IBKR Options History — September 2008

In September 2008, IBKR traded between $4.83 and $6.83. ATM implied volatility averaged 66.1%, placing in the 51.1% IV rank vs the trailing year. The 30-day expected move averaged 19.1%. IV traded above realized volatility by 0.4% (HV 20d: 65.6%). Max pain ranged from $5.63 to $7.50. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 1.54.

Notable Days

  • 2008-09-17: Highest Volume — 31,584 contracts
  • 2008-09-17: Largest IV spike — 79.9% change
  • 2008-09-17: Highest IV Rank — 100.0%
  • 2008-09-17: Largest Expected Move — 31.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.82$4.83$6.83$6.83$5.54
Max Pain$6.16$5.63$7.50$7.50$5.63
ATM IV66.1%47.6%110.0%51.5%76.4%
Expected Move19.1%13.7%31.6%14.8%21.9%
HV 20d65.6%38.2%112.3%39.9%112.3%
HV 60d71.9%63.3%88.3%63.4%88.3%
IV Rank51.1%31.0%100.0%35.9%61.4%
IV Percentile86.2%70.2%100.0%76.2%97.6%
Term Structure-1.5%-29.4%8.3%-0.7%-12.0%
VWIV65.6%44.7%105.9%45.6%75.5%
Skew 25d7.3%-3.7%30.2%5.9%7.1%
Skew 10d11.6%-16.0%37.6%19.8%17.0%
Call IV 25d62.9%44.2%102.1%44.2%74.4%
Put IV 25d70.2%44.6%108.1%50.1%81.6%
Bid-Ask Spread %34.0211.5077.5411.6031.24
Gamma HHI0.250.200.360.330.21
Net GEX-9.6K-115.1K62.7K62.4K31.2K
Net DEX4.7M-1.6M11.1M1.3M481.3K
Net VEX-36.8K-42.5K-32.0K-42.5K-39.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.540.265.560.340.32
Total Volume5,108.38194431,5841,864944
Total OI70,845.14348,700105,62072,51655,928

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-09-02$6.83$7.5051.5%14.8%39.9%35.9%45.6%5.9%-0.7%62.4K1.3M-42.5K0.3411.60N/AN/A1,39646839,29233,224
2008-09-03$6.81$7.5047.6%13.7%38.2%31.0%49.4%2.7%3.5%62.7K1.5M-40.8K2.2312.64N/AN/A42093639,64033,268
2008-09-04$6.52$7.5048.3%13.8%41.1%31.8%48.0%-3.7%3.0%21.6K3.6M-38.5K0.7711.50N/AN/A74457639,74833,008
2008-09-05$6.73$6.2549.3%15.3%42.6%33.1%51.8%11.6%-3.2%47.7K2.5M-38.6K5.5638.12N/AN/A2921,62439,73232,816
2008-09-08$6.48$6.2549.1%14.9%41.5%32.8%49.3%7.4%1.7%-5.5K4.7M-36.1K0.2619.81N/AN/A2,10855239,82434,008
2008-09-09$6.01$6.2548.9%14.8%47.8%32.6%51.6%2.9%2.1%-44.1K8.5M-33.3K1.8118.70N/AN/A1,3522,45240,20834,364
2008-09-10$5.94$6.2553.4%15.0%45.1%38.2%47.1%3.4%2.8%-78.9K8.3M-32.2K1.2321.98N/AN/A2,9843,66840,08034,076
2008-09-11$6.06$6.2550.5%14.5%45.9%34.6%44.7%6.3%2.9%-65.1K7.6M-35.9K0.8825.44N/AN/A2,2081,93641,66035,708
2008-09-12$6.22$6.2552.0%14.9%44.1%36.5%54.3%8.8%1.6%-37.4K5.3M-39.8K3.6322.12N/AN/A6002,17642,99235,820
2008-09-15$5.84$6.2554.1%15.5%47.8%39.1%54.8%3.0%3.3%-63.8K8.9M-34.5K4.3320.87N/AN/A7403,20443,19236,104
2008-09-16$5.70$6.2561.2%17.5%47.1%47.9%61.1%-0.1%-2.2%-115.1K11.1M-32.0K0.9535.53N/AN/A4,5604,32843,59238,136
2008-09-17$4.83$6.25110.0%31.6%72.4%100.0%105.9%6.1%-29.4%-39.2K10.4M-32.3K1.1440.94N/AN/A14,73616,84846,12038,092
2008-09-18$4.92$5.63101.7%29.2%72.8%90.5%98.1%13.0%-24.7%-46.6K9.9M-33.1K1.6250.95N/AN/A5,0568,20054,79247,232
2008-09-19$5.49$5.6385.2%24.4%85.6%71.5%85.1%10.4%1.6%-31.2K6.8M-38.3K0.5947.36N/AN/A1,37681257,70047,920
2008-09-22$5.41$5.6372.4%20.8%84.6%56.8%72.9%6.2%8.3%6.8K1.8M-37.7K1.4544.44N/AN/A1,1601,68026,20422,496
2008-09-23$5.14$5.6379.0%22.7%85.7%64.4%77.0%1.9%0.4%4.4K2.9M-34.9K0.5647.16N/AN/A1,00856827,61222,648
2008-09-24$5.21$5.6375.9%21.8%86.0%60.9%73.7%15.6%-0.8%7.6K2.6M-35.8K1.7259.53N/AN/A51688828,18822,980
2008-09-25$5.27$5.6372.0%20.6%86.1%56.3%69.9%10.1%4.8%5.6K2.5M-36.2K0.9538.87N/AN/A81277228,34823,552
2008-09-26$6.05$5.6367.3%19.3%101.1%51.0%70.2%3.6%-0.7%50.0K-1.6M-42.4K0.8338.17N/AN/A5,2484,34028,66823,972
2008-09-29$5.30$5.6381.2%23.3%110.5%66.9%91.6%30.2%6.8%25.9K306.1K-38.3K1.2177.54N/AN/A1,3521,63630,28024,524
2008-09-30$5.54$5.6376.4%21.9%112.3%61.4%75.5%7.1%-12.0%31.2K481.3K-39.0K0.3231.24N/AN/A71622830,84825,080