IBKR Options History — May 2008 In May 2008, IBKR traded between $7.46 and $8.25. ATM implied volatility averaged 40.4%, placing in the 21.9% IV rank vs the trailing year. The 30-day expected move averaged 11.2%. IV traded below realized volatility by 1.8% (HV 20d: 42.2%). 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 14 of 21 days. Put/call ratio averaged 1.73.
Notable Days 2008-05-07 : Highest Volume — 23,036 contracts2008-05-09 : Largest IV drop — 30.3% change2008-05-08 : Highest IV Rank — 36.0%2008-05-08 : Largest Expected Move — 13.0%Monthly Statistics Metric Avg Min Max Open Close Price $8.00 $7.46 $8.25 $8.04 $8.14 Max Pain $7.50 $7.50 $7.50 $7.50 $7.50 ATM IV 40.4% 33.1% 51.6% 39.4% 33.1% Expected Move 11.2% 9.5% 13.0% 11.3% 9.5% HV 20d 42.2% 23.2% 52.2% 52.1% 30.2% HV 60d 58.6% 57.9% 59.6% 59.6% 57.9% IV Rank 21.9% 12.8% 36.0% 20.7% 12.8% IV Percentile 60.4% 18.7% 85.9% 63.1% 18.7% Term Structure 0.7% -2.3% 4.7% 3.9% 2.0% VWIV 40.5% 33.8% 45.6% 39.0% 33.8% Skew 25d 5.1% 0.1% 8.9% 0.1% 4.1% Skew 10d 13.2% 0.6% 24.1% 0.6% 24.1% Call IV 25d 37.2% 33.6% 39.7% 38.3% 33.6% Put IV 25d 42.3% 37.7% 47.8% 38.4% 37.7% Bid-Ask Spread % 19.01 10.82 31.98 16.54 19.00 Gamma HHI 0.47 0.38 0.58 0.45 0.58 Net GEX 1.1M 553.6K 1.6M 1.4M 1.0M Net DEX -28.8M -42.0M -7.3M -39.1M -22.9M Net VEX -112.2K -138.0K -82.8K -135.6K -86.2K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.73 0.08 19.00 0.38 0.08 Total Volume 5,581.524 524 23,036 9,652 2,312 Total OI 146,385.143 123,192 169,256 159,044 124,472
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 2008-05-01 $8.04 $7.50 39.4% 11.3% 52.1% 20.7% 39.0% 0.1% 3.9% 1.4M -39.1M -135.6K 0.38 16.54 N/A N/A 6,992 2,660 106,712 52,332 2008-05-02 $7.96 $7.50 40.5% 11.6% 52.1% 22.1% 40.6% 4.4% -0.0% 1.4M -36.0M -138.0K 1.04 25.31 N/A N/A 2,968 3,084 108,248 53,524 2008-05-05 $8.06 $7.50 46.9% 11.8% 52.1% 30.1% 41.0% 5.2% 1.1% 1.5M -38.8M -135.3K 0.37 31.98 N/A N/A 6,852 2,568 108,948 54,744 2008-05-06 $8.06 $7.50 45.6% 11.8% 52.2% 28.4% 39.0% 4.6% 1.1% 1.6M -38.8M -134.6K 1.24 30.44 N/A N/A 2,036 2,516 113,048 56,208 2008-05-07 $8.18 $7.50 40.1% 11.3% 49.7% 21.6% 43.5% 8.9% 0.2% 1.5M -42.0M -133.6K 0.33 26.76 N/A N/A 17,288 5,748 107,280 55,972 2008-05-08 $7.99 $7.50 51.6% 13.0% 51.0% 36.0% 44.9% 8.5% -2.3% 1.2M -31.8M -131.0K 1.64 18.19 N/A N/A 2,788 4,560 101,980 56,588 2008-05-09 $8.15 $7.50 36.0% 10.7% 49.9% 16.4% 44.2% 7.6% 4.7% 1.3M -36.7M -127.6K 0.95 19.72 N/A N/A 1,764 1,676 102,192 58,488 2008-05-12 $8.25 $7.50 38.8% 11.2% 44.3% 19.9% 42.8% 6.1% 0.6% 1.4M -39.6M -121.8K 0.23 20.80 N/A N/A 2,764 632 101,704 58,544 2008-05-13 $8.17 $7.50 42.1% 11.3% 44.5% 24.1% 43.1% 4.4% 1.0% 1.3M -37.5M -120.0K 0.58 18.60 N/A N/A 332 192 100,988 58,696 2008-05-14 $8.20 $7.50 45.6% 10.4% 41.6% 28.5% 39.7% 6.0% 3.1% 1.3M -37.5M -115.2K 2.05 20.39 N/A N/A 884 1,812 100,988 58,668 2008-05-15 $8.19 $7.50 37.6% 10.8% 41.6% 18.5% 40.1% 4.1% 2.2% 1.1M -37.9M -113.3K 0.48 15.97 N/A N/A 492 236 101,004 58,892 2008-05-16 $8.09 $7.50 40.8% 11.7% 41.8% 22.4% 41.1% 4.7% 1.0% 1.0M -34.8M -110.2K 2.29 18.45 N/A N/A 1,352 3,100 100,560 58,888 2008-05-19 $8.00 $7.50 38.1% 10.9% 42.2% 19.1% 36.4% 3.8% -0.5% 1.0M -23.4M -104.3K 0.81 17.18 N/A N/A 1,968 1,604 81,196 44,880 2008-05-20 $7.84 $7.50 37.6% 10.8% 41.8% 18.5% 37.7% 4.8% 0.4% 952.8K -18.7M -102.6K 0.22 19.07 N/A N/A 14,912 3,260 82,092 45,024 2008-05-21 $7.68 $7.50 38.5% 11.0% 42.7% 19.5% 41.9% 4.6% 0.7% 1.1M -19.1M -106.3K 3.41 18.85 N/A N/A 1,052 3,592 92,280 45,048 2008-05-22 $7.66 $7.50 37.9% 10.9% 42.7% 18.9% 45.6% 6.0% -0.5% 649.1K -10.6M -91.5K 19.00 10.82 N/A N/A 72 1,368 76,280 46,912 2008-05-23 $7.46 $7.50 38.6% 11.1% 23.2% 19.6% 40.5% 4.9% 0.3% 553.6K -7.3M -88.4K 0.11 12.61 N/A N/A 4,732 532 77,116 47,540 2008-05-27 $7.87 $7.50 39.9% 11.4% 30.4% 21.3% 37.8% 4.8% -1.8% 899.7K -16.4M -90.8K 0.27 11.02 N/A N/A 2,356 628 80,840 47,524 2008-05-28 $7.89 $7.50 40.0% 11.5% 29.9% 21.4% 38.3% 6.1% -1.3% 811.7K -16.0M -87.4K 0.45 16.63 N/A N/A 1,240 552 75,628 47,908 2008-05-29 $8.03 $7.50 39.6% 11.3% 30.5% 20.9% 38.6% 3.3% -1.1% 938.7K -19.6M -82.8K 0.31 10.87 N/A N/A 1,328 408 76,356 47,796 2008-05-30 $8.14 $7.50 33.1% 9.5% 30.2% 12.8% 33.8% 4.1% 2.0% 1.0M -22.9M -86.2K 0.08 19.00 N/A N/A 2,132 180 76,364 48,108
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