IBKR Options History — March 2009

In March 2009, IBKR traded between $3.22 and $4.25. ATM implied volatility averaged 56.0%, placing in the 24.8% IV rank vs the trailing year. The 30-day expected move averaged 16.1%. IV traded below realized volatility by 2.2% (HV 20d: 58.2%). Max pain ranged from $3.75 to $5.63. Net GEX was positive for 9 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 1.24.

Notable Days

  • 2009-03-23: Highest Volume — 16,616 contracts
  • 2009-03-30: Largest IV spike — 15.7% change
  • 2009-03-09: Highest IV Rank — 38.4%
  • 2009-03-09: Largest Expected Move — 19.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.73$3.22$4.25$3.50$4.03
Max Pain$3.92$3.75$5.63$5.63$3.75
ATM IV56.0%45.5%68.5%60.1%54.4%
Expected Move16.1%13.0%19.1%17.2%15.6%
HV 20d58.2%44.7%71.4%44.9%71.4%
HV 60d64.8%60.7%67.6%63.3%67.0%
IV Rank24.8%13.4%38.4%29.3%23.0%
IV Percentile39.9%13.9%75.0%49.6%38.1%
Term Structure3.9%0.4%9.0%2.8%6.4%
VWIV56.1%48.2%66.5%61.0%51.4%
Skew 25d7.2%1.3%13.1%2.0%7.4%
Skew 10d10.8%-12.8%34.8%-9.8%15.2%
Call IV 25d53.2%36.7%62.8%62.8%56.7%
Put IV 25d60.4%49.8%70.9%64.8%64.1%
Bid-Ask Spread %19.5310.7526.8816.4216.46
Gamma HHI0.510.230.830.620.35
Net GEX-168.2K-595.4K132.9K-438.5K111.5K
Net DEX5.3M-6.4M17.2M17.2M-3.4M
Net VEX-53.0K-67.5K-47.2K-50.9K-67.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.240.077.140.860.41
Total Volume6,595.27366016,6163,520660
Total OI143,647.45580,900182,996161,000117,052

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-03-02$3.50$5.6360.1%17.2%44.9%29.3%61.0%2.0%2.8%-438.5K17.2M-50.9K0.8616.42N/AN/A1,8921,62840,596120,404
2009-03-03$3.49$4.3858.6%16.8%44.7%27.7%63.6%10.9%2.8%-447.6K12.8M-50.9K1.0310.75N/AN/A56858442,144108,976
2009-03-04$3.50$4.3855.8%16.0%44.7%24.7%58.9%8.9%4.2%-453.3K12.5M-49.5K1.1511.84N/AN/A1,9962,29242,328108,676
2009-03-05$3.34$4.3863.8%18.3%47.0%33.3%63.7%1.3%1.9%-523.9K13.5M-48.7K7.1413.41N/AN/A1,1928,51243,856106,696
2009-03-06$3.34$3.7563.1%18.4%45.4%32.5%63.8%7.2%2.1%-554.5K13.8M-48.5K0.7320.18N/AN/A3,0882,25644,368107,188
2009-03-09$3.22$3.7568.5%19.1%45.2%38.4%66.5%9.7%0.4%-595.4K15.7M-47.4K0.5517.95N/AN/A6,8883,77646,612107,656
2009-03-10$3.60$3.7558.2%16.8%62.6%27.3%59.5%6.6%2.5%-356.1K8.3M-52.7K0.5526.28N/AN/A5,0202,78452,720108,936
2009-03-11$3.55$3.7557.1%16.9%56.9%26.2%58.2%6.5%1.2%-367.7K8.7M-52.7K1.8326.64N/AN/A1,0121,84855,008109,948
2009-03-12$3.65$3.7557.9%16.6%57.8%26.9%59.5%8.4%1.7%-252.7K6.6M-50.3K0.0726.76N/AN/A2,78020455,460109,652
2009-03-13$3.69$3.7556.8%16.3%57.3%25.6%56.8%8.6%3.3%-153.5K5.4M-49.8K1.3017.59N/AN/A2,8403,69656,656109,532
2009-03-16$3.60$3.7557.2%16.4%58.0%26.0%55.7%5.5%2.6%-221.1K7.3M-48.1K0.2417.57N/AN/A4,5081,10058,400111,988
2009-03-17$3.79$3.7554.0%15.5%58.5%22.5%51.7%7.3%3.4%37.4K3.4M-48.2K1.6515.87N/AN/A2,7244,48461,560112,068
2009-03-18$3.85$3.7553.7%15.4%58.5%22.2%49.1%10.6%3.6%89.8K1.8M-48.4K1.1922.38N/AN/A70884062,732111,304
2009-03-19$3.73$3.7554.0%15.5%59.8%22.6%53.8%9.0%3.3%132.9K4.3M-47.2K4.9221.14N/AN/A1,8369,03263,052111,528
2009-03-20$3.63$3.7553.5%15.3%60.7%22.0%52.4%7.1%4.9%19.3K7.5M-49.4K0.3724.85N/AN/A1,45254464,024118,972
2009-03-23$3.98$3.7553.1%15.2%67.9%21.6%51.1%10.2%4.9%-64.2K138.8K-51.0K0.1915.71N/AN/A13,9522,66432,51648,384
2009-03-24$3.90$3.7554.2%15.5%65.9%22.8%52.7%5.6%4.3%-30.7K-587.5K-57.1K0.3725.61N/AN/A9,2843,47640,63650,460
2009-03-25$4.12$3.7548.2%13.8%67.9%16.3%52.2%4.5%6.0%70.6K-4.0M-60.8K0.6820.69N/AN/A4,9923,37647,09251,056
2009-03-26$4.22$3.7545.5%13.0%68.0%13.4%48.2%13.1%9.0%98.7K-5.4M-61.6K0.7216.09N/AN/A3,8042,73648,76452,628
2009-03-27$4.25$3.7548.2%13.8%66.4%16.3%48.5%4.5%8.8%117.3K-6.4M-62.7K0.2326.88N/AN/A7,9321,83651,06054,756
2009-03-30$3.98$3.7555.8%16.0%71.4%24.5%55.4%2.9%6.7%81.3K-2.2M-63.2K1.0218.54N/AN/A4,1084,19256,46056,340
2009-03-31$4.03$3.7554.4%15.6%71.4%23.0%51.4%7.4%6.4%111.5K-3.4M-67.5K0.4116.46N/AN/A46819258,15658,896