IBKR Options History — January 2009

In January 2009, IBKR traded between $3.82 and $4.85. ATM implied volatility averaged 62.3%, placing in the 34.3% IV rank vs the trailing year. The 30-day expected move averaged 18.5%. IV traded below realized volatility by 2.4% (HV 20d: 64.7%). Max pain ranged from $4.38 to $4.38. Net GEX was positive for 4 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 1.16.

Notable Days

  • 2009-01-22: Highest Volume — 27,628 contracts
  • 2009-01-28: Largest IV drop — 20.9% change
  • 2009-01-20: Highest IV Rank — 51.3%
  • 2009-01-20: Largest Expected Move — 22.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.34$3.82$4.85$4.54$3.82
Max Pain$4.38$4.38$4.38$4.38$4.38
ATM IV62.3%48.9%78.8%55.1%62.9%
Expected Move18.5%14.7%22.6%15.8%18.0%
HV 20d64.7%50.5%82.2%61.1%80.7%
HV 60d87.5%84.3%93.6%93.6%86.8%
IV Rank34.3%20.5%51.3%26.8%34.9%
IV Percentile64.6%42.1%89.7%52.8%63.1%
Term Structure0.5%-6.8%9.6%9.6%1.5%
VWIV64.4%50.9%77.8%52.1%64.4%
Skew 25d7.6%3.7%10.5%9.7%6.6%
Skew 10d14.1%3.2%26.2%18.9%4.2%
Call IV 25d61.1%50.0%73.5%50.3%60.3%
Put IV 25d68.7%59.5%80.6%60.0%66.9%
Bid-Ask Spread %23.4815.0035.3233.3125.87
Gamma HHI0.280.200.390.200.39
Net GEX-105.3K-296.2K56.1K-9.5K-294.2K
Net DEX7.8M880.6K15.1M4.6M15.1M
Net VEX-58.8K-63.2K-54.8K-58.9K-61.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.160.122.580.232.50
Total Volume6,824.451627,6281,5441,776
Total OI137,772.2116,464164,884121,112164,884

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-01-02$4.54$4.3855.1%15.8%61.1%26.8%52.1%9.7%9.6%-9.5K4.6M-58.9K0.2333.31N/AN/A1,25229237,43683,676
2009-01-05$4.71$4.3848.9%17.1%61.2%20.5%61.3%10.5%0.9%51.3K2.7M-58.0K1.8217.83N/AN/A1,5722,86438,08483,840
2009-01-06$4.85$4.3851.9%17.2%59.1%23.6%63.4%7.5%-0.3%56.1K880.6K-61.4K2.3124.36N/AN/A4,43610,24038,96486,152
2009-01-07$4.64$4.3858.7%18.8%56.8%30.6%62.4%5.9%0.1%45.3K3.8M-62.5K0.5421.04N/AN/A1,9481,04840,78094,400
2009-01-08$4.50$4.3863.9%18.5%57.8%36.0%68.1%8.7%1.0%-24.1K5.8M-63.2K2.3517.21N/AN/A7521,76442,27695,340
2009-01-09$4.45$4.3856.3%18.5%57.4%28.1%64.3%7.5%0.3%-32.5K6.2M-59.9K1.4220.60N/AN/A23633642,50896,692
2009-01-12$4.42$4.3864.7%18.8%56.9%36.8%71.0%7.0%-0.6%-34.4K6.6M-59.0K2.5822.43N/AN/A5681,46842,49696,760
2009-01-13$4.50$4.3861.5%18.6%57.3%33.5%63.9%8.6%0.3%2.9K5.7M-57.7K0.2817.62N/AN/A99227642,58897,448
2009-01-14$4.39$4.3856.8%18.9%54.1%28.7%65.5%7.1%-0.6%-737.1M-57.2K0.1721.90N/AN/A1,33622443,06897,616
2009-01-15$4.52$4.3865.7%18.8%50.5%37.8%65.0%9.8%0.4%-2.1K5.2M-56.5K0.5327.11N/AN/A7,9804,21643,71697,836
2009-01-16$4.53$4.3865.9%18.9%50.5%38.1%66.4%8.2%-0.5%-20.2K2.2M-58.1K0.8726.86N/AN/A27624049,636100,248
2009-01-20$4.21$4.3878.8%22.6%56.5%51.3%77.8%7.1%-6.8%-186.3K9.4M-55.0K0.7621.14N/AN/A2,8562,16428,87287,592
2009-01-21$4.60$4.3869.5%19.9%64.4%41.7%68.6%8.2%-0.2%-159.0K6.7M-55.6K0.4623.02N/AN/A5,6682,58429,88489,220
2009-01-22$4.06$4.3872.0%20.6%78.2%44.3%68.8%8.7%-1.3%-190.4K11.1M-54.8K1.3715.00N/AN/A11,64815,98033,85690,528
2009-01-23$4.02$4.3869.1%19.8%75.3%41.4%65.9%7.4%-2.2%-269.0K12.8M-56.5K1.0319.01N/AN/A4,1924,31634,560101,120
2009-01-26$3.90$4.3865.7%18.8%75.9%37.8%65.2%3.7%0.9%-296.2K14.2M-55.9K0.3323.06N/AN/A14,1564,64437,932104,052
2009-01-27$3.88$4.3865.0%18.6%75.7%37.0%65.1%4.5%0.9%-283.8K14.0M-59.9K1.7329.03N/AN/A2,0683,56843,564106,472
2009-01-28$4.22$4.3851.4%14.7%81.8%23.0%50.9%9.5%5.3%-209.0K9.6M-61.9K0.1227.79N/AN/A6,74880445,996107,660
2009-01-29$3.95$4.3861.8%17.7%82.2%33.7%57.7%6.6%2.0%-252.1K13.0M-62.0K1.7735.32N/AN/A3,2485,75249,504108,188
2009-01-30$3.82$4.3862.9%18.0%80.7%34.9%64.4%6.6%1.5%-294.2K15.1M-61.9K2.5025.87N/AN/A5081,26852,504112,380