IBKR Options History — February 2008

In February 2008, IBKR traded between $7.77 and $8.87. ATM implied volatility averaged 34.0%, placing in the 28.2% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded below realized volatility by 8.7% (HV 20d: 42.7%). 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 20 of 20 days. Put/call ratio averaged 0.38.

Notable Days

2008-02-11: Highest Volume — 12,344 contracts
2008-02-29: Largest IV spike — 32.6% change
2008-02-07: Highest IV Rank — 49.4%
2008-02-08: Largest Expected Move — 11.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$8.44	$7.77	$8.87	$8.87	$7.77
Max Pain	$7.50	$7.50	$7.50	$7.50	$7.50
ATM IV	34.0%	29.2%	42.4%	33.2%	38.8%
Expected Move	9.9%	8.4%	11.7%	9.5%	11.1%
HV 20d	42.7%	31.1%	48.7%	43.5%	38.9%
HV 60d	34.9%	32.8%	38.2%	32.8%	38.2%
IV Rank	28.2%	16.2%	49.4%	26.2%	40.3%
IV Percentile	30.9%	6.5%	83.3%	22.5%	68.2%
Term Structure	3.9%	1.7%	6.7%	1.7%	2.1%
VWIV	35.2%	29.3%	40.4%	33.2%	38.7%
Skew 25d	6.0%	-3.5%	15.4%	7.2%	-3.5%
Skew 10d	9.3%	-8.6%	23.0%	14.2%	-8.6%
Call IV 25d	33.1%	22.9%	39.5%	34.6%	39.5%
Put IV 25d	39.1%	35.3%	43.6%	41.8%	35.9%
Bid-Ask Spread %	21.09	9.92	45.80	28.78	10.78
Gamma HHI	0.73	0.50	0.84	0.74	0.50
Net GEX	3.3M	2.0M	4.2M	2.9M	2.0M
Net DEX	-71.0M	-95.8M	-27.5M	-95.8M	-27.5M
Net VEX	-213.7K	-243.7K	-151.9K	-243.7K	-151.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.38	0.03	1.68	0.15	0.64
Total Volume	5,104	884	12,344	10,748	8,072
Total OI	220,122.2	204,152	236,760	223,172	210,588

Daily Data (20 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
2008-02-01	$8.87	$7.50	33.2%	9.5%	43.5%	26.2%	33.2%	7.2%	1.7%	2.9M	-95.8M	-243.7K	0.15	28.78	N/A	N/A	9,324	1,424	173,912	49,260
2008-02-04	$8.75	$7.50	33.1%	10.3%	43.1%	25.9%	36.3%	7.2%	3.1%	3.1M	-90.3M	-241.5K	0.12	10.32	N/A	N/A	2,992	348	174,508	50,196
2008-02-05	$8.51	$7.50	35.5%	10.6%	44.7%	32.1%	37.1%	2.2%	3.0%	3.0M	-76.9M	-238.8K	0.42	10.84	N/A	N/A	2,492	1,048	174,420	50,536
2008-02-06	$8.15	$7.50	34.0%	10.6%	47.7%	28.2%	38.0%	4.2%	3.5%	2.7M	-57.1M	-234.0K	0.37	20.31	N/A	N/A	2,068	760	175,308	50,956
2008-02-07	$8.06	$7.50	42.4%	11.6%	47.7%	49.4%	38.8%	3.0%	4.0%	2.5M	-51.5M	-224.7K	0.13	31.71	N/A	N/A	8,320	1,084	175,372	51,420
2008-02-08	$7.92	$7.50	41.2%	11.7%	47.1%	46.5%	39.7%	4.5%	2.4%	2.4M	-45.3M	-223.9K	1.68	21.30	N/A	N/A	924	1,548	179,048	51,464
2008-02-11	$8.19	$7.50	38.6%	10.6%	48.7%	40.0%	40.4%	4.8%	2.8%	2.8M	-59.8M	-225.8K	0.06	28.78	N/A	N/A	11,596	748	179,148	51,792
2008-02-12	$8.31	$7.50	34.6%	10.6%	47.5%	29.8%	39.7%	6.2%	2.2%	3.0M	-70.0M	-225.0K	0.78	16.51	N/A	N/A	2,360	1,836	183,248	52,000
2008-02-13	$8.52	$7.50	30.4%	10.0%	47.1%	19.3%	36.4%	4.6%	3.9%	3.5M	-80.5M	-226.5K	0.15	19.50	N/A	N/A	6,100	944	183,068	53,244
2008-02-14	$8.49	$7.50	33.7%	9.7%	46.9%	27.5%	34.7%	3.6%	5.1%	3.5M	-77.6M	-220.9K	0.05	13.21	N/A	N/A	3,180	148	182,052	53,732
2008-02-15	$8.61	$7.50	34.2%	9.8%	45.0%	28.7%	39.8%	15.4%	4.6%	4.0M	-85.1M	-221.6K	0.06	26.50	N/A	N/A	5,092	288	182,776	53,984
2008-02-19	$8.51	$7.50	32.6%	9.3%	45.3%	24.7%	32.2%	3.8%	4.1%	3.4M	-70.9M	-210.4K	0.47	39.56	N/A	N/A	2,700	1,276	162,512	41,908
2008-02-20	$8.66	$7.50	32.9%	9.4%	44.1%	25.5%	32.9%	2.1%	4.6%	3.5M	-77.9M	-207.9K	0.29	45.80	N/A	N/A	2,572	756	161,940	42,212
2008-02-21	$8.65	$7.50	31.8%	9.1%	41.9%	22.7%	31.6%	2.4%	5.3%	3.6M	-78.9M	-203.2K	0.36	18.42	N/A	N/A	2,860	1,032	162,592	42,628
2008-02-22	$8.62	$7.50	32.3%	9.2%	40.8%	23.8%	32.7%	10.4%	3.8%	3.6M	-76.2M	-203.0K	0.61	22.36	N/A	N/A	5,604	3,396	163,464	42,756
2008-02-25	$8.68	$7.50	31.1%	8.9%	36.9%	21.0%	31.1%	11.2%	4.6%	4.0M	-82.2M	-198.4K	0.03	17.42	N/A	N/A	4,096	124	165,912	43,364
2008-02-26	$8.72	$7.50	30.0%	8.6%	31.1%	18.2%	30.1%	14.1%	6.7%	4.2M	-85.1M	-194.8K	0.25	13.06	N/A	N/A	2,500	624	166,772	43,372
2008-02-27	$8.52	$7.50	30.3%	8.7%	32.4%	19.0%	30.3%	9.0%	5.4%	4.1M	-71.6M	-194.1K	0.73	9.92	N/A	N/A	512	372	166,996	43,436
2008-02-28	$8.32	$7.50	29.2%	8.4%	33.2%	16.2%	29.3%	8.0%	6.0%	3.8M	-59.4M	-184.6K	0.24	16.79	N/A	N/A	772	188	167,000	43,548
2008-02-29	$7.77	$7.50	38.8%	11.1%	38.9%	40.3%	38.7%	-3.5%	2.1%	2.0M	-27.5M	-151.9K	0.64	10.78	N/A	N/A	4,916	3,156	166,940	43,648