IBKR Options History — April 2009

In April 2009, IBKR traded between $3.47 and $4.36. ATM implied volatility averaged 53.2%, placing in the 21.7% IV rank vs the trailing year. The 30-day expected move averaged 15.7%. IV traded below realized volatility by 16.1% (HV 20d: 69.3%). Max pain ranged from $3.75 to $4.38. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 0.84.

Notable Days

  • 2009-04-24: Highest Volume — 91,308 contracts
  • 2009-04-24: Largest IV drop — 26.3% change
  • 2009-04-23: Highest IV Rank — 36.2%
  • 2009-04-23: Largest Expected Move — 19.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.96$3.47$4.36$4.04$3.69
Max Pain$4.05$3.75$4.38$3.75$3.75
ATM IV53.2%40.2%66.6%54.0%40.2%
Expected Move15.7%11.5%19.1%15.5%11.5%
HV 20d69.3%60.4%81.7%71.4%81.4%
HV 60d66.2%61.9%69.1%66.5%67.0%
IV Rank21.7%7.7%36.2%22.5%7.7%
IV Percentile36.2%7.5%74.6%36.1%7.5%
Term Structure-1.7%-10.0%8.7%8.4%1.2%
VWIV54.3%39.9%67.7%49.1%39.9%
Skew 25d6.5%0.9%9.8%5.4%0.9%
Skew 10d11.1%-7.5%22.4%2.6%3.4%
Call IV 25d51.5%33.8%66.9%49.0%34.5%
Put IV 25d57.9%35.4%72.2%54.5%35.4%
Bid-Ask Spread %18.297.0728.5214.759.16
Gamma HHI0.360.260.840.360.26
Net GEX175.4K-145.7K2.3M115.8K40.7K
Net DEX-1.4M-11.6M9.4M-3.5M2.7M
Net VEX-71.4K-95.6K-56.0K-67.1K-95.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.840.094.580.200.38
Total Volume12,219.42934091,3083401,528
Total OI140,329.333117,256202,328117,280202,328

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-04-01$4.04$3.7554.0%15.5%71.4%22.5%49.1%5.4%8.4%115.8K-3.5M-67.1K0.2014.75N/AN/A2845658,33258,948
2009-04-02$4.14$3.7547.5%13.6%68.9%15.6%49.8%8.2%8.7%160.7K-5.2M-66.3K0.6619.16N/AN/A1,04068858,30458,952
2009-04-03$4.26$4.3846.8%15.9%69.0%14.8%0.0%8.5%-0.4%214.4K-7.5M-65.6K0.0921.26N/AN/A1,63614858,66859,376
2009-04-06$4.00$4.3854.0%17.6%72.1%22.6%58.5%8.7%-1.4%105.5K-2.5M-63.1K2.6221.75N/AN/A1,5604,08059,48459,352
2009-04-07$3.85$4.3854.8%17.4%63.2%23.5%60.5%7.9%-1.7%-2.3K310.7K-62.0K0.3916.98N/AN/A95637260,12461,528
2009-04-08$3.81$4.3848.1%17.3%63.1%16.2%60.0%8.5%-2.4%-61.7K1.5M-60.5K4.5817.54N/AN/A1,3806,31660,25261,740
2009-04-09$3.95$3.7558.7%16.8%63.6%27.6%54.0%8.6%-2.0%18.4K-1.2M-62.0K0.3823.99N/AN/A4,6321,77660,52463,204
2009-04-13$3.96$3.7559.6%17.1%63.5%28.6%57.2%5.9%-2.0%12.9K-2.3M-60.4K0.3225.73N/AN/A92029664,03662,976
2009-04-14$3.91$3.7559.0%16.9%62.8%27.9%58.3%4.6%-0.3%-30.3K-1.1M-59.1K1.2322.35N/AN/A1,4801,82064,04463,000
2009-04-15$4.20$3.7552.8%15.1%65.0%21.2%53.4%8.5%-0.7%393.1K-7.3M-61.3K0.2228.52N/AN/A19,4324,24866,05263,288
2009-04-16$4.21$3.7555.1%15.8%64.9%23.8%55.2%7.8%-2.8%399.1K-8.2M-70.1K1.3422.06N/AN/A5,1926,96878,00065,208
2009-04-17$4.36$4.3850.2%14.4%64.3%18.5%50.6%6.2%0.9%2.3M-11.6M-73.6K1.2418.38N/AN/A4,9526,15680,15667,848
2009-04-20$4.04$4.3858.8%16.8%69.6%27.7%57.6%3.4%-2.5%957-206.5K-73.2K0.8222.26N/AN/A2,8202,30857,75261,404
2009-04-21$4.22$4.3860.6%17.4%63.4%29.7%61.1%6.2%-7.9%35.5K-3.1M-76.1K0.369.86N/AN/A11,2804,07258,90862,936
2009-04-22$4.15$4.3864.2%18.4%63.4%33.6%64.5%2.0%-9.9%44.3K-2.6M-79.8K0.4615.69N/AN/A11,8685,40463,72865,912
2009-04-23$4.14$4.3866.6%19.1%60.4%36.2%67.7%5.2%-10.0%74.1K-3.0M-84.8K0.1823.00N/AN/A16,0802,95670,58069,260
2009-04-24$3.54$4.3849.1%14.1%81.7%17.3%49.6%9.8%-4.6%-145.7K9.4M-56.0K0.7820.74N/AN/A51,19240,11672,47268,128
2009-04-27$3.47$3.7546.9%13.5%81.6%15.0%49.8%7.2%-1.8%-33.7K7.6M-76.7K0.9611.60N/AN/A9,8969,48899,67683,624
2009-04-28$3.58$3.7547.0%13.5%80.2%15.0%47.0%8.7%-4.7%-16.7K5.5M-91.3K0.3212.25N/AN/A4,9081,568106,59691,012
2009-04-29$3.72$3.7542.4%12.2%81.4%10.1%42.3%2.9%0.3%36.4K2.0M-95.4K0.107.07N/AN/A4,292444107,74091,464
2009-04-30$3.69$3.7540.2%11.5%81.4%7.7%39.9%0.9%1.2%40.7K2.7M-95.6K0.389.16N/AN/A1,104424110,62491,704