IBKR Options History — October 2008 In October 2008, IBKR traded between $4.55 and $5.89. ATM implied volatility averaged 75.3%, placing in the 57.3% IV rank vs the trailing year. The 30-day expected move averaged 21.3%. IV traded below realized volatility by 33.9% (HV 20d: 109.1%). Max pain ranged from $5.00 to $5.63. Net GEX was positive for 4 of 23 trading days. Term structure was in contango for 2 of 23 days. Put/call ratio averaged 1.61.
Notable Days 2008-10-28 : Highest Volume — 21,620 contracts2008-10-15 : Largest IV spike — 37.5% change2008-10-09 : Highest IV Rank — 80.4%2008-10-10 : Largest Expected Move — 26.0%Monthly Statistics Metric Avg Min Max Open Close Price $5.31 $4.55 $5.89 $5.72 $5.34 Max Pain $5.46 $5.00 $5.63 $5.63 $5.63 ATM IV 75.3% 60.7% 94.2% 73.2% 63.1% Expected Move 21.3% 18.1% 26.0% 21.0% 18.1% HV 20d 109.1% 96.5% 122.7% 113.3% 100.6% HV 60d 87.8% 83.5% 93.1% 87.3% 89.3% IV Rank 57.3% 39.1% 80.4% 57.7% 42.0% IV Percentile 92.9% 80.2% 98.8% 96.0% 80.2% Term Structure -3.7% -12.8% 4.9% -7.1% 4.9% VWIV 75.8% 64.8% 94.1% 71.7% 68.6% Skew 25d 11.4% 4.4% 21.8% 16.4% 15.2% Skew 10d 21.8% 3.5% 47.0% 47.0% 31.8% Call IV 25d 70.1% 61.0% 88.2% 64.4% 62.9% Put IV 25d 81.5% 70.5% 96.4% 80.9% 78.1% Bid-Ask Spread % 32.60 13.38 52.90 24.18 27.44 Gamma HHI 0.32 0.21 0.59 0.21 0.28 Net GEX -53.9K -190.7K 134.2K 39.6K -71.4K Net DEX 4.0M -153.5K 7.6M 386.3K 4.2M Net VEX -39.2K -53.9K -32.9K -39.8K -53.9K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.61 0.20 12.29 0.49 0.53 Total Volume 4,530.783 1,284 21,620 2,700 1,284 Total OI 66,990.435 49,660 85,444 56,104 85,444
Daily Data (23 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 2008-10-01 $5.72 $5.63 73.2% 21.0% 113.3% 57.7% 71.7% 16.4% -7.1% 39.6K 386.3K -39.8K 0.49 24.18 N/A N/A 1,808 892 31,032 25,072 2008-10-02 $5.63 $5.63 79.2% 22.7% 112.5% 64.6% 87.1% 21.1% -10.9% 28.4K 1.3M -38.4K 12.29 44.00 N/A N/A 676 8,308 31,456 25,564 2008-10-03 $5.36 $5.63 73.5% 21.1% 112.4% 54.9% 75.5% 11.6% -6.8% -52.4K 3.4M -40.8K 0.80 52.90 N/A N/A 724 580 31,568 32,744 2008-10-06 $5.38 $5.63 78.5% 21.7% 112.1% 61.1% 74.3% 11.7% -5.5% -61.4K 3.8M -39.4K 0.26 20.77 N/A N/A 1,916 492 31,840 33,260 2008-10-07 $5.38 $5.63 72.9% 20.4% 109.4% 54.1% 69.8% 8.1% -0.6% -69.5K 3.8M -38.6K 0.26 34.05 N/A N/A 1,176 300 31,708 33,408 2008-10-08 $5.06 $5.63 83.5% 21.6% 111.2% 67.2% 75.6% 4.4% -0.2% -100.8K 5.9M -35.5K 1.25 29.47 N/A N/A 700 876 32,420 33,456 2008-10-09 $4.79 $5.63 94.2% 24.0% 111.8% 80.4% 85.0% 4.9% -4.4% -98.4K 7.3M -32.9K 0.65 47.30 N/A N/A 1,940 1,252 32,516 33,600 2008-10-10 $5.14 $5.63 83.6% 26.0% 114.8% 67.3% 91.2% 14.5% -9.6% -89.1K 5.1M -35.9K 1.49 45.06 N/A N/A 2,084 3,104 33,076 33,492 2008-10-13 $5.79 $5.00 83.2% 20.7% 121.5% 66.8% 71.6% 14.9% -4.7% 24.7K -153.5K -38.2K 0.98 39.24 N/A N/A 3,944 3,856 34,160 34,772 2008-10-14 $5.49 $5.00 60.7% 20.2% 122.7% 39.1% 74.8% 7.1% -1.5% -16.5K 2.2M -37.8K 1.21 40.56 N/A N/A 2,356 2,852 35,188 37,772 2008-10-15 $5.01 $5.00 83.5% 21.7% 111.9% 67.2% 76.9% 6.6% -0.8% -190.7K 6.9M -33.8K 0.52 37.63 N/A N/A 1,052 552 35,844 38,508 2008-10-16 $5.32 $5.00 72.0% 20.6% 113.7% 53.0% 94.1% 21.8% -3.4% -100.1K 4.7M -34.6K 2.52 27.53 N/A N/A 1,064 2,676 36,292 38,264 2008-10-17 $5.51 $5.00 70.8% 20.3% 107.2% 51.5% 71.9% 11.5% -0.2% 134.2K 2.5M -35.1K 0.50 28.40 N/A N/A 2,084 1,040 36,372 38,392 2008-10-20 $5.85 $5.00 64.8% 18.6% 109.1% 44.0% 64.9% 9.4% -1.1% -10.0K 725.3K -36.0K 0.97 29.61 N/A N/A 1,924 1,872 23,844 25,816 2008-10-21 $5.89 $5.63 64.8% 18.6% 107.2% 44.1% 64.8% 8.5% -1.4% -9.2K 338.6K -37.0K 0.44 39.68 N/A N/A 2,012 876 25,044 27,104 2008-10-22 $5.48 $5.63 65.3% 18.7% 110.8% 44.7% 68.9% 10.5% -5.1% -54.3K 3.0M -33.6K 3.57 39.32 N/A N/A 1,468 5,236 25,532 27,908 2008-10-23 $5.40 $5.63 81.0% 23.2% 110.9% 64.1% 82.7% 9.8% -12.8% -49.6K 3.1M -45.0K 1.74 25.40 N/A N/A 2,260 3,924 29,652 32,480 2008-10-24 $5.00 $5.63 75.7% 21.7% 101.7% 57.6% 76.6% 5.0% -6.6% -83.3K 5.5M -40.9K 1.32 21.76 N/A N/A 1,944 2,572 30,800 33,908 2008-10-27 $4.55 $5.63 85.4% 24.5% 96.5% 69.5% 82.5% 8.1% -5.8% -95.2K 7.6M -33.2K 1.54 13.38 N/A N/A 1,752 2,696 30,944 34,956 2008-10-28 $4.94 $5.63 75.2% 21.6% 100.2% 56.9% 71.3% 16.3% -1.2% -98.7K 6.3M -37.6K 3.23 28.78 N/A N/A 5,116 16,504 31,132 35,480 2008-10-29 $4.94 $5.63 73.0% 20.9% 99.2% 54.2% 71.7% 7.3% 0.7% -115.5K 7.0M -51.6K 0.20 27.61 N/A N/A 2,176 432 33,976 50,084 2008-10-30 $5.06 $5.63 74.4% 21.3% 99.7% 55.9% 71.5% 16.8% -1.8% -101.5K 6.2M -52.8K 0.23 25.72 N/A N/A 1,512 344 34,928 49,972 2008-10-31 $5.34 $5.63 63.1% 18.1% 100.6% 42.0% 68.6% 15.2% 4.9% -71.4K 4.2M -53.9K 0.53 27.44 N/A N/A 840 444 35,464 49,980
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