IBKR Options History — July 2009

In July 2009, IBKR traded between $3.75 and $4.70. ATM implied volatility averaged 35.0%, placing in the 9.8% IV rank vs the trailing year. The 30-day expected move averaged 10.6%. IV traded above realized volatility by 2.0% (HV 20d: 33.1%). Max pain ranged from $3.75 to $3.75. Net GEX was positive for 15 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 1.66.

Notable Days

  • 2009-07-13: Highest Volume — 78,820 contracts
  • 2009-07-16: Largest IV spike — 78.5% change
  • 2009-07-23: Highest IV Rank — 18.6%
  • 2009-07-13: Largest Expected Move — 12.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.02$3.75$4.70$3.94$4.70
Max Pain$3.75$3.75$3.75$3.75$3.75
ATM IV35.0%23.2%45.4%31.7%31.4%
Expected Move10.6%9.0%12.4%9.1%9.0%
HV 20d33.1%26.9%43.5%27.8%42.6%
HV 60d44.2%32.8%52.8%52.8%35.7%
IV Rank9.8%0.0%18.6%3.7%8.0%
IV Percentile9.3%0.0%21.0%2.0%2.8%
Term Structure0.1%-2.2%3.4%3.4%2.3%
VWIV36.3%28.5%45.5%31.6%33.5%
Skew 25d3.5%-6.0%15.7%10.0%2.5%
Skew 10d11.8%-6.8%71.4%71.4%0.1%
Call IV 25d35.3%21.5%43.8%21.5%31.6%
Put IV 25d38.8%24.3%46.9%31.5%34.1%
Bid-Ask Spread %16.369.6728.5614.9712.49
Gamma HHI0.320.270.430.270.37
Net GEX144.4K-81.1K474.3K-81.1K448.3K
Net DEX-9.9M-31.1M1.5M-4.4M-31.1M
Net VEX-101.2K-120.7K-70.2K-108.7K-70.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.660.086.250.090.43
Total Volume16,238.72798878,8209,136988
Total OI201,063.273189,112212,564189,112200,400

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-07-01$3.94$3.7531.7%9.1%27.8%3.7%31.6%10.0%3.4%-81.1K-4.4M-108.7K0.0914.97N/AN/A8,40872881,940107,172
2009-07-02$3.88$3.7532.7%9.4%28.4%4.8%32.7%8.8%1.0%-51.0K-3.5M-112.4K0.3713.58N/AN/A6,8522,53287,400107,696
2009-07-06$3.85$3.7535.6%10.1%28.6%7.8%35.2%-3.8%-0.6%-31.2K-3.0M-115.8K0.2018.88N/AN/A1,45628892,740109,108
2009-07-07$3.81$3.7532.9%10.5%28.7%4.9%36.4%4.7%-0.9%-20.7K-1.8M-116.4K5.6023.95N/AN/A1,3487,54492,940109,328
2009-07-08$3.75$3.7530.3%10.6%29.3%2.3%36.9%4.5%-1.3%-58.9K1.5M-117.1K0.3318.09N/AN/A4,4601,48093,220114,228
2009-07-09$3.83$3.7534.5%11.0%29.4%6.5%38.1%4.2%-1.4%-39.7K-1.5M-120.7K3.6728.56N/AN/A6,04822,16895,284115,448
2009-07-10$3.93$3.7527.8%11.7%30.2%0.0%40.4%3.5%-1.7%100.6K-8.4M-113.0K0.4421.84N/AN/A8,0563,50897,760101,612
2009-07-13$3.87$3.7545.4%12.4%30.9%18.0%45.3%7.1%-2.2%136.5K-6.7M-116.2K5.5117.10N/AN/A12,11666,704103,080104,280
2009-07-14$3.85$3.7542.7%12.1%30.5%15.1%45.5%3.6%-1.0%199.1K-7.9M-111.7K1.8915.99N/AN/A8041,520109,488101,364
2009-07-15$3.89$3.7523.2%12.0%30.3%0.0%42.4%2.3%-2.0%177.3K-10.6M-107.2K0.9210.71N/AN/A980904109,432101,140
2009-07-16$3.81$3.7541.3%11.8%31.3%17.7%30.2%1.1%-1.6%240.3K-7.5M-108.2K1.6414.30N/AN/A3,0485,012109,528101,064
2009-07-17$3.76$3.7538.5%11.0%31.6%15.0%28.5%2.5%1.0%474.3K-3.6M-104.2K3.2725.11N/AN/A1,5645,108109,452103,112
2009-07-20$3.79$3.7539.2%11.2%30.3%15.6%39.3%2.3%0.3%81.2K-2.8M-103.0K6.2512.84N/AN/A8685,424100,78493,752
2009-07-21$3.79$3.7539.9%11.4%27.2%16.3%40.0%1.7%-0.8%91.8K-3.1M-101.8K2.3812.51N/AN/A10,54425,144101,24491,404
2009-07-22$3.80$3.7540.4%11.6%27.2%16.8%41.1%0.1%1.4%24.8K-1.8M-106.4K0.8916.81N/AN/A25,36022,60498,34497,864
2009-07-23$3.88$3.7542.3%12.1%26.9%18.6%41.8%-6.0%-2.1%-15.4K-3.2M-100.8K0.5611.30N/AN/A14,0967,87690,984101,320
2009-07-24$4.30$3.7531.4%9.0%43.0%8.1%29.3%-2.0%1.4%144.2K-17.6M-86.6K0.7810.05N/AN/A21,12416,55692,104102,992
2009-07-27$4.34$3.7532.8%9.4%42.5%9.3%33.2%10.6%-0.1%268.6K-20.2M-83.0K0.5011.37N/AN/A2,1481,08095,488100,976
2009-07-28$4.48$3.7531.8%9.1%43.4%8.4%32.6%15.7%1.5%307.3K-24.4M-75.6K0.419.67N/AN/A6,5362,67694,232101,224
2009-07-29$4.55$3.7531.9%9.1%43.5%8.5%31.9%3.4%2.0%362.8K-26.8M-74.1K0.2625.43N/AN/A10,5082,78097,352100,760
2009-07-30$4.64$3.7533.2%9.5%43.5%9.8%32.0%0.7%3.1%417.3K-29.5M-73.6K0.0814.40N/AN/A7,664640102,172102,180
2009-07-31$4.70$3.7531.4%9.0%42.6%8.0%33.5%2.5%2.3%448.3K-31.1M-70.2K0.4312.49N/AN/A692296100,51699,884