IBKR Options History — March 2008

In March 2008, IBKR traded between $6.34 and $7.98. ATM implied volatility averaged 55.6%, placing in the 53.1% IV rank vs the trailing year. The 30-day expected move averaged 16.2%. IV traded below realized volatility by 1.7% (HV 20d: 57.3%). Max pain ranged from $6.25 to $7.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 0.48.

Notable Days

  • 2008-03-17: Highest Volume — 93,208 contracts
  • 2008-03-17: Largest IV spike — 121.7% change
  • 2008-03-17: Highest IV Rank — 100.0%
  • 2008-03-17: Largest Expected Move — 29.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.14$6.34$7.98$7.62$6.42
Max Pain$6.94$6.25$7.50$7.50$6.25
ATM IV55.6%32.8%102.8%42.1%61.5%
Expected Move16.2%11.5%29.5%12.1%17.6%
HV 20d57.3%38.0%74.8%38.1%71.5%
HV 60d46.3%38.1%53.6%38.4%53.2%
IV Rank53.1%25.2%100.0%48.7%48.3%
IV Percentile88.2%22.5%100.0%83.2%96.8%
Term Structure-1.6%-26.3%5.9%1.8%0.5%
VWIV54.8%37.7%97.2%42.1%62.9%
Skew 25d13.5%-0.1%37.1%5.5%2.9%
Skew 10d30.1%-2.9%96.7%11.6%11.2%
Call IV 25d46.4%22.2%84.8%42.5%62.8%
Put IV 25d59.9%35.4%121.9%48.0%65.8%
Bid-Ask Spread %33.158.5260.7317.9045.43
Gamma HHI0.470.410.550.490.41
Net GEX1.2M437.4K2.4M1.8M437.4K
Net DEX-15.7M-41.7M4.3M-23.2M-1.8M
Net VEX-147.0K-165.3K-120.9K-148.2K-122.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.480.031.090.560.65
Total Volume15,778.61,55693,2085,4642,316
Total OI215,991.2145,040302,364214,648150,408

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-03-03$7.62$7.5042.1%12.1%38.1%48.7%42.1%5.5%1.8%1.8M-23.2M-148.2K0.5617.90N/AN/A3,5001,964169,24845,400
2008-03-04$7.57$7.5042.7%12.2%38.0%50.3%42.7%20.9%-0.0%1.6M-19.5M-144.6K0.0317.43N/AN/A58,0801,828170,17646,244
2008-03-05$7.74$7.5040.0%11.5%38.6%43.3%37.7%0.0%5.9%2.0M-28.2M-151.6K0.068.52N/AN/A22,3241,348172,57646,792
2008-03-06$7.43$7.5042.8%12.3%38.4%50.6%42.0%2.1%0.2%1.6M-19.1M-148.8K0.2911.81N/AN/A1,400412179,53646,836
2008-03-07$7.59$7.5042.6%12.4%39.4%50.1%42.8%19.8%-0.4%1.7M-22.6M-151.2K0.4021.19N/AN/A4,1321,648178,93247,152
2008-03-10$7.46$7.5041.4%12.7%39.4%47.1%44.1%18.6%0.9%1.5M-17.0M-140.7K0.5821.49N/AN/A3,0801,780180,46447,868
2008-03-11$7.92$7.5040.9%12.5%43.4%45.6%43.0%12.5%1.2%2.0M-34.6M-143.5K0.4327.92N/AN/A8,3363,552180,13248,640
2008-03-12$7.98$7.5032.8%12.4%43.2%25.2%42.0%-0.1%-0.6%2.1M-41.5M-150.1K0.1745.17N/AN/A16,0002,672183,90850,624
2008-03-13$7.98$7.5045.6%13.1%42.0%57.7%44.9%22.2%-4.2%2.4M-41.7M-163.3K0.5025.13N/AN/A4,4322,216191,88050,376
2008-03-14$7.43$7.5046.4%13.3%48.4%59.6%46.2%3.6%-3.2%1.5M-17.2M-150.9K0.2628.55N/AN/A18,9524,924193,83250,644
2008-03-17$6.34$7.50102.8%29.5%71.6%100.0%97.2%37.1%-26.3%447.1K4.3M-120.9K0.6160.73N/AN/A57,92435,284207,10851,224
2008-03-18$6.40$6.2576.1%21.8%72.1%66.6%76.7%26.3%-5.7%524.8K-536.5K-154.5K0.7236.47N/AN/A14,27610,332229,81264,576
2008-03-19$6.68$6.2573.7%21.1%74.3%63.6%66.5%18.9%-6.0%565.5K-6.7M-165.3K0.5037.55N/AN/A8,0044,012234,08468,280
2008-03-20$6.72$6.2566.8%19.1%74.5%54.9%60.3%20.6%-2.3%538.6K-3.6M-153.3K0.6431.97N/AN/A2,1441,380226,51669,928
2008-03-24$6.79$6.2568.7%19.7%74.8%57.3%63.7%20.1%-3.5%570.0K-9.6M-148.5K0.7950.08N/AN/A940740102,07242,968
2008-03-25$6.78$6.2565.5%18.8%74.6%53.3%59.1%14.8%-2.2%598.2K-7.9M-143.8K0.7649.42N/AN/A1,9041,440102,21643,308
2008-03-26$6.72$6.2560.0%17.2%74.4%46.4%68.4%10.8%0.3%572.5K-9.8M-150.9K1.0941.79N/AN/A804876103,14844,404
2008-03-27$6.71$6.2559.5%17.0%74.3%45.8%53.6%10.7%5.8%595.2K-9.1M-149.8K0.4136.11N/AN/A1,104452103,84045,004
2008-03-28$6.52$6.2560.3%17.3%74.5%46.9%59.5%2.8%5.2%494.4K-5.3M-137.5K0.1948.30N/AN/A7,6441,416104,43245,236
2008-03-31$6.42$6.2561.5%17.6%71.5%48.3%62.9%2.9%0.5%437.4K-1.8M-122.7K0.6545.43N/AN/A1,404912104,04446,364