IBKR Options History — August 2009

In August 2009, IBKR traded between $4.70 and $5.01. ATM implied volatility averaged 32.9%, placing in the 9.5% IV rank vs the trailing year. The 30-day expected move averaged 9.4%. IV traded below realized volatility by 5.8% (HV 20d: 38.8%). Max pain ranged from $3.75 to $4.38. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 1.33.

Notable Days

  • 2009-08-10: Highest Volume — 25,728 contracts
  • 2009-08-07: Largest IV spike — 13.9% change
  • 2009-08-11: Highest IV Rank — 12.5%
  • 2009-08-17: Largest Expected Move — 10.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.80$4.70$5.01$4.80$4.75
Max Pain$3.87$3.75$4.38$3.75$4.38
ATM IV32.9%29.8%36.0%32.4%32.6%
Expected Move9.4%8.5%10.1%9.3%9.3%
HV 20d38.8%27.6%46.7%42.2%27.6%
HV 60d34.6%33.9%35.6%35.5%34.0%
IV Rank9.5%6.5%12.5%9.0%9.2%
IV Percentile10.4%1.2%18.3%7.1%10.3%
Term Structure1.2%-0.6%3.0%0.6%0.8%
VWIV33.7%26.9%36.6%33.4%32.6%
Skew 25d3.5%-0.3%9.0%2.0%-0.3%
Skew 10d12.2%-1.6%46.4%5.9%46.4%
Call IV 25d31.7%27.4%34.1%32.4%32.6%
Put IV 25d35.2%32.3%39.1%34.4%32.3%
Bid-Ask Spread %14.099.2727.5025.0316.92
Gamma HHI0.450.380.610.380.40
Net GEX445.9K350.6K597.7K472.3K380.2K
Net DEX-29.8M-41.5M-18.6M-34.1M-18.6M
Net VEX-95.4K-108.3K-62.7K-62.7K-101.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.330.277.152.710.41
Total Volume5,727.8185625,7284,3161,232
Total OI228,952200,596256,028200,596211,820

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-08-03$4.80$3.7532.4%9.3%42.2%9.0%33.4%2.0%0.6%472.3K-34.1M-62.7K2.7125.03N/AN/A1,1643,152100,61299,984
2009-08-04$4.78$3.7530.7%8.8%42.0%7.4%35.3%6.0%2.6%460.8K-33.1M-68.3K0.5917.54N/AN/A540316100,704102,376
2009-08-05$4.79$3.7530.4%8.7%40.9%7.1%36.6%4.8%1.7%472.1K-33.4M-65.1K0.7127.50N/AN/A10,5367,528100,492102,448
2009-08-06$4.76$3.7529.8%8.5%41.2%6.5%26.9%3.0%3.0%455.1K-33.7M-80.6K1.1216.64N/AN/A3,5323,964107,736107,480
2009-08-07$4.96$3.7533.9%9.6%42.2%10.5%33.5%1.4%2.0%469.8K-39.5M-77.6K0.4811.22N/AN/A10,4685,020109,692110,956
2009-08-10$4.96$3.7533.2%9.7%41.3%9.7%34.8%2.1%1.2%557.5K-39.4M-80.0K0.8116.88N/AN/A14,22811,500114,260114,884
2009-08-11$4.84$3.7536.0%9.8%42.7%12.5%35.2%2.2%1.3%538.5K-35.6M-108.3K1.2417.04N/AN/A9241,148125,556125,416
2009-08-12$5.01$3.7532.0%9.6%43.4%8.7%33.0%3.7%1.9%597.7K-41.5M-103.3K0.3216.88N/AN/A4,3561,384125,352125,800
2009-08-13$4.95$3.7534.4%9.9%42.7%11.0%36.0%5.3%0.9%595.2K-38.9M-107.4K0.4111.93N/AN/A2,6161,084125,968126,844
2009-08-14$4.81$3.7533.8%9.7%44.3%10.3%34.1%9.0%1.3%536.0K-33.3M-106.8K0.6610.97N/AN/A2,0681,364124,068127,044
2009-08-17$4.70$3.7535.1%10.1%46.1%11.6%35.5%4.1%0.6%397.2K-29.0M-104.6K1.3513.88N/AN/A3,0444,112124,108127,608
2009-08-18$4.76$3.7533.6%9.6%45.9%10.2%34.7%6.1%2.3%426.2K-30.7M-107.3K1.0510.75N/AN/A1,6281,704124,676131,352
2009-08-19$4.70$3.7534.6%9.9%46.7%11.1%34.2%2.3%0.6%350.6K-28.3M-105.3K7.159.61N/AN/A4283,060123,400131,352
2009-08-20$4.74$3.7534.6%9.9%46.5%11.1%35.8%4.3%0.6%373.7K-28.9M-107.3K5.2211.08N/AN/A2881,504122,104133,228
2009-08-21$4.78$3.7532.7%9.4%31.0%9.3%34.0%5.2%2.6%369.0K-29.9M-105.7K0.2712.37N/AN/A4,1001,100122,224133,756
2009-08-24$4.74$3.7532.4%9.3%31.3%9.0%32.8%2.4%0.8%355.3K-19.0M-102.8K0.9310.46N/AN/A1,4841,37694,840111,540
2009-08-25$4.75$3.7531.9%9.2%29.5%8.5%32.6%2.9%0.7%363.8K-19.0M-104.3K0.369.27N/AN/A2,16878495,344112,428
2009-08-26$4.80$4.3832.7%9.4%29.3%9.3%32.8%3.6%-0.6%415.5K-20.8M-101.8K0.899.68N/AN/A85275696,412113,076
2009-08-27$4.77$4.3832.7%9.4%28.9%9.3%32.8%2.2%0.4%398.1K-19.7M-101.5K0.989.81N/AN/A1,4641,44096,576113,340
2009-08-28$4.75$4.3831.9%9.2%28.6%8.6%32.0%0.6%0.2%378.8K-18.9M-101.5K0.3110.33N/AN/A66420496,540114,596
2009-08-31$4.75$4.3832.6%9.3%27.6%9.2%32.6%-0.3%0.8%380.2K-18.6M-101.3K0.4116.92N/AN/A87635697,076114,744