IBKR Options History — April 2008 In April 2008, IBKR traded between $6.47 and $7.91. ATM implied volatility averaged 55.9%, placing in the 41.4% IV rank vs the trailing year. The 30-day expected move averaged 16.5%. IV traded below realized volatility by 9.9% (HV 20d: 65.9%). Max pain ranged from $6.25 to $7.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 0.50.
Notable Days 2008-04-25 : Highest Volume — 28,840 contracts2008-04-25 : Largest IV drop — 28.9% change2008-04-15 : Highest IV Rank — 59.2%2008-04-15 : Largest Expected Move — 20.1%Monthly Statistics Metric Avg Min Max Open Close Price $7.14 $6.47 $7.91 $7.11 $7.89 Max Pain $6.99 $6.25 $7.50 $6.25 $7.50 ATM IV 55.9% 39.6% 70.2% 49.1% 39.9% Expected Move 16.5% 11.3% 20.1% 14.1% 11.4% HV 20d 65.9% 51.5% 81.7% 81.6% 52.3% HV 60d 58.0% 56.0% 60.2% 57.5% 59.7% IV Rank 41.4% 20.9% 59.2% 32.9% 21.3% IV Percentile 88.7% 64.6% 98.7% 89.6% 65.0% Term Structure -2.7% -8.2% 5.3% 2.3% 2.9% VWIV 58.9% 39.3% 71.2% 56.9% 39.3% Skew 25d 7.3% 3.0% 14.3% 12.4% 5.6% Skew 10d 16.3% 8.6% 24.8% 18.1% 23.2% Call IV 25d 56.3% 35.6% 69.0% 51.1% 35.6% Put IV 25d 63.6% 41.1% 74.8% 63.4% 41.1% Bid-Ask Spread % 25.80 16.83 48.62 46.69 38.66 Gamma HHI 0.44 0.35 0.49 0.46 0.45 Net GEX 768.7K 358.7K 1.4M 776.4K 1.3M Net DEX -16.3M -34.2M -2.2M -14.3M -33.1M Net VEX -138.3K -154.2K -116.2K -150.5K -139.6K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.50 0.03 1.47 0.54 1.47 Total Volume 9,801.636 844 28,840 7,472 2,812 Total OI 151,714.182 137,508 161,328 150,492 157,284
Daily Data (22 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 2008-04-01 $7.11 $6.25 49.1% 14.1% 81.6% 32.9% 56.9% 12.4% 2.3% 776.4K -14.3M -150.5K 0.54 46.69 N/A N/A 4,856 2,616 104,864 45,628 2008-04-02 $7.06 $6.25 56.0% 16.1% 81.6% 41.5% 56.7% 5.1% -1.0% 722.1K -16.2M -154.2K 0.05 48.62 N/A N/A 20,892 1,128 104,300 45,616 2008-04-03 $7.24 $6.25 57.6% 16.5% 81.7% 43.5% 58.7% 6.4% -1.0% 701.4K -17.7M -151.3K 0.09 29.32 N/A N/A 15,832 1,364 99,712 46,060 2008-04-04 $7.17 $7.50 61.1% 17.0% 80.5% 47.8% 60.6% 6.2% 0.6% 720.0K -19.0M -152.3K 0.16 18.26 N/A N/A 12,548 2,032 100,912 45,904 2008-04-07 $7.18 $7.50 50.7% 18.1% 80.0% 34.8% 64.9% 6.7% -5.6% 773.4K -18.1M -148.9K 0.11 18.52 N/A N/A 11,932 1,272 100,972 46,700 2008-04-08 $7.22 $7.50 51.2% 18.3% 79.9% 35.4% 67.7% 10.2% -6.1% 785.5K -19.5M -149.2K 0.19 17.40 N/A N/A 4,196 784 102,728 47,580 2008-04-09 $6.95 $7.50 52.7% 18.5% 77.5% 37.4% 66.3% 4.8% -4.6% 633.9K -12.9M -140.1K 1.19 21.16 N/A N/A 1,784 2,120 102,556 48,324 2008-04-10 $6.99 $7.50 64.4% 18.5% 77.4% 52.0% 66.9% 6.7% -4.3% 652.9K -13.8M -140.6K 0.90 21.19 N/A N/A 444 400 102,232 48,656 2008-04-11 $6.82 $7.50 67.8% 19.4% 77.6% 56.2% 66.4% 3.8% -4.6% 545.9K -9.4M -132.6K 0.58 19.46 N/A N/A 1,960 1,136 102,256 48,812 2008-04-14 $6.47 $7.50 69.6% 19.9% 75.8% 58.4% 71.2% 4.3% -6.9% 358.7K -2.2M -116.2K 1.32 16.83 N/A N/A 4,524 5,984 103,712 49,080 2008-04-15 $6.67 $7.50 70.2% 20.1% 51.5% 59.2% 66.7% 7.9% -6.7% 425.1K -6.6M -124.4K 0.74 23.16 N/A N/A 2,132 1,584 106,412 51,040 2008-04-16 $7.03 $7.50 63.5% 18.2% 54.5% 50.9% 64.5% 11.2% -6.5% 718.6K -12.7M -133.4K 0.56 24.08 N/A N/A 1,096 612 106,468 51,804 2008-04-17 $7.03 $7.50 59.6% 17.1% 52.5% 45.9% 64.9% 14.3% -4.3% 526.3K -11.4M -128.2K 0.65 21.68 N/A N/A 1,704 1,116 107,000 51,976 2008-04-18 $6.97 $7.50 61.0% 17.5% 52.6% 47.6% 62.7% 6.2% -5.2% 508.4K -10.1M -124.2K 0.10 28.49 N/A N/A 16,684 1,624 107,312 52,300 2008-04-21 $7.07 $6.25 56.5% 16.2% 52.7% 42.1% 57.7% 8.7% -3.4% 685.5K -11.8M -127.6K 0.12 32.07 N/A N/A 6,636 776 94,960 42,548 2008-04-22 $6.90 $6.25 56.3% 16.1% 53.5% 41.8% 57.6% 6.5% -3.3% 610.3K -8.8M -121.2K 0.03 20.77 N/A N/A 11,284 356 94,960 42,552 2008-04-23 $6.87 $6.25 65.1% 18.7% 53.5% 52.9% 61.8% 3.0% -8.2% 744.1K -13.7M -139.4K 0.08 19.75 N/A N/A 1,956 160 106,692 42,992 2008-04-24 $6.97 $6.25 55.6% 15.9% 53.6% 41.0% 62.5% 7.7% -2.5% 789.3K -12.2M -131.3K 0.76 22.62 N/A N/A 11,848 8,988 105,820 43,112 2008-04-25 $7.73 $6.25 39.6% 11.3% 63.4% 20.9% 39.9% 9.5% 5.3% 1.4M -31.9M -147.3K 0.66 26.22 N/A N/A 17,404 11,436 111,052 48,996 2008-04-28 $7.79 $6.25 41.9% 12.0% 62.8% 23.9% 42.5% 9.0% 2.2% 1.2M -28.8M -151.5K 0.28 33.16 N/A N/A 8,540 2,400 106,944 54,384 2008-04-29 $7.91 $7.50 41.3% 11.8% 52.4% 23.1% 39.3% 4.3% 1.6% 1.3M -34.2M -138.7K 0.38 19.49 N/A N/A 4,848 1,836 104,668 49,832 2008-04-30 $7.89 $7.50 39.9% 11.4% 52.3% 21.3% 39.3% 5.6% 2.9% 1.3M -33.1M -139.6K 1.47 38.66 N/A N/A 1,140 1,672 106,332 50,952
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