,15288,21256,744
2024-09-20$33.17$31.2529.9%8.6%23.1%43.3%31.1%1.5%-1.3%1.7M-94.5M-317.4K0.8546.33N/AN/A2,1401,81685,95658,156
2024-09-23$33.66$31.2530.4%8.7%22.8%45.6%31.0%0.9%-2.1%1.9M-67.1M-330.3K0.5237.08N/AN/A3,2361,67240,02438,496
2024-09-24$34.09$32.5030.0%8.6%22.8%43.8%30.8%1.6%-1.4%1.9M-72.5M-331.1K0.4746.53N/AN/A2,6921,26041,28039,536
2024-09-25$34.00$32.5030.8%8.8%22.6%47.3%31.7%1.6%-1.8%1.9M-72.3M-321.6K0.5445.31N/AN/A3,0281,62041,50840,100
2024-09-26$34.17$32.5030.8%8.8%22.6%47.7%32.4%1.1%-1.8%1.9M-72.6M-339.7K0.9852.71N/AN/A2,2962,26041,82440,840
2024-09-27$34.31$32.5032.1%9.2%22.6%53.7%33.0%1.6%-1.7%1.9M-75.3M-346.5K0.2846.35N/AN/A1,94454842,60441,432
2024-09-30$34.66$32.5033.1%9.5%22.6%58.6%33.8%2.7%-3.3%1.9M-79.8M-330.6K0.7153.05N/AN/A2,0321,43643,02841,524