IBKR Options History — January 2008 In January 2008, IBKR traded between $7.63 and $8.70. ATM implied volatility averaged 40.7%, placing in the 45.2% IV rank vs the trailing year. The 30-day expected move averaged 11.8%. IV traded above realized volatility by 7.3% (HV 20d: 33.4%). 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 7 of 21 days. Put/call ratio averaged 0.39.
Notable Days 2008-01-31 : Highest Volume — 37,192 contracts2008-01-24 : Largest IV drop — 22.0% change2008-01-23 : Highest IV Rank — 93.4%2008-01-23 : Largest Expected Move — 17.1%Monthly Statistics Metric Avg Min Max Open Close Price $8.08 $7.63 $8.70 $7.98 $8.70 Max Pain $7.50 $7.50 $7.50 $7.50 $7.50 ATM IV 40.7% 29.1% 59.7% 42.9% 34.6% Expected Move 11.8% 8.3% 17.1% 12.3% 9.9% HV 20d 33.4% 28.4% 43.5% 30.8% 43.5% HV 60d 31.1% 29.6% 34.0% 30.4% 32.7% IV Rank 45.2% 15.8% 93.4% 50.7% 29.8% IV Percentile 67.0% 6.7% 98.3% 87.0% 30.9% Term Structure -2.3% -11.5% 4.6% 0.8% 3.6% VWIV 41.7% 28.4% 58.3% 42.5% 34.2% Skew 25d 6.5% 2.4% 15.7% 3.8% 5.0% Skew 10d 14.3% 4.0% 29.8% 11.9% 9.2% Call IV 25d 36.2% 32.1% 40.1% 38.9% 36.3% Put IV 25d 42.7% 36.5% 55.1% 42.7% 41.3% Bid-Ask Spread % 37.82 20.79 64.84 29.03 27.53 Gamma HHI 0.61 0.54 0.72 0.61 0.72 Net GEX 2.2M 1.6M 3.1M 1.7M 2.8M Net DEX -58.1M -88.4M -37.5M -47.2M -88.4M Net VEX -219.5K -235.2K -205.2K -212.7K -227.7K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.39 0.07 1.22 0.79 0.32 Total Volume 10,609.905 1,180 37,192 10,264 37,192 Total OI 200,104 175,548 215,488 175,548 213,820
Daily Data (21 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2008-01-02 $7.98 $7.50 42.9% 12.3% 30.8% 50.7% 42.5% 3.8% 0.8% 1.7M -47.2M -212.7K 0.79 29.03 N/A N/A 5,748 4,516 139,780 35,768 2008-01-03 $7.90 $7.50 38.6% 11.1% 30.9% 39.9% 38.3% 3.2% 4.6% 1.6M -45.3M -218.7K 1.22 20.79 N/A N/A 532 648 141,868 38,220 2008-01-04 $7.75 $7.50 37.3% 11.7% 31.5% 36.5% 40.7% 5.4% -4.4% 1.6M -37.5M -205.9K 0.21 25.75 N/A N/A 9,596 1,988 141,548 38,380 2008-01-07 $7.84 $7.50 42.2% 11.5% 30.4% 49.0% 40.0% 5.7% -1.8% 1.8M -43.1M -217.0K 0.41 57.41 N/A N/A 3,776 1,552 148,996 39,528 2008-01-08 $7.83 $7.50 39.0% 11.3% 30.3% 40.9% 40.1% 6.1% -3.5% 1.9M -41.8M -210.3K 0.07 30.79 N/A N/A 4,624 336 150,428 40,472 2008-01-09 $7.95 $7.50 45.2% 14.1% 29.5% 56.6% 47.1% 9.8% -7.7% 2.0M -48.2M -220.2K 0.11 47.71 N/A N/A 18,556 2,080 153,800 40,532 2008-01-10 $8.15 $7.50 38.8% 11.1% 29.0% 40.5% 43.8% 7.2% -5.4% 2.4M -66.6M -235.2K 0.42 43.53 N/A N/A 5,028 2,116 166,548 41,608 2008-01-11 $8.19 $7.50 39.1% 11.2% 29.0% 41.3% 40.5% 6.1% -4.0% 2.3M -65.9M -233.0K 0.20 29.03 N/A N/A 3,168 628 163,376 43,104 2008-01-14 $8.47 $7.50 40.9% 11.7% 29.1% 45.9% 42.1% 8.5% -2.9% 2.5M -79.1M -228.8K 0.68 37.94 N/A N/A 5,360 3,620 164,836 43,260 2008-01-15 $8.22 $7.50 39.3% 11.3% 31.4% 41.6% 40.9% 5.3% -2.8% 2.3M -70.7M -229.6K 0.46 44.71 N/A N/A 5,764 2,636 166,396 45,568 2008-01-16 $8.13 $7.50 38.2% 10.9% 30.6% 38.8% 39.0% 6.7% -2.4% 2.2M -68.0M -228.6K 0.50 64.84 N/A N/A 1,032 516 168,648 46,568 2008-01-17 $7.86 $7.50 42.0% 12.1% 33.4% 48.6% 39.7% 2.4% -1.9% 2.1M -54.7M -220.6K 0.29 64.84 N/A N/A 4,252 1,232 168,388 45,900 2008-01-18 $7.83 $7.50 46.4% 13.3% 31.2% 59.5% 46.3% 8.4% -1.5% 1.9M -51.4M -217.2K 0.46 44.85 N/A N/A 6,212 2,856 169,212 46,276 2008-01-22 $7.63 $7.50 55.0% 15.8% 28.4% 81.5% 53.9% 8.3% -11.5% 1.8M -38.9M -205.2K 0.41 29.27 N/A N/A 5,448 2,236 152,156 35,016 2008-01-23 $7.97 $7.50 59.7% 17.1% 32.5% 93.4% 58.3% 15.7% -9.7% 1.9M -51.5M -219.6K 0.15 39.25 N/A N/A 13,972 2,040 152,988 36,112 2008-01-24 $8.21 $7.50 46.6% 13.4% 34.3% 60.2% 53.3% 7.5% -4.9% 2.2M -64.8M -227.3K 0.75 33.38 N/A N/A 10,176 7,644 158,680 37,412 2008-01-25 $7.86 $7.50 37.6% 10.8% 37.3% 37.5% 36.1% 5.6% 1.3% 2.3M -46.1M -210.7K 0.20 42.07 N/A N/A 7,260 1,484 162,072 41,856 2008-01-28 $8.34 $7.50 32.2% 9.2% 42.6% 23.8% 37.6% 5.6% 0.8% 2.8M -67.3M -211.7K 0.23 23.95 N/A N/A 8,512 1,924 162,632 42,324 2008-01-29 $8.34 $7.50 30.1% 8.6% 42.6% 18.3% 28.4% 5.3% 2.2% 2.9M -69.3M -215.2K 0.17 25.03 N/A N/A 13,276 2,200 165,220 42,956 2008-01-30 $8.44 $7.50 29.1% 8.3% 42.7% 15.8% 33.3% 4.4% 3.5% 3.1M -74.9M -214.6K 0.11 32.50 N/A N/A 9,932 1,140 167,292 42,640 2008-01-31 $8.70 $7.50 34.6% 9.9% 43.5% 29.8% 34.2% 5.0% 3.6% 2.8M -88.4M -227.7K 0.32 27.53 N/A N/A 28,236 8,956 169,800 44,020
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