IBKR Options History — May 2009

In May 2009, IBKR traded between $3.54 and $3.96. ATM implied volatility averaged 39.5%, placing in the 7.0% IV rank vs the trailing year. The 30-day expected move averaged 11.4%. IV traded below realized volatility by 29.6% (HV 20d: 69.1%). Max pain ranged from $3.75 to $3.75. Net GEX was positive for 7 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 6.79.

Notable Days

  • 2009-05-14: Highest Volume — 20,492 contracts
  • 2009-05-14: Largest IV spike — 14.1% change
  • 2009-05-04: Highest IV Rank — 15.2%
  • 2009-05-04: Largest Expected Move — 12.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.70$3.54$3.96$3.55$3.72
Max Pain$3.75$3.75$3.75$3.75$3.75
ATM IV39.5%32.2%47.2%41.4%32.2%
Expected Move11.4%9.2%12.5%11.9%9.2%
HV 20d69.1%42.3%83.1%81.4%43.6%
HV 60d66.8%65.8%68.4%67.5%66.7%
IV Rank7.0%0.0%15.2%9.0%0.0%
IV Percentile6.0%0.0%20.2%8.7%0.0%
Term Structure2.2%-0.6%3.8%2.0%3.4%
VWIV40.0%28.2%48.2%44.9%32.2%
Skew 25d4.7%-0.3%15.3%8.9%2.8%
Skew 10d9.4%-3.0%25.0%16.4%5.0%
Call IV 25d38.3%27.4%43.9%40.3%27.4%
Put IV 25d43.0%30.2%49.2%49.2%30.2%
Bid-Ask Spread %13.535.8318.8416.177.28
Gamma HHI0.360.250.460.320.45
Net GEX-134.5K-389.1K87.8K-11.5K-381.4K
Net DEX5.2M-5.6M13.2M6.5M9.7M
Net VEX-98.1K-111.9K-88.3K-89.2K-111.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.790.0764.7628.580.49
Total Volume6,6421,08420,4925,0883,468
Total OI203,938188,480227,188202,752217,932

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-05-01$3.55$3.7541.4%11.9%81.4%9.0%44.9%8.9%2.0%-11.5K6.5M-89.2K28.5816.17N/AN/A1724,916110,84091,912
2009-05-04$3.73$3.7547.2%12.5%83.1%15.2%43.5%5.5%1.6%62.7K1.1M-95.2K0.829.59N/AN/A3,2082,644110,89693,372
2009-05-05$3.78$3.7542.9%12.4%80.6%10.6%43.7%5.3%1.3%87.8K-203.9K-93.9K0.3015.08N/AN/A11,1803,404111,67693,144
2009-05-06$3.93$3.7542.0%12.0%80.8%9.7%41.4%4.2%2.4%60.9K-4.3M-97.0K0.6414.80N/AN/A2,2921,460108,68894,060
2009-05-07$3.84$3.7541.1%11.8%81.2%8.7%41.1%3.5%3.4%25.3K-1.8M-93.8K0.6715.37N/AN/A1,092736109,69292,912
2009-05-08$3.96$3.7539.6%11.7%80.9%7.1%42.0%2.1%3.8%74.4K-5.6M-94.4K0.377.83N/AN/A3,0321,116110,38893,068
2009-05-11$3.87$3.7540.7%12.1%81.3%8.2%42.4%5.3%2.6%35.4K-3.0M-91.5K0.4316.08N/AN/A2,224948111,62092,736
2009-05-12$3.80$3.7539.4%12.0%81.3%6.9%41.6%3.8%3.1%34.5K-429.7K-90.9K0.2517.03N/AN/A2,868704111,65693,516
2009-05-13$3.68$3.7538.0%12.4%77.3%5.3%43.8%4.1%3.5%-18.2K3.9M-88.3K7.6716.68N/AN/A1,2529,608111,44093,724
2009-05-14$3.62$3.7543.3%12.4%77.3%11.0%48.2%3.9%2.4%-96.5K7.7M-90.3K1.9016.02N/AN/A7,06413,428111,996100,980
2009-05-15$3.63$3.7541.3%11.8%75.9%8.9%41.3%-0.1%2.6%-153.0K8.5M-98.0K64.7614.72N/AN/A20413,212114,820112,368
2009-05-18$3.71$3.7540.4%11.6%72.4%7.9%40.4%1.1%0.0%-247.1K6.4M-105.4K0.8312.77N/AN/A1,5281,26479,244109,236
2009-05-19$3.66$3.7540.6%11.6%70.2%8.2%41.4%-0.3%0.2%-255.2K8.1M-103.9K0.9318.84N/AN/A86480480,036109,988
2009-05-20$3.65$3.7540.2%11.5%70.2%7.7%28.2%0.4%1.9%-259.4K8.5M-102.9K0.0713.65N/AN/A3,46022880,436110,656
2009-05-21$3.54$3.7535.9%10.3%70.6%3.0%36.0%3.4%2.9%-264.0K10.6M-97.7K9.607.23N/AN/A9529,13682,732110,748
2009-05-22$3.54$3.7534.6%9.9%42.9%1.6%38.4%4.9%2.9%-317.8K13.0M-101.6K1.7315.03N/AN/A6281,08880,316118,084
2009-05-26$3.68$3.7537.9%10.9%44.5%5.2%37.9%15.3%-0.6%-326.5K9.4M-102.6K2.0613.63N/AN/A3,0526,29680,660118,776
2009-05-27$3.58$3.7537.0%10.6%44.5%4.2%37.1%9.2%1.5%-350.8K13.2M-103.2K12.5816.95N/AN/A90011,32482,688124,396
2009-05-28$3.61$3.7534.1%9.8%42.3%1.1%34.4%10.5%2.9%-389.1K13.2M-111.1K1.205.83N/AN/A49259283,244134,084
2009-05-29$3.72$3.7532.2%9.2%43.6%0.0%32.2%2.8%3.4%-381.4K9.7M-111.9K0.497.28N/AN/A2,3241,14483,564134,368