IBKR Options History — February 2009

In February 2009, IBKR traded between $3.51 and $3.98. ATM implied volatility averaged 62.5%, placing in the 34.5% IV rank vs the trailing year. The 30-day expected move averaged 18.0%. IV traded below realized volatility by 9.0% (HV 20d: 71.5%). Max pain ranged from $4.38 to $5.63. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 7 of 19 days. Put/call ratio averaged 4.07.

Notable Days

  • 2009-02-20: Highest Volume — 15,364 contracts
  • 2009-02-17: Largest IV spike — 8.9% change
  • 2009-02-02: Highest IV Rank — 38.8%
  • 2009-02-02: Largest Expected Move — 19.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.72$3.51$3.98$3.76$3.51
Max Pain$5.36$4.38$5.63$4.38$5.63
ATM IV62.5%58.7%66.7%66.7%62.3%
Expected Move18.0%17.2%19.1%19.1%17.9%
HV 20d71.5%46.1%82.4%80.3%46.1%
HV 60d77.9%63.4%86.9%86.8%63.4%
IV Rank34.5%30.5%38.8%38.8%34.2%
IV Percentile59.8%50.4%72.2%72.2%58.7%
Term Structure-0.4%-2.9%2.1%-2.2%0.5%
VWIV63.5%49.3%69.1%60.5%62.3%
Skew 25d6.6%0.4%8.3%4.8%3.4%
Skew 10d7.8%-9.7%29.2%-1.2%-7.6%
Call IV 25d60.2%56.3%63.9%62.3%63.1%
Put IV 25d66.8%63.4%70.2%67.1%66.5%
Bid-Ask Spread %15.9610.2122.1720.1114.87
Gamma HHI0.440.340.620.410.62
Net GEX-360.7K-449.8K-259.8K-307.0K-447.5K
Net DEX15.8M12.8M18.2M16.0M17.3M
Net VEX-53.7K-59.5K-46.8K-59.5K-54.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.070.3219.330.900.78
Total Volume4,226.73713215,3642,1041,352
Total OI166,894.526149,144176,304165,792163,980

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-02-02$3.76$4.3866.7%19.1%80.3%38.8%60.5%4.8%-2.2%-307.0K16.0M-59.5K0.9020.11N/AN/A1,10899652,760113,032
2009-02-03$3.78$4.3864.5%18.5%78.7%36.5%67.1%7.9%-0.3%-308.3K15.4M-59.3K10.6922.17N/AN/A5255653,328113,000
2009-02-04$3.77$4.3863.7%18.3%77.2%35.7%61.9%0.4%0.7%-315.3K15.7M-58.1K0.7818.48N/AN/A36828853,312113,128
2009-02-05$3.87$4.3861.2%17.5%77.5%33.0%60.8%7.9%1.4%-299.0K14.3M-57.3K1.5318.68N/AN/A1,0361,58453,380113,352
2009-02-06$3.96$5.6360.8%17.5%77.8%32.7%49.3%7.1%0.6%-267.3K13.2M-55.7K2.2618.86N/AN/A5801,31253,832113,024
2009-02-09$3.98$5.6363.5%18.1%77.9%35.5%61.5%7.8%-0.1%-259.8K12.8M-53.6K0.3218.97N/AN/A38012054,120112,728
2009-02-10$3.69$5.6358.7%17.9%81.8%30.5%61.2%4.3%-0.2%-365.6K16.5M-50.5K0.5915.20N/AN/A7,5764,44054,252112,476
2009-02-11$3.74$5.6359.3%17.7%81.5%31.1%66.4%8.2%-1.0%-336.4K16.1M-57.4K0.7119.57N/AN/A1,29691659,428115,536
2009-02-12$3.82$5.6360.8%17.4%82.1%32.7%63.6%7.7%-0.6%-335.1K15.0M-55.1K0.5711.70N/AN/A5,1522,94059,568115,836
2009-02-13$3.84$5.6360.0%17.2%81.2%31.8%58.6%7.9%0.2%-373.1K14.6M-53.9K1.1118.51N/AN/A1,6121,78458,800116,384
2009-02-17$3.65$5.6365.3%18.7%82.4%37.3%69.1%8.0%-2.9%-427.9K17.6M-48.9K2.8211.74N/AN/A1,0282,90459,008116,016
2009-02-18$3.62$5.6364.7%18.5%79.0%36.7%66.9%5.0%-1.7%-440.5K17.5M-49.5K13.4212.56N/AN/A2483,32859,832116,472
2009-02-19$3.63$5.6364.3%18.4%70.5%36.3%66.2%7.8%-1.8%-449.1K17.7M-48.3K0.7411.35N/AN/A765659,988116,296
2009-02-20$3.61$5.6363.4%18.2%56.6%35.3%65.3%6.3%-0.6%-449.8K18.2M-46.8K12.8714.45N/AN/A1,10814,25659,972116,304
2009-02-23$3.51$5.6363.9%18.3%57.1%35.9%66.8%5.4%-0.9%-394.0K16.3M-52.6K1.0710.21N/AN/A44848037,844111,300
2009-02-24$3.71$5.6360.0%17.2%60.3%31.9%67.6%8.3%2.1%-333.7K15.2M-52.5K3.0112.09N/AN/A1,4484,36038,132111,492
2009-02-25$3.65$5.6363.5%18.2%60.5%35.5%68.1%8.3%-2.3%-361.8K15.3M-51.8K19.3316.88N/AN/A64412,44839,252114,696
2009-02-26$3.63$5.6361.4%17.6%50.4%33.3%62.8%8.3%0.6%-382.5K15.6M-54.3K3.7816.92N/AN/A4241,60439,720119,416
2009-02-27$3.51$5.6362.3%17.9%46.1%34.2%62.3%3.4%0.5%-447.5K17.3M-54.4K0.7814.87N/AN/A76059239,900124,080