IBKR Options History — June 2007

In June 2007, IBKR traded between $6.53 and $7.17. ATM implied volatility averaged 31.9%. The 30-day expected move averaged 9.3%. IV traded below realized volatility by 5.7% (HV 20d: 37.6%). Max pain ranged from $6.25 to $7.50. Net GEX was positive for 3 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.91.

Notable Days

  • 2007-06-08: Highest Volume — 20,288 contracts
  • 2007-06-11: Largest IV drop — 29.5% change
  • 2007-06-26: Largest Expected Move — 11.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.79$6.53$7.17$6.63$6.78
Max Pain$7.44$6.25$7.50$6.25$7.50
ATM IV31.9%24.4%38.6%29.6%32.4%
Expected Move9.3%8.0%11.1%8.5%9.3%
HV 20d37.6%28.0%40.4%40.1%28.0%
Term Structure1.9%-1.8%6.1%3.4%4.9%
VWIV31.6%28.0%35.6%29.4%30.5%
Skew 25d1.4%-8.6%5.8%-8.6%-0.5%
Skew 10d4.5%-5.9%27.9%27.9%-0.0%
Call IV 25d31.9%28.5%45.6%45.6%30.9%
Put IV 25d33.3%30.0%37.8%36.9%30.4%
Bid-Ask Spread %16.329.3843.0212.9620.65
Gamma HHI0.380.220.820.490.35
Net GEX-101.3K-566.1K865.1K-266.6K-199.4K
Net DEX4.4M-5.8M10.4M7.3M8.7M
Net VEX-73.3K-91.6K-36.5K-59.1K-85.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.910.093.700.350.16
Total Volume4,891.23841220,2884,4763,804
Total OI97,548.57177,956127,30092,50494,712

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-06-01$6.63$6.2529.6%8.5%0.0%0.0%29.4%-8.6%3.4%-266.6K7.3M-59.1K0.3512.96N/AN/A3,3241,15248,61243,892
2007-06-04$6.53$7.5025.9%8.6%0.0%0.0%29.9%-0.8%5.1%-566.1K5.9M-54.5K0.3519.43N/AN/A1,12039648,68444,488
2007-06-05$6.57$7.5025.1%8.5%40.1%0.0%30.0%0.4%6.1%-234.5K7.9M-56.0K0.8311.87N/AN/A90474849,28044,632
2007-06-06$6.74$7.5030.8%8.9%40.4%0.0%29.4%1.9%1.4%-361.1K2.6M-52.2K0.2615.95N/AN/A7,0921,82049,73244,876
2007-06-07$6.70$7.5030.5%8.8%39.2%0.0%30.0%0.2%4.1%-133.3K979.0K-56.0K1.4110.42N/AN/A2,0562,89253,58845,812
2007-06-08$6.93$7.5034.6%9.6%40.4%0.0%35.6%5.5%0.3%-37.1K-1.5M-62.6K1.3617.03N/AN/A8,60011,68853,95647,456
2007-06-11$7.06$7.5024.4%8.9%39.7%0.0%30.6%2.9%-1.8%41.9K-491.1K-36.5K1.739.38N/AN/A4,3007,45658,30054,576
2007-06-12$7.17$7.5028.8%8.0%39.1%0.0%28.0%2.0%2.2%865.1K-5.8M-79.6K1.0410.91N/AN/A1,6721,74459,30461,888
2007-06-13$6.98$7.5031.4%9.1%40.2%0.0%31.8%3.8%-0.5%208.5K-1.1M-77.1K0.3311.34N/AN/A4,9481,64058,82863,500
2007-06-14$6.87$7.5035.0%10.0%40.4%0.0%34.1%2.1%-1.3%-49.9K294.9K-80.8K0.399.60N/AN/A1,31251262,46464,836
2007-06-15$6.99$7.5029.8%8.6%39.0%0.0%30.4%3.3%1.2%-66.4K-556.5K-79.5K3.7013.99N/AN/A1,3885,13662,44464,372
2007-06-18$6.90$7.5030.2%8.7%38.1%0.0%30.3%1.5%1.7%-134.0K5.6M-84.6K0.1210.04N/AN/A3,30439633,97643,980
2007-06-19$6.83$7.5032.6%9.3%37.8%0.0%28.8%1.9%2.1%-107.5K6.1M-84.4K0.6016.56N/AN/A1,35681635,82044,324
2007-06-20$6.76$7.5033.6%9.6%37.5%0.0%33.1%0.8%1.7%-113.8K7.0M-84.7K0.4812.75N/AN/A44021236,47244,712
2007-06-21$6.71$7.5031.9%9.1%37.2%0.0%31.7%-0.5%4.1%-129.3K8.2M-81.3K0.8112.70N/AN/A22818436,78044,840
2007-06-22$6.60$7.5034.8%10.0%37.6%0.0%34.5%1.6%-0.1%-153.3K10.4M-75.6K1.5720.17N/AN/A2,8844,52436,78844,916
2007-06-25$6.53$7.5036.1%10.3%37.4%0.0%34.6%0.4%2.6%-184.4K9.7M-80.5K0.0943.02N/AN/A4,42038839,17648,284
2007-06-26$6.72$7.5038.6%11.1%38.8%0.0%35.3%5.8%-0.4%-135.0K6.3M-85.1K2.9217.12N/AN/A1,7485,11240,55248,484
2007-06-27$6.81$7.5035.5%10.2%31.9%0.0%33.6%1.8%2.3%-188.1K7.2M-91.6K0.3013.45N/AN/A43613241,30053,224
2007-06-28$6.80$7.5037.4%10.7%31.1%0.0%31.8%4.7%1.6%-182.4K7.7M-91.3K0.2433.42N/AN/A3488441,56853,092
2007-06-29$6.78$7.5032.4%9.3%28.0%0.0%30.5%-0.5%4.9%-199.4K8.7M-85.7K0.1620.65N/AN/A3,27253241,53653,176