IBKR Options History — August 2008

In August 2008, IBKR traded between $6.68 and $7.22. ATM implied volatility averaged 51.0%, placing in the 35.2% IV rank vs the trailing year. The 30-day expected move averaged 14.0%. IV traded below realized volatility by 28.9% (HV 20d: 79.9%). Max pain ranged from $7.50 to $7.50. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 1.84.

Notable Days

  • 2008-08-21: Highest Volume — 5,888 contracts
  • 2008-08-11: Largest IV spike — 26.0% change
  • 2008-08-04: Highest IV Rank — 52.9%
  • 2008-08-13: Largest Expected Move — 15.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.90$6.68$7.22$7.08$6.83
Max Pain$7.50$7.50$7.50$7.50$7.50
ATM IV51.0%44.5%65.1%53.2%47.4%
Expected Move14.0%12.7%15.8%15.2%13.6%
HV 20d79.9%43.5%99.3%98.1%43.5%
HV 60d65.3%63.5%66.6%63.5%64.5%
IV Rank35.2%27.0%52.9%37.9%30.7%
IV Percentile75.0%63.5%95.2%80.2%70.6%
Term Structure1.5%-4.6%6.8%-4.6%2.5%
VWIV48.2%40.5%56.0%56.0%40.5%
Skew 25d6.0%2.4%10.0%7.0%5.8%
Skew 10d15.1%8.0%20.1%9.0%17.1%
Call IV 25d45.8%40.3%55.1%55.1%41.0%
Put IV 25d51.7%45.2%62.2%62.2%46.7%
Bid-Ask Spread %18.129.3224.4419.7111.35
Gamma HHI0.310.280.370.290.32
Net GEX12.1K-82.2K114.0K-28.0K61.0K
Net DEX3.6M947.7K7.4M3.1M1.2M
Net VEX-49.2K-62.9K-43.6K-62.9K-44.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.840.0519.380.260.05
Total Volume2,230.8573725,888728452
Total OI78,637.33362,24090,52086,63672,540

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-08-01$7.08$7.5053.2%15.2%98.1%37.9%56.0%7.0%-4.6%-28.0K3.1M-62.9K0.2619.71N/AN/A57615245,42841,208
2008-08-04$6.75$7.5065.1%15.8%99.3%52.9%54.8%7.1%-3.3%-82.2K7.4M-54.5K2.1624.44N/AN/A5481,18445,49641,300
2008-08-05$6.96$7.5052.1%14.0%96.3%36.6%50.3%9.7%-0.4%-66.8K5.3M-55.9K0.7020.98N/AN/A60442445,92841,500
2008-08-06$6.91$7.5053.7%14.0%95.0%38.5%51.9%7.4%-0.4%-76.6K6.2M-53.6K19.3822.73N/AN/A1362,63646,23241,476
2008-08-07$6.81$7.5057.8%15.5%94.4%43.7%49.6%5.4%-2.6%-54.0K5.7M-51.0K0.4624.00N/AN/A1,08450046,17639,540
2008-08-08$7.10$7.5047.9%13.4%95.4%31.3%47.4%10.0%1.6%7.5K3.0M-54.9K1.9621.99N/AN/A6401,25246,68839,828
2008-08-11$7.18$7.5060.3%13.8%94.7%46.9%49.2%5.4%1.1%37.6K1.6M-53.8K0.1522.56N/AN/A3,39650846,92039,820
2008-08-12$6.82$7.5060.3%15.5%96.0%46.8%52.2%7.2%-0.5%-26.2K6.1M-47.7K2.1421.39N/AN/A1,1682,50448,44840,176
2008-08-13$6.85$7.5060.7%15.8%93.1%47.3%52.1%7.6%-2.6%-12.2K6.2M-47.8K0.2623.34N/AN/A1,04427648,57240,584
2008-08-14$7.14$7.5047.4%13.6%94.2%30.7%48.9%9.4%0.4%78.1K3.1M-50.9K0.4623.65N/AN/A1,31260849,20840,772
2008-08-15$7.22$7.5044.5%12.7%92.3%27.0%45.6%5.7%3.4%114.0K3.2M-48.7K4.0123.56N/AN/A1,0404,16849,65240,868
2008-08-18$6.97$7.5046.4%13.3%91.8%29.5%48.3%3.6%0.8%50.7K1.7M-46.6K1.2614.36N/AN/A1,1241,42032,82429,416
2008-08-19$6.76$7.5048.8%14.0%89.8%32.4%51.1%4.6%4.5%19.8K3.3M-44.8K1.0514.89N/AN/A1,8161,90833,36829,920
2008-08-20$6.83$7.5047.3%13.6%89.9%30.6%48.8%5.1%3.6%19.9K3.6M-44.6K1.9916.05N/AN/A7361,46433,91630,728
2008-08-21$6.68$7.5046.2%13.2%88.6%29.2%44.7%5.5%4.8%-13.2K4.6M-43.6K0.389.32N/AN/A4,2521,63634,32031,880
2008-08-22$6.86$7.5045.9%13.2%46.3%28.9%44.0%4.9%3.6%35.1K2.3M-46.3K0.8917.95N/AN/A76868036,81632,528
2008-08-25$6.69$7.5045.6%13.1%47.3%28.5%45.3%3.2%6.8%18.8K2.9M-44.4K0.1411.16N/AN/A1,79224837,28033,004
2008-08-26$6.74$7.5047.1%13.5%43.7%30.3%44.8%2.4%3.8%44.4K2.1M-46.3K0.1212.89N/AN/A1,70821238,83233,104
2008-08-27$6.79$7.5046.3%13.3%43.6%29.3%45.4%3.6%6.5%58.3K1.6M-45.9K0.6610.85N/AN/A22414839,29233,204
2008-08-28$6.85$7.5046.8%13.4%43.6%30.0%41.6%4.4%2.3%68.6K947.7K-45.4K0.1313.36N/AN/A4445639,40433,188
2008-08-29$6.83$7.5047.4%13.6%43.5%30.7%40.5%5.8%2.5%61.0K1.2M-44.4K0.0511.35N/AN/A4322039,33633,204