IBKR Options History — July 2008

In July 2008, IBKR traded between $6.51 and $8.49. ATM implied volatility averaged 57.6%, placing in the 43.5% IV rank vs the trailing year. The 30-day expected move averaged 16.7%. IV traded below realized volatility by 0.1% (HV 20d: 57.8%). Max pain ranged from $7.50 to $8.75. Net GEX was positive for 9 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 1.01.

Notable Days

  • 2008-07-25: Highest Volume — 33,888 contracts
  • 2008-07-24: Largest IV spike — 30.0% change
  • 2008-07-24: Highest IV Rank — 62.3%
  • 2008-07-24: Largest Expected Move — 20.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.59$6.51$8.49$7.98$7.01
Max Pain$7.56$7.50$8.75$7.50$7.50
ATM IV57.6%46.0%72.7%46.0%55.3%
Expected Move16.7%13.2%20.8%13.2%15.9%
HV 20d57.8%31.0%98.6%42.5%98.3%
HV 60d48.5%42.1%63.5%42.1%63.5%
IV Rank43.5%28.9%62.3%28.9%40.6%
IV Percentile88.8%78.6%98.8%78.6%82.5%
Term Structure-5.4%-16.1%5.9%5.9%-5.3%
VWIV58.6%43.0%70.2%43.0%60.8%
Skew 25d7.8%-4.8%13.6%2.7%6.4%
Skew 10d13.1%-11.9%31.5%0.4%11.3%
Call IV 25d55.3%43.2%65.8%43.2%56.4%
Put IV 25d63.1%43.0%73.4%45.9%62.9%
Bid-Ask Spread %19.8712.7237.9912.7213.25
Gamma HHI0.300.230.510.260.29
Net GEX15.5K-83.8K209.1K29.6K-32.9K
Net DEX-301.3K-8.3M9.1M-2.4M4.0M
Net VEX-53.6K-64.2K-41.6K-51.0K-63.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.010.183.210.452.90
Total Volume5,942.90976833,888768984
Total OI58,615.45544,33686,42444,33686,424

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-07-01$7.98$7.5046.0%13.2%42.5%28.9%43.0%2.7%5.9%29.6K-2.4M-51.0K0.4512.72N/AN/A52824022,08422,252
2008-07-02$7.75$7.5048.1%13.8%42.8%31.6%47.7%-4.8%5.1%2.0K-627.1K-49.5K0.5915.28N/AN/A3,0721,80822,27222,348
2008-07-03$7.56$7.5048.0%13.7%36.7%31.4%47.4%3.9%4.4%-20.7K722.9K-49.9K0.9123.38N/AN/A1,4281,30023,36023,468
2008-07-07$7.43$8.7550.1%15.7%31.0%34.1%54.6%8.1%-2.4%-42.9K1.9M-47.2K0.5623.97N/AN/A2,5081,39223,59623,592
2008-07-08$7.98$7.5051.1%15.8%40.9%35.4%49.6%7.8%-2.0%28.9K-1.9M-52.3K0.4123.42N/AN/A2,00482024,83624,208
2008-07-09$7.60$7.5051.2%16.0%44.1%35.5%52.4%7.5%-4.6%-5.3K-249.1K-50.3K0.1826.39N/AN/A2,03237626,07224,260
2008-07-10$7.34$7.5059.1%16.9%45.1%45.4%58.9%6.2%-7.7%-19.4K1.8M-49.7K1.2124.11N/AN/A2,6683,22027,26424,480
2008-07-11$7.50$7.5061.4%17.6%45.2%48.2%64.1%9.3%-8.0%-22.2K892.2K-51.5K1.9624.00N/AN/A1,5883,12028,10425,648
2008-07-14$7.24$7.5064.1%18.4%41.2%51.7%66.3%9.2%-9.5%-38.2K2.6M-49.5K3.2122.47N/AN/A1,0043,22028,54026,552
2008-07-15$7.41$7.5063.8%18.3%42.2%51.2%68.6%10.1%-8.9%-57.1K870.1K-51.5K1.4822.15N/AN/A1,2201,80029,08427,436
2008-07-16$7.86$7.5062.1%17.8%47.1%49.1%59.1%13.6%-7.2%-16.2K-3.4M-53.5K0.4016.14N/AN/A1,83273229,71628,052
2008-07-17$8.03$7.5063.5%18.2%47.9%50.8%58.0%12.8%-11.4%81.1K-5.5M-54.9K0.9713.59N/AN/A2,0281,97630,53627,984
2008-07-18$8.43$7.5051.7%14.8%51.0%36.1%52.8%11.7%-5.0%209.1K-8.3M-56.9K0.1818.71N/AN/A2,19639231,73229,312
2008-07-21$8.05$7.5061.4%17.6%53.6%48.2%59.7%9.4%-10.4%121.0K-4.4M-54.1K1.4918.55N/AN/A1,9282,87627,24823,820
2008-07-22$8.45$7.5054.1%15.5%56.4%39.0%65.0%13.3%-5.9%145.0K-7.2M-56.4K1.4013.40N/AN/A1,8922,64028,18424,728
2008-07-23$8.49$7.5055.9%16.0%56.4%41.3%59.2%11.7%-7.1%146.4K-7.8M-58.5K0.6417.29N/AN/A1,21277229,17625,964
2008-07-24$8.05$7.5072.7%20.8%59.6%62.3%70.2%8.8%-16.1%108.3K-4.9M-58.5K0.9513.90N/AN/A8,8848,40829,81626,048
2008-07-25$6.51$7.5065.6%18.8%95.7%53.5%65.4%-0.2%-3.3%-68.7K9.1M-41.6K0.8037.99N/AN/A18,78015,10833,54431,276
2008-07-28$6.55$7.5066.5%19.1%95.9%54.6%66.0%10.0%-6.7%-81.5K7.9M-54.6K1.0016.34N/AN/A4,9404,96440,14038,328
2008-07-29$6.89$7.5058.7%16.8%98.3%44.8%59.5%5.5%-6.2%-83.8K5.8M-60.2K0.1823.59N/AN/A8,6161,57641,64840,628
2008-07-30$6.97$7.5057.8%16.6%98.6%43.8%61.8%8.3%-6.5%-40.7K4.4M-64.2K0.4416.55N/AN/A1,84881244,48841,292
2008-07-31$7.01$7.5055.3%15.9%98.3%40.6%60.8%6.4%-5.3%-32.9K4.0M-63.1K2.9013.25N/AN/A25273245,35641,068