IBKR Options History — December 2008

In December 2008, IBKR traded between $3.90 and $4.62. ATM implied volatility averaged 69.3%, placing in the 41.5% IV rank vs the trailing year. The 30-day expected move averaged 20.1%. IV traded below realized volatility by 25.2% (HV 20d: 94.5%). Max pain ranged from $4.38 to $5.00. Net GEX was positive for 2 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 8.66.

Notable Days

  • 2008-12-04: Highest Volume — 51,340 contracts
  • 2008-12-30: Largest IV drop — 19.2% change
  • 2008-12-04: Highest IV Rank — 63.1%
  • 2008-12-04: Largest Expected Move — 25.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.31$3.90$4.62$4.29$4.47
Max Pain$4.49$4.38$5.00$5.00$4.38
ATM IV69.3%53.1%90.2%79.8%53.1%
Expected Move20.1%15.2%25.9%22.9%15.2%
HV 20d94.5%58.5%118.7%113.9%61.2%
HV 60d100.8%92.3%108.1%107.6%93.5%
IV Rank41.5%24.8%63.1%52.4%24.8%
IV Percentile77.4%50.4%96.8%92.1%50.4%
Term Structure3.1%-2.8%13.4%3.0%13.4%
VWIV68.6%38.4%88.2%78.9%53.1%
Skew 25d13.3%4.0%26.9%22.3%4.0%
Skew 10d27.6%7.4%70.3%39.9%8.0%
Call IV 25d64.5%53.5%77.6%73.9%53.5%
Put IV 25d77.8%57.4%103.9%96.3%57.4%
Bid-Ask Spread %26.0115.4341.7834.5327.74
Gamma HHI0.250.150.380.160.20
Net GEX-92.4K-192.7K220.1K-30.9K-50.6K
Net DEX9.2M5.5M12.7M5.5M5.5M
Net VEX-57.4K-69.2K-33.1K-38.4K-60.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio8.660.07174.820.460.40
Total Volume5,783.09172851,3401,4084,656
Total OI127,288.18288,728159,28488,728118,128

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-12-01$4.29$5.0079.8%22.9%113.9%52.4%78.9%22.3%3.0%-30.9K5.5M-38.4K0.4634.53N/AN/A96444444,92843,800
2008-12-02$4.20$5.0079.2%22.7%113.0%51.8%76.7%25.3%3.6%-25.2K5.8M-36.5K0.9326.83N/AN/A1,3081,21245,83243,304
2008-12-03$4.15$5.0081.5%23.4%112.6%54.2%83.4%26.9%1.7%-22.8K6.1M-35.1K0.2515.43N/AN/A1,68442046,81643,152
2008-12-04$4.06$5.0090.2%25.9%112.6%63.1%88.2%18.9%-0.7%-33.4K6.7M-33.1K174.8222.01N/AN/A29251,04845,99242,996
2008-12-05$4.30$4.3873.2%23.1%115.4%45.6%82.0%15.2%-2.8%-158.9K12.3M-65.9K1.3718.16N/AN/A1,6362,24846,17691,348
2008-12-08$4.60$4.3866.0%21.0%118.7%38.1%80.8%14.8%0.1%-147.8K9.8M-65.7K2.2430.67N/AN/A2,6045,84047,28892,932
2008-12-09$4.54$4.3867.5%20.6%116.7%39.7%71.2%10.4%-0.7%-153.9K10.6M-69.2K0.3834.08N/AN/A2,7281,04848,87697,824
2008-12-10$4.62$4.3869.9%19.4%116.3%42.2%66.7%12.3%2.7%-127.9K9.7M-69.0K0.2338.06N/AN/A1,08024449,80098,284
2008-12-11$4.52$4.3872.4%20.8%113.6%44.7%69.3%11.5%-0.6%-134.1K10.4M-67.7K0.6420.94N/AN/A1,6641,07250,63298,420
2008-12-12$4.55$4.3869.1%19.8%107.3%41.3%69.3%20.2%2.0%-110.7K10.8M-65.7K0.7841.78N/AN/A72456850,82098,456
2008-12-15$4.30$4.3870.2%20.1%108.0%42.4%77.2%13.6%0.4%-142.2K12.7M-62.5K1.4018.22N/AN/A1,0761,50451,82098,872
2008-12-16$4.56$4.3870.1%20.1%108.7%42.3%63.4%15.7%0.9%-192.7K8.9M-61.9K0.0921.98N/AN/A2,86826451,75297,612
2008-12-17$4.53$4.3868.0%19.5%104.6%40.1%61.9%11.9%0.2%-58.5K9.2M-61.6K0.1423.73N/AN/A6,62491254,11297,636
2008-12-18$4.44$4.3866.9%19.2%101.4%39.0%64.2%7.1%2.5%17.7K9.1M-61.4K0.1525.21N/AN/A2,41635259,97697,620
2008-12-19$4.33$4.3861.8%17.7%79.1%33.8%63.7%10.5%5.6%220.1K11.4M-60.9K0.8022.93N/AN/A2,9162,32061,97697,308
2008-12-22$4.21$4.3860.2%17.3%69.9%32.1%65.2%5.9%5.8%-150.4K9.5M-58.8K1.9926.66N/AN/A30059628,07680,952
2008-12-23$3.96$4.3866.6%19.1%64.8%38.8%66.0%6.4%4.5%-179.7K10.7M-55.6K0.2120.97N/AN/A2,76858828,17681,376
2008-12-24$3.90$4.3868.3%19.6%64.0%40.5%38.4%10.5%3.0%-174.1K10.8M-57.2K0.0716.94N/AN/A8,86858430,53281,796
2008-12-26$3.96$4.3864.6%18.5%58.7%36.7%62.5%9.3%8.3%-156.4K10.0M-58.8K0.4326.53N/AN/A2,8201,20834,30082,044
2008-12-29$4.01$4.3869.2%19.8%58.5%41.4%69.0%8.5%3.8%-132.8K9.6M-58.0K2.5728.24N/AN/A20452436,59282,448
2008-12-30$4.27$4.3855.9%16.0%59.7%27.7%57.7%11.4%12.3%-87.4K7.6M-59.5K0.2530.66N/AN/A3,22480836,67282,888
2008-12-31$4.47$4.3853.1%15.2%61.2%24.8%53.1%4.0%13.4%-50.6K5.5M-60.9K0.4027.74N/AN/A3,3361,32035,13682,992