IBKR Options History — November 2007

In November 2007, IBKR traded between $6.83 and $7.35. ATM implied volatility averaged 37.7%, placing in the 39.0% IV rank vs the trailing year. The 30-day expected move averaged 10.9%. IV traded above realized volatility by 4.4% (HV 20d: 33.2%). Max pain ranged from $7.50 to $7.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.46.

Notable Days

  • 2007-11-01: Highest Volume — 38,824 contracts
  • 2007-11-20: Largest IV drop — 16.5% change
  • 2007-11-13: Highest IV Rank — 59.4%
  • 2007-11-19: Largest Expected Move — 12.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.04$6.83$7.35$6.96$7.35
Max Pain$7.50$7.50$7.50$7.50$7.50
ATM IV37.7%30.8%46.3%38.6%34.8%
Expected Move10.9%8.8%12.2%11.1%10.0%
HV 20d33.2%25.4%38.2%35.5%25.4%
HV 60d30.0%28.8%31.6%30.7%29.3%
IV Rank39.0%20.2%59.4%42.8%30.2%
IV Percentile58.3%13.7%89.8%77.0%32.9%
Term Structure-0.2%-3.9%7.8%4.7%-0.0%
VWIV38.6%30.9%42.7%38.9%34.8%
Skew 25d3.4%-6.0%13.3%-6.0%13.3%
Skew 10d8.2%-0.2%21.3%0.1%21.3%
Call IV 25d38.5%28.4%45.1%45.1%29.7%
Put IV 25d41.8%39.1%46.7%39.1%43.0%
Bid-Ask Spread %42.2615.2358.2930.1930.53
Gamma HHI0.770.660.890.740.86
Net GEX1.4M783.3K2.6M1.2M1.9M
Net DEX-14.2M-31.9M-3.9M-12.7M-26.3M
Net VEX-126.4K-174.6K-99.0K-142.0K-123.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.460.042.610.060.04
Total Volume5,500.38161238,82438,8245,492
Total OI186,824156,992219,700187,544170,240

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-11-01$6.96$7.5038.6%11.1%35.5%0.0%38.9%-6.0%4.7%1.2M-12.7M-142.0K0.0630.19N/AN/A36,6202,204126,00861,536
2007-11-02$7.25$7.5033.1%9.5%38.2%0.0%33.1%-1.4%7.8%2.6M-31.9M-174.6K0.3051.83N/AN/A3,5401,064157,60862,092
2007-11-05$7.23$7.5034.4%11.7%37.9%0.0%41.0%-0.3%-2.7%2.0M-28.8M-159.9K0.1949.03N/AN/A6,7681,308141,05662,136
2007-11-06$7.25$7.5034.3%11.5%37.9%0.0%41.2%0.4%-1.9%2.0M-28.2M-160.5K0.1649.35N/AN/A52884142,16461,788
2007-11-07$7.13$7.5036.9%11.5%37.0%0.0%41.1%-2.0%-1.4%1.9M-21.9M-150.7K0.4448.73N/AN/A1,448640142,28461,832
2007-11-08$6.99$7.5040.3%12.2%37.0%0.0%42.7%2.7%-3.9%1.5M-16.7M-146.8K0.1952.00N/AN/A4,288816141,96061,892
2007-11-09$6.89$7.5039.8%12.1%37.3%42.8%42.3%5.4%-3.6%1.3M-10.5M-135.6K2.6148.85N/AN/A1,2563,276143,03262,268
2007-11-12$6.94$7.5044.2%11.5%35.1%54.1%40.8%1.4%-1.2%1.4M-10.1M-129.6K0.7750.33N/AN/A2,5201,944142,66064,428
2007-11-13$7.00$7.5046.3%11.0%35.3%59.4%39.9%2.6%-2.2%1.5M-11.4M-128.7K0.1841.82N/AN/A3,416600143,44065,012
2007-11-14$6.98$7.5040.6%11.6%34.8%44.9%40.8%-0.9%-2.5%1.3M-8.4M-122.9K0.3755.75N/AN/A600224144,67664,920
2007-11-15$6.90$7.5038.9%11.1%34.6%40.6%39.2%2.6%-0.5%989.5K-4.5M-116.6K0.2533.31N/AN/A1,520376144,13264,944
2007-11-16$6.92$7.5038.9%11.1%33.1%40.5%40.4%1.2%-0.9%864.9K-6.6M-115.3K0.8537.96N/AN/A1,8401,572144,22863,512
2007-11-19$6.83$7.5042.6%12.2%32.9%50.1%38.4%3.4%-2.3%783.3K-3.9M-103.7K0.0958.29N/AN/A1,964168102,14454,848
2007-11-20$7.00$7.5035.6%10.2%31.9%32.3%38.5%7.4%2.4%968.8K-9.1M-108.8K1.7028.36N/AN/A440748102,49654,672
2007-11-21$7.00$7.5035.6%10.2%31.7%32.4%38.3%4.3%1.9%999.9K-9.5M-108.1K0.3458.27N/AN/A572196102,71654,596
2007-11-23$6.92$7.5037.4%10.7%29.7%36.9%39.0%6.0%-1.2%942.8K-7.8M-103.4K0.0518.93N/AN/A5,196284102,68054,576
2007-11-26$6.89$7.5038.9%11.2%28.6%40.7%40.5%3.8%-1.8%965.3K-6.3M-101.8K0.0828.45N/AN/A2,820232106,65254,760
2007-11-27$6.99$7.5035.9%10.3%27.2%33.0%35.4%5.3%-1.2%1.1M-7.8M-99.0K0.8843.38N/AN/A584512107,27654,864
2007-11-28$7.17$7.5033.3%9.6%28.4%26.5%33.8%8.4%1.5%1.5M-14.2M-103.6K0.0615.23N/AN/A14,148872107,08054,924
2007-11-29$7.29$7.5030.8%8.8%28.9%20.2%30.9%12.8%4.2%1.9M-21.3M-120.1K0.1456.94N/AN/A2,476352114,11255,060
2007-11-30$7.35$7.5034.8%10.0%25.4%30.2%34.8%13.3%-0.0%1.9M-26.3M-123.4K0.0430.53N/AN/A5,288204115,13655,104