IBKR Options History — October 2007

In October 2007, IBKR traded between $6.83 and $7.74. ATM implied volatility averaged 43.4%. The 30-day expected move averaged 12.6%. IV traded above realized volatility by 13.6% (HV 20d: 29.7%). Max pain ranged from $6.25 to $7.50. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 5 of 23 days. Put/call ratio averaged 0.34.

Notable Days

  • 2007-10-15: Highest Volume — 34,224 contracts
  • 2007-10-04: Largest IV spike — 64.5% change
  • 2007-10-15: Largest Expected Move — 17.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.15$6.83$7.74$6.89$7.22
Max Pain$6.58$6.25$7.50$6.25$7.50
ATM IV43.4%22.8%60.6%25.8%36.6%
Expected Move12.6%6.5%17.4%7.4%10.5%
HV 20d29.7%26.5%33.2%28.7%32.7%
HV 60d33.3%29.9%36.0%36.0%29.9%
Term Structure-2.3%-8.3%11.3%-2.8%0.6%
VWIV44.5%25.8%61.0%32.6%36.6%
Skew 25d2.5%-3.3%10.1%2.7%-3.3%
Skew 10d8.4%-4.2%15.0%10.0%-4.2%
Call IV 25d41.8%34.2%54.2%34.2%41.6%
Put IV 25d44.3%36.4%54.7%37.0%38.3%
Bid-Ask Spread %35.2718.6960.1023.8626.86
Gamma HHI0.670.440.850.440.80
Net GEX852.6K118.6K2.0M118.6K1.6M
Net DEX-24.3M-50.9M-8.7M-8.9M-23.4M
Net VEX-107.3K-145.3K-68.9K-71.2K-145.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.340.012.120.671.22
Total Volume12,341.7391,40034,2241,4009,572
Total OI124,328.34882,240182,44482,268182,444

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-10-01$6.89$6.2525.8%7.4%28.7%0.0%32.6%2.7%-2.8%118.6K-8.9M-71.2K0.6723.86N/AN/A84056042,94439,324
2007-10-02$6.88$6.2533.4%9.6%28.6%0.0%38.1%1.8%5.1%122.7K-8.7M-71.5K0.6630.86N/AN/A1,8721,23643,23639,004
2007-10-03$6.84$6.2522.8%6.5%27.7%0.0%25.8%3.2%11.3%136.1K-8.8M-70.8K0.0152.34N/AN/A1,6482044,62439,172
2007-10-04$6.83$6.2537.6%10.8%27.5%0.0%39.7%3.5%0.4%125.7K-8.9M-68.9K0.3026.52N/AN/A1,14834044,65639,176
2007-10-05$6.90$7.5031.6%10.6%27.3%0.0%42.0%3.0%-2.0%188.3K-10.0M-69.8K0.0755.56N/AN/A4,23628045,21239,452
2007-10-08$6.83$6.2535.2%11.9%27.0%0.0%35.5%1.5%-6.6%175.0K-9.5M-69.6K0.0260.10N/AN/A5,99212447,76839,636
2007-10-09$6.86$6.2534.7%11.8%26.5%0.0%34.0%2.9%-3.5%248.6K-10.8M-70.8K0.2255.78N/AN/A2,29651651,25239,676
2007-10-10$7.08$6.2545.5%11.5%27.2%0.0%40.1%1.0%-0.4%335.1K-15.2M-73.4K0.0350.09N/AN/A20,29252851,42839,448
2007-10-11$6.95$6.2542.4%12.2%28.4%0.0%42.4%-1.6%-2.5%422.0K-15.9M-83.2K0.0550.87N/AN/A7,37635261,38839,556
2007-10-12$6.98$6.2543.0%12.3%28.4%0.0%42.7%0.3%-3.6%518.1K-17.5M-85.1K0.2437.42N/AN/A1,48034865,56039,852
2007-10-15$7.22$6.2560.6%17.4%30.4%0.0%61.0%0.4%-6.2%520.5K-22.4M-94.3K0.1230.05N/AN/A30,5363,68866,76839,956
2007-10-16$7.19$6.2557.5%16.5%28.9%0.0%57.0%0.5%-4.8%837.7K-28.4M-114.7K0.1224.03N/AN/A22,5162,64885,95241,984
2007-10-17$7.29$6.2550.8%14.6%28.9%0.0%51.0%10.1%-3.1%1.2M-32.4M-127.3K0.0434.00N/AN/A19,03672898,26842,724
2007-10-18$7.38$6.2553.4%15.3%29.0%0.0%53.5%8.0%-5.0%1.3M-36.3M-132.6K0.0821.42N/AN/A10,600816104,31243,080
2007-10-19$7.15$6.2555.4%15.9%31.3%0.0%55.6%3.7%-2.8%946.0K-31.7M-136.2K0.1121.34N/AN/A5,912652109,85643,128
2007-10-22$7.24$6.2560.4%17.3%30.8%0.0%59.9%5.1%-8.0%1.1M-32.3M-135.0K0.1520.42N/AN/A6,696988105,26834,996
2007-10-23$7.48$6.2554.8%15.7%31.9%0.0%57.9%6.4%-6.2%1.2M-40.9M-139.4K0.3144.23N/AN/A18,3965,756109,53235,416
2007-10-24$7.53$6.2550.1%14.4%31.9%0.0%50.9%3.4%-4.3%1.5M-44.4M-144.3K0.5118.69N/AN/A8,0804,088118,61637,108
2007-10-25$7.74$7.5053.8%15.4%32.3%0.0%53.7%2.0%-8.3%1.5M-50.9M-142.1K0.1037.99N/AN/A20,1642,032118,10438,836
2007-10-26$7.53$7.5039.0%11.2%33.2%0.0%40.0%0.2%-0.6%1.9M-45.0M-143.9K0.3032.42N/AN/A19,8045,924124,25639,420
2007-10-29$7.29$7.5034.1%9.8%32.0%0.0%34.2%1.7%2.1%2.0M-32.6M-133.0K2.1223.56N/AN/A7,84416,644123,56442,916
2007-10-30$7.17$7.5038.9%11.1%32.7%0.0%39.4%1.3%-1.8%1.5M-24.0M-145.0K0.4032.90N/AN/A6,6242,632124,63256,052
2007-10-31$7.22$7.5036.6%10.5%32.7%0.0%36.6%-3.3%0.6%1.6M-23.4M-145.3K1.2226.86N/AN/A4,3205,252125,04857,396