IBKR Options History — December 2007

In December 2007, IBKR traded between $7.38 and $8.25. ATM implied volatility averaged 35.4%, placing in the 31.9% IV rank vs the trailing year. The 30-day expected move averaged 10.2%. IV traded above realized volatility by 9.4% (HV 20d: 26.1%). Max pain ranged from $7.50 to $7.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 0.49.

Notable Days

  • 2007-12-10: Highest Volume — 114,504 contracts
  • 2007-12-11: Largest IV spike — 26.8% change
  • 2007-12-20: Highest IV Rank — 49.7%
  • 2007-12-20: Largest Expected Move — 12.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.80$7.38$8.25$7.44$8.08
Max Pain$7.50$7.50$7.50$7.50$7.50
ATM IV35.4%29.5%42.5%33.3%37.5%
Expected Move10.2%8.4%12.2%9.5%10.7%
HV 20d26.1%20.7%30.7%21.3%30.3%
HV 60d30.1%29.1%31.8%29.3%30.3%
IV Rank31.9%16.8%49.7%26.5%37.1%
IV Percentile44.0%8.3%85.7%24.1%60.0%
Term Structure0.3%-4.3%4.4%-1.6%4.4%
VWIV35.2%29.5%42.1%33.3%38.3%
Skew 25d5.0%-8.4%12.2%-8.4%7.7%
Skew 10d11.9%-13.4%21.4%-13.4%17.6%
Call IV 25d32.6%22.6%38.3%38.3%37.7%
Put IV 25d37.6%29.6%45.3%29.9%45.3%
Bid-Ask Spread %35.077.5651.0142.8543.50
Gamma HHI0.680.520.920.900.62
Net GEX2.6M1.6M4.5M2.2M1.8M
Net DEX-60.0M-105.2M-27.2M-33.1M-52.6M
Net VEX-191.0K-243.5K-111.1K-119.9K-219.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.490.023.420.121.09
Total Volume13,084.61,132114,5046,4444,196
Total OI216,466.4168,364291,124170,096174,108

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-12-03$7.44$7.5033.3%9.5%21.3%26.5%33.3%-8.4%-1.6%2.2M-33.1M-119.9K0.1242.85N/AN/A5,760684115,01655,080
2007-12-04$7.38$7.5031.9%9.1%21.5%22.9%32.1%12.2%0.8%2.2M-27.2M-117.4K0.229.24N/AN/A1,264276116,95255,532
2007-12-05$7.50$7.5030.4%8.7%22.2%19.1%30.3%2.8%-0.5%2.5M-35.9M-117.5K3.4228.16N/AN/A1,0283,512117,28055,516
2007-12-06$7.70$7.5029.5%8.4%22.7%16.8%29.5%6.7%2.2%2.4M-48.3M-113.8K0.547.56N/AN/A13,1887,156117,02057,816
2007-12-07$7.76$7.5029.8%9.2%21.1%17.7%32.1%6.9%0.2%2.4M-54.5M-126.0K0.0636.25N/AN/A5,168332124,15662,972
2007-12-10$7.95$7.5031.8%9.3%20.7%22.8%32.6%8.7%3.4%1.9M-67.8M-111.1K0.0351.01N/AN/A111,4483,056126,46063,068
2007-12-11$7.74$7.5040.4%10.6%23.9%44.4%36.6%11.0%-0.5%4.4M-88.0M-243.5K0.6046.06N/AN/A9,4965,728225,82865,296
2007-12-12$7.72$7.5034.2%10.3%24.1%28.8%37.3%6.2%-1.1%3.2M-65.8M-226.4K0.2541.31N/AN/A6,9201,700189,78465,444
2007-12-13$7.54$7.5037.4%10.7%25.9%36.8%37.4%5.9%-2.3%3.3M-52.1M-225.5K0.0943.47N/AN/A7,288632191,69266,280
2007-12-14$7.66$7.5038.3%11.0%25.6%39.1%37.4%4.2%-1.7%3.5M-64.8M-224.0K0.1737.76N/AN/A2,576448194,42466,484
2007-12-17$7.50$7.5038.8%11.1%27.1%40.3%38.9%1.7%-4.3%4.0M-48.5M-212.4K0.0645.48N/AN/A5,420304194,53266,404
2007-12-18$7.47$7.5034.4%9.8%26.6%29.1%34.4%1.2%0.9%4.5M-47.1M-212.1K0.0240.28N/AN/A9,096160198,14866,388
2007-12-19$7.73$7.5034.4%9.9%27.7%29.2%34.6%3.4%1.6%2.9M-87.3M-209.7K0.2038.13N/AN/A4,192840204,98066,408
2007-12-20$8.07$7.5042.5%12.2%30.7%49.7%42.1%5.8%-4.2%1.9M-102.7M-214.2K1.1220.49N/AN/A9,70010,900202,68066,416
2007-12-21$8.16$7.5036.5%10.5%29.8%34.6%36.7%2.7%-0.7%1.7M-105.2M-226.5K0.4830.36N/AN/A10,4004,956204,50873,968
2007-12-24$8.14$7.5035.6%10.2%29.8%32.4%30.1%2.7%1.1%1.7M-55.6M-227.2K0.3032.82N/AN/A868264135,14033,224
2007-12-26$8.25$7.5034.9%10.0%29.8%30.5%31.3%4.0%3.1%1.7M-57.3M-222.0K0.2626.01N/AN/A904232135,10033,316
2007-12-27$8.11$7.5038.1%10.9%30.4%38.7%40.3%7.0%4.2%1.6M-54.0M-226.2K0.4042.28N/AN/A7,1202,860135,48433,396
2007-12-28$8.10$7.5039.1%11.2%30.2%41.1%39.7%7.1%0.5%1.7M-52.9M-224.7K0.4338.40N/AN/A1,132488139,10833,920
2007-12-31$8.08$7.5037.5%10.7%30.3%37.1%38.3%7.7%4.4%1.8M-52.6M-219.7K1.0943.50N/AN/A2,0082,188139,89634,212