IBKR Options History — June 2008

In June 2008, IBKR traded between $8.01 and $8.71. ATM implied volatility averaged 44.2%, placing in the 26.7% IV rank vs the trailing year. The 30-day expected move averaged 12.4%. IV traded above realized volatility by 1.9% (HV 20d: 42.2%). Max pain ranged from $7.50 to $8.75. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.91.

Notable Days

  • 2008-06-04: Highest Volume — 8,224 contracts
  • 2008-06-06: Largest IV spike — 19.9% change
  • 2008-06-11: Highest IV Rank — 41.8%
  • 2008-06-30: Largest Expected Move — 14.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.29$8.01$8.71$8.01$8.03
Max Pain$8.04$7.50$8.75$7.50$8.75
ATM IV44.2%35.2%56.2%39.5%49.0%
Expected Move12.4%10.1%14.1%11.3%14.1%
HV 20d42.2%30.4%48.6%30.7%42.4%
HV 60d49.5%42.0%58.6%57.3%42.1%
IV Rank26.7%15.5%41.8%20.9%32.8%
IV Percentile71.6%31.3%89.3%61.5%82.5%
Term Structure2.7%-2.7%7.8%-0.4%4.5%
VWIV45.0%38.0%52.0%38.0%49.0%
Skew 25d5.1%-0.5%12.0%1.8%4.1%
Skew 10d9.4%-10.1%41.4%20.3%3.5%
Call IV 25d41.9%35.0%46.9%37.5%45.3%
Put IV 25d47.0%38.5%50.5%39.4%49.4%
Bid-Ask Spread %26.9211.8648.3416.2112.47
Gamma HHI0.560.260.890.520.30
Net GEX770.8K48.0K1.6M914.1K48.0K
Net DEX-20.0M-37.9M-2.3M-19.4M-2.3M
Net VEX-66.2K-82.8K-51.9K-79.9K-51.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.910.175.420.441.09
Total Volume2,683.6192928,224808392
Total OI102,793.52441,428128,028123,80844,684

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-06-02$8.01$7.5039.5%11.3%30.7%20.9%38.0%1.8%-0.4%914.1K-19.4M-79.9K0.4416.21N/AN/A56024875,68448,124
2008-06-03$8.01$7.5038.7%11.1%30.4%19.9%38.2%1.8%0.0%922.4K-19.5M-77.1K5.4211.86N/AN/A14478075,72048,152
2008-06-04$8.19$7.5035.2%10.1%31.4%15.5%42.7%7.9%3.0%1.0M-23.6M-79.6K1.3713.26N/AN/A3,4644,76075,71648,568
2008-06-05$8.68$7.5038.4%11.0%37.3%19.5%40.1%4.8%-0.4%1.3M-37.9M-81.6K0.2319.23N/AN/A6,2681,43677,48450,532
2008-06-06$8.16$7.5046.1%12.1%42.8%29.0%42.7%-0.5%1.7%974.3K-24.3M-82.8K0.4642.82N/AN/A3,0361,40476,60050,588
2008-06-09$8.22$7.5049.8%12.7%42.2%33.6%46.3%5.6%0.1%979.3K-25.0M-80.7K0.3537.34N/AN/A3,0921,08476,52450,700
2008-06-10$8.19$7.5047.3%12.6%42.1%30.6%45.1%4.0%2.8%1.0M-24.6M-76.5K0.5447.12N/AN/A73639676,80451,080
2008-06-11$8.01$7.5056.2%14.0%42.7%41.8%48.7%10.8%-2.7%850.3K-19.7M-75.1K0.1748.34N/AN/A66811276,47251,228
2008-06-12$8.16$7.5047.2%13.5%43.3%30.5%48.3%1.6%0.1%1.0M-23.9M-72.8K0.7930.59N/AN/A1,07685276,49251,236
2008-06-13$8.61$7.5045.8%13.1%47.1%28.7%47.0%7.9%-0.4%1.5M-35.1M-69.1K0.3332.36N/AN/A2,60484876,02451,436
2008-06-16$8.71$7.5045.7%13.1%46.9%28.6%47.9%3.6%1.3%1.6M-37.7M-64.5K1.5631.10N/AN/A1,1641,81674,41651,580
2008-06-17$8.41$7.5043.6%12.5%48.6%26.0%46.8%3.0%3.9%1.2M-29.1M-61.7K0.7939.71N/AN/A3,5522,81674,43651,560
2008-06-18$8.34$8.7545.1%12.9%48.1%27.8%52.0%2.7%3.0%1.2M-27.3M-60.5K0.3516.08N/AN/A2,30880475,26452,396
2008-06-19$8.42$8.7544.4%12.7%47.3%27.0%47.2%3.9%3.6%1.3M-27.1M-57.4K0.4421.49N/AN/A1,21654075,28452,744
2008-06-20$8.37$8.7541.8%12.0%47.4%23.8%44.5%5.1%5.2%65.3K-23.2M-52.7K0.7139.57N/AN/A1,03673274,67652,756
2008-06-23$8.38$8.7543.0%12.3%46.0%25.2%46.5%6.8%4.7%66.3K-4.4M-53.0K1.4622.02N/AN/A8561,24820,70020,728
2008-06-24$8.37$8.7543.4%12.5%42.4%25.8%44.6%6.1%5.4%70.2K-4.4M-53.3K0.9921.01N/AN/A78077221,11621,220
2008-06-25$8.38$8.7542.1%12.1%42.4%24.0%41.7%12.0%6.9%75.9K-4.6M-54.3K0.4336.57N/AN/A2048821,65221,544
2008-06-26$8.25$8.7543.6%12.5%42.5%26.0%46.2%8.6%6.8%64.9K-3.6M-53.7K0.6413.36N/AN/A74047621,78021,592
2008-06-27$8.13$8.7541.3%11.8%42.6%23.0%42.7%5.9%7.8%61.0K-3.4M-52.1K0.6012.70N/AN/A78046821,78021,592
2008-06-30$8.03$8.7549.0%14.1%42.4%32.8%49.0%4.1%4.5%48.0K-2.3M-51.9K1.0912.47N/AN/A18820422,42422,260