IBKR Options History — July 2007

In July 2007, IBKR traded between $5.45 and $6.82. ATM implied volatility averaged 36.4%. The 30-day expected move averaged 10.7%. IV traded below realized volatility by 1.0% (HV 20d: 37.4%). Max pain ranged from $5.63 to $7.50. Net GEX was positive for 4 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.64.

Notable Days

  • 2007-07-30: Highest Volume — 11,940 contracts
  • 2007-07-06: Largest IV spike — 30.2% change
  • 2007-07-26: Largest Expected Move — 13.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.99$5.45$6.82$6.82$6.07
Max Pain$6.34$5.63$7.50$7.50$5.63
ATM IV36.4%25.1%48.1%34.1%40.0%
Expected Move10.7%7.2%13.8%9.8%11.5%
HV 20d37.4%25.7%51.0%27.2%51.0%
HV 60d37.6%36.2%40.9%37.1%40.6%
Term Structure1.9%-3.7%22.8%5.4%0.2%
VWIV36.6%24.3%50.2%29.6%37.3%
Skew 25d0.9%-10.6%8.2%2.8%-10.6%
Skew 10d1.0%-20.1%15.3%4.2%-20.1%
Call IV 25d35.8%28.7%50.9%30.2%46.7%
Put IV 25d36.7%23.3%55.4%33.0%36.1%
Bid-Ask Spread %16.188.2236.3311.4118.35
Gamma HHI0.330.250.410.320.37
Net GEX-36.4K-179.5K223.2K-179.5K164.8K
Net DEX12.0M1.9M17.7M7.9M4.0M
Net VEX-66.9K-88.4K-47.7K-85.8K-74.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.640.012.370.010.18
Total Volume5,185.52485611,9405,5806,692
Total OI104,935.23893,428118,09296,440102,396

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-07-02$6.82$7.5034.1%9.8%27.2%0.0%29.6%2.8%5.4%-179.5K7.9M-85.8K0.0111.41N/AN/A5,5404042,99653,444
2007-07-03$6.81$7.5028.3%8.1%27.2%0.0%26.1%5.2%17.0%-107.0K7.5M-88.0K0.0311.53N/AN/A3,84011247,28853,440
2007-07-05$6.78$7.5025.1%7.2%25.7%0.0%24.3%3.1%22.8%-82.8K8.0M-88.4K0.0316.89N/AN/A4,64014849,68453,484
2007-07-06$6.24$6.2532.7%10.7%39.0%0.0%36.9%8.2%-1.4%-169.5K15.2M-71.8K0.7013.15N/AN/A5,3163,70051,91253,512
2007-07-09$6.09$6.2532.3%10.3%37.0%0.0%35.8%-8.9%1.2%-159.5K14.4M-70.1K0.6611.83N/AN/A5,1483,38855,10451,492
2007-07-10$5.87$6.2535.0%10.5%37.2%0.0%36.2%1.6%1.3%-117.1K17.7M-61.2K0.299.71N/AN/A3,7401,09656,38853,628
2007-07-11$5.93$6.2528.8%10.5%36.7%0.0%35.3%2.3%-1.5%-90.0K14.8M-62.4K0.3012.02N/AN/A2,22866058,65649,604
2007-07-12$6.06$6.2537.0%10.6%37.6%0.0%36.9%-6.3%-1.1%-97.4K12.1M-69.9K0.0913.71N/AN/A4,23236859,54449,912
2007-07-13$6.00$6.2536.3%10.4%37.5%0.0%32.4%6.6%0.8%-63.9K13.2M-68.8K0.0511.39N/AN/A1,2405661,29250,040
2007-07-16$5.88$6.2538.9%11.1%36.5%0.0%38.9%-1.2%-1.1%-35.8K14.4M-64.4K0.498.22N/AN/A58428861,82450,080
2007-07-17$5.85$6.2537.3%10.7%36.5%0.0%37.3%0.9%0.6%-23.8K14.8M-63.2K0.989.06N/AN/A43242462,13250,004
2007-07-18$5.75$6.2539.0%11.2%36.7%0.0%37.4%1.3%-1.4%-6.2K16.2M-57.7K1.2311.97N/AN/A2,7203,33262,34850,032
2007-07-19$5.70$6.2536.9%10.6%36.7%0.0%35.8%2.9%0.4%-6.9K16.5M-59.5K1.6926.09N/AN/A1,7562,97264,26052,256
2007-07-20$5.78$6.2536.7%10.5%37.5%0.0%36.6%-4.9%0.8%-38615.4M-62.9K2.3736.33N/AN/A1,5683,72065,44452,648
2007-07-23$5.77$6.2538.1%10.9%37.4%0.0%38.2%1.7%-0.9%-30913.2M-59.9K1.7324.36N/AN/A1,4042,42449,44046,428
2007-07-24$5.50$6.2536.3%10.4%40.1%0.0%37.2%-0.4%2.0%-66.2K13.0M-50.7K0.8114.86N/AN/A2,0921,69649,96443,604
2007-07-25$5.45$6.2539.9%11.4%37.7%0.0%43.3%2.3%-1.1%-48.5K12.3M-47.7K0.5518.78N/AN/A3,7202,03251,44441,984
2007-07-26$5.50$6.2548.1%13.8%37.3%0.0%50.2%4.5%-3.7%12.2K10.6M-57.6K0.229.92N/AN/A4,6761,04854,75642,948
2007-07-27$5.73$5.6344.5%12.8%41.7%0.0%44.0%3.6%-1.7%90.9K7.8M-65.2K0.6335.95N/AN/A4,8403,04455,98842,908
2007-07-30$6.17$5.6338.9%11.1%51.0%0.0%39.5%4.0%2.0%223.2K1.9M-76.0K0.5114.22N/AN/A7,8924,04855,87243,460
2007-07-31$6.07$5.6340.0%11.5%51.0%0.0%37.3%-10.6%0.2%164.8K4.0M-74.6K0.1818.35N/AN/A5,6601,03256,64045,756