IBKR Options History — August 2007

In August 2007, IBKR traded between $5.79 and $6.70. ATM implied volatility averaged 39.6%. The 30-day expected move averaged 11.1%. IV traded below realized volatility by 4.1% (HV 20d: 43.7%). Max pain ranged from $5.63 to $7.50. Net GEX was positive for 21 of 23 trading days. Term structure was in contango for 20 of 23 days. Put/call ratio averaged 0.61.

Notable Days

  • 2007-08-16: Highest Volume — 8,556 contracts
  • 2007-08-15: Largest IV spike — 46.9% change
  • 2007-08-10: Largest Expected Move — 12.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.30$5.79$6.70$6.03$6.69
Max Pain$6.88$5.63$7.50$5.63$6.25
ATM IV39.6%33.2%62.3%38.5%34.3%
Expected Move11.1%9.5%12.8%11.0%9.8%
HV 20d43.7%31.8%51.7%51.0%31.8%
HV 60d40.4%39.2%42.2%40.3%39.2%
Term Structure2.0%-1.1%5.4%1.6%4.0%
VWIV38.9%33.7%45.9%39.0%34.7%
Skew 25d2.0%-2.6%5.9%4.2%-1.7%
Skew 10d7.0%-12.1%15.4%5.6%4.8%
Call IV 25d38.9%33.1%45.2%36.2%35.6%
Put IV 25d40.9%32.6%49.5%40.4%33.9%
Bid-Ask Spread %31.6913.5569.1821.4444.87
Gamma HHI0.420.300.630.360.52
Net GEX193.3K-66.2K802.8K162.3K145.9K
Net DEX360.4K-5.5M6.8M4.6M-5.5M
Net VEX-81.2K-88.0K-75.0K-75.5K-77.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.610.033.240.931.49
Total Volume4,699.3041,1568,5568,4724,720
Total OI111,240.696100,528124,108104,060106,680

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-08-01$6.03$5.6338.5%11.0%51.0%0.0%39.0%4.2%1.6%162.3K4.6M-75.5K0.9321.44N/AN/A4,3924,08058,22045,840
2007-08-02$6.13$5.6336.4%10.4%51.7%0.0%36.7%2.8%4.6%217.4K2.5M-80.1K0.3413.55N/AN/A4,8121,64060,52848,452
2007-08-03$5.88$5.6338.0%10.9%45.5%0.0%37.0%0.9%3.8%147.2K5.7M-77.2K0.0822.04N/AN/A2,98425263,32048,640
2007-08-06$5.79$7.5043.1%12.2%44.9%0.0%42.4%3.0%1.4%100.3K6.5M-76.0K0.3918.28N/AN/A4,1041,62065,20448,732
2007-08-07$6.00$7.5043.0%11.7%45.0%0.0%41.0%1.5%1.5%204.7K3.2M-80.3K0.2633.96N/AN/A2,97278466,54449,664
2007-08-08$6.14$7.5039.6%11.6%45.6%0.0%40.7%-1.5%-0.8%279.3K1.2M-81.9K0.3669.18N/AN/A3,8961,40466,72849,816
2007-08-09$6.27$7.5049.8%12.8%45.5%0.0%45.9%4.5%-1.1%261.2K-1.9M-87.9K0.1850.64N/AN/A3,99273266,72850,292
2007-08-10$6.28$7.5042.0%12.8%45.2%0.0%43.9%5.2%1.3%319.2K-1.9M-88.0K0.6016.54N/AN/A3,9282,37666,70050,160
2007-08-13$6.31$7.5040.8%12.8%44.6%0.0%44.6%2.4%1.7%400.9K-2.7M-87.1K0.4731.68N/AN/A2,5201,17266,11251,100
2007-08-14$6.21$7.5042.4%11.8%45.0%0.0%41.0%4.0%1.5%396.5K-597.1K-81.6K3.2423.36N/AN/A1,2203,94865,74051,300
2007-08-15$6.01$7.5062.3%11.4%46.2%0.0%40.8%5.1%2.9%138.6K5.9M-75.6K0.5133.54N/AN/A3,7681,92065,62454,256
2007-08-16$5.98$7.5042.9%12.3%46.1%0.0%43.6%4.9%-0.6%121.7K6.7M-78.6K0.6250.66N/AN/A5,2723,28465,80455,536
2007-08-17$6.17$7.5038.0%10.9%47.2%0.0%38.6%2.5%3.5%802.8K4.3M-81.1K0.4822.54N/AN/A4,2042,00467,57656,532
2007-08-20$6.19$7.5035.1%10.1%47.1%0.0%37.1%5.9%1.7%-66.2K6.8M-75.0K1.1616.84N/AN/A1,7161,98450,30850,220
2007-08-21$6.33$7.5035.0%10.0%43.5%0.0%35.2%4.4%2.0%-38.6K4.1M-80.4K0.8123.47N/AN/A4,2083,40051,10050,536
2007-08-22$6.65$7.5038.3%11.0%45.4%0.0%38.1%4.8%1.7%64.5K-2.9M-87.9K0.1538.16N/AN/A6,53695653,28849,480
2007-08-23$6.63$6.2535.4%10.1%45.6%0.0%34.7%2.3%2.4%118.7K-4.1M-84.5K0.5635.40N/AN/A1,8961,06055,85249,760
2007-08-24$6.69$6.2533.6%9.6%43.9%0.0%33.7%-1.4%1.4%130.0K-5.0M-84.9K0.0617.72N/AN/A1,67210856,26449,952
2007-08-27$6.63$6.2535.6%10.2%36.6%0.0%34.3%-0.9%1.5%136.2K-4.7M-82.4K0.4434.98N/AN/A93240857,31650,000
2007-08-28$6.57$6.2536.2%10.4%36.2%0.0%40.2%-2.6%2.4%114.0K-3.3M-82.2K0.2746.06N/AN/A91224457,36450,316
2007-08-29$6.70$6.2537.2%10.7%36.4%0.0%37.6%-1.8%2.1%143.6K-5.3M-82.0K0.7020.54N/AN/A86060457,28850,352
2007-08-30$6.65$6.2533.2%9.5%36.3%0.0%34.0%-2.5%5.4%145.0K-5.4M-79.4K0.0343.42N/AN/A2,5127657,15650,156
2007-08-31$6.69$6.2534.3%9.8%31.8%0.0%34.7%-1.7%4.0%145.9K-5.5M-77.8K1.4944.87N/AN/A1,8962,82456,55250,128