IBKR Options History — November 2008

In November 2008, IBKR traded between $3.27 and $5.57. ATM implied volatility averaged 79.7%, placing in the 58.3% IV rank vs the trailing year. The 30-day expected move averaged 22.6%. IV traded below realized volatility by 18.1% (HV 20d: 97.8%). Max pain ranged from $5.00 to $6.25. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 7 of 19 days. Put/call ratio averaged 1.12.

Notable Days

  • 2008-11-18: Highest Volume — 27,072 contracts
  • 2008-11-18: Largest IV spike — 29.2% change
  • 2008-11-20: Highest IV Rank — 100.0%
  • 2008-11-20: Largest Expected Move — 36.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.63$3.27$5.57$5.50$4.56
Max Pain$5.69$5.00$6.25$5.63$5.00
ATM IV79.7%57.8%125.9%61.4%81.9%
Expected Move22.6%16.6%36.1%17.6%23.5%
HV 20d97.8%82.9%115.6%101.1%114.7%
HV 60d95.3%88.2%107.5%89.1%107.3%
IV Rank58.3%35.5%100.0%39.9%54.6%
IV Percentile88.8%71.4%100.0%79.0%93.3%
Term Structure-4.1%-31.4%5.3%-0.3%1.7%
VWIV77.0%58.8%114.5%61.0%80.3%
Skew 25d16.4%7.3%31.4%17.2%22.1%
Skew 10d31.1%6.5%75.6%31.9%54.7%
Call IV 25d72.3%56.4%103.4%56.4%70.7%
Put IV 25d88.7%67.3%134.8%73.6%92.8%
Bid-Ask Spread %23.6113.7338.2937.6936.12
Gamma HHI0.280.150.570.290.15
Net GEX-105.2K-241.3K-23.9K-58.1K-30.8K
Net DEX7.8M2.2M14.8M3.1M4.1M
Net VEX-41.9K-52.7K-27.0K-52.0K-41.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.120.143.970.520.55
Total Volume5,683.15859627,0724,260732
Total OI93,677.26383,684115,40485,66088,468

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-11-03$5.50$5.6361.4%17.6%101.1%39.9%61.0%17.2%-0.3%-58.1K3.1M-52.0K0.5237.69N/AN/A2,8041,45635,55650,104
2008-11-04$5.57$5.6359.7%17.1%101.2%37.8%59.5%15.7%0.9%-26.4K2.2M-52.7K0.3832.84N/AN/A1,60060437,17650,196
2008-11-05$5.49$5.6357.8%16.6%98.6%35.5%63.1%10.5%4.0%-23.9K2.2M-52.1K0.7131.84N/AN/A2,0601,46437,76450,392
2008-11-06$5.35$5.6361.1%17.5%97.0%39.5%68.0%15.7%2.6%-47.1K3.5M-52.1K3.0338.29N/AN/A24875238,82450,896
2008-11-07$5.34$6.2559.2%17.1%93.9%37.2%58.8%13.2%1.9%-57.3K4.2M-50.6K0.3721.87N/AN/A43616038,96451,016
2008-11-10$5.00$6.2572.6%19.0%86.1%53.7%64.5%9.0%-0.6%-120.3K7.0M-44.9K0.6318.40N/AN/A2,7241,72839,21251,028
2008-11-11$4.81$6.2569.4%19.4%85.1%49.8%66.6%9.5%-2.7%-171.2K9.2M-41.5K1.4516.46N/AN/A1,6682,42039,24052,208
2008-11-12$4.48$6.2581.9%20.8%82.9%65.2%68.3%11.1%-3.5%-180.4K11.6M-36.8K0.9920.20N/AN/A3,1163,08838,82053,452
2008-11-13$4.96$6.2571.2%20.4%88.3%52.0%69.0%7.3%-3.5%-169.2K8.1M-45.5K0.5515.85N/AN/A2,3081,26440,42054,272
2008-11-14$4.75$6.2569.5%19.9%88.2%49.9%68.1%9.5%-1.8%-195.2K9.8M-41.5K0.3318.22N/AN/A2,16470841,22454,072
2008-11-17$4.50$6.2578.3%22.4%85.8%60.7%73.8%11.4%-5.2%-177.0K11.6M-37.3K0.6320.60N/AN/A2,0761,31241,81254,140
2008-11-18$4.15$5.63101.1%29.0%88.6%88.9%109.3%23.0%-13.1%-124.4K12.0M-36.1K3.9718.74N/AN/A5,44821,62443,37654,828
2008-11-19$3.87$5.63104.1%29.9%88.3%92.7%93.7%9.8%-15.1%-161.1K13.7M-34.9K1.6620.42N/AN/A7,26012,04046,72862,664
2008-11-20$3.27$5.63125.9%36.1%103.2%100.0%114.5%31.4%-31.4%-50.8K14.8M-27.0K1.1113.73N/AN/A5,4726,10052,00062,732
2008-11-21$3.69$5.00107.0%30.7%113.0%80.5%99.6%27.8%-15.7%-241.3K12.7M-34.4K3.3618.37N/AN/A4361,46455,60859,796
2008-11-24$4.07$5.0089.5%25.7%115.6%62.4%92.8%21.9%-2.7%-49.8K6.6M-37.2K0.5419.44N/AN/A2,0401,10040,52043,164
2008-11-25$4.18$5.0084.2%24.1%111.6%57.0%80.9%23.3%1.0%-57.6K6.5M-37.4K0.3126.14N/AN/A2,26469640,30443,664
2008-11-26$4.47$5.0078.6%22.5%114.8%51.1%71.8%22.6%5.3%-56.0K5.4M-40.3K0.1423.31N/AN/A4,53261241,44443,784
2008-11-28$4.56$5.0081.9%23.5%114.7%54.6%80.3%22.1%1.7%-30.8K4.1M-41.5K0.5536.12N/AN/A47226044,56843,900