IBKR Options History — September 2009

In September 2009, IBKR traded between $4.46 and $5.00. ATM implied volatility averaged 32.1%, placing in the 8.7% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded above realized volatility by 4.6% (HV 20d: 27.5%). Max pain ranged from $4.38 to $5.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.18.

Notable Days

  • 2009-09-09: Highest Volume — 7,968 contracts
  • 2009-09-28: Largest IV spike — 11.5% change
  • 2009-09-10: Highest IV Rank — 12.5%
  • 2009-09-09: Largest Expected Move — 10.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.78$4.46$5.00$4.55$4.97
Max Pain$4.67$4.38$5.00$4.38$5.00
ATM IV32.1%28.6%36.0%33.3%30.4%
Expected Move9.3%8.2%10.3%9.6%8.7%
HV 20d27.5%22.7%31.8%31.3%26.6%
HV 60d34.6%33.4%35.4%35.2%34.5%
IV Rank8.7%5.3%12.5%9.9%7.0%
IV Percentile10.2%1.2%25.8%15.5%4.4%
Term Structure3.4%0.2%7.1%1.7%6.3%
VWIV33.1%29.5%38.9%36.7%30.4%
Skew 25d2.5%-5.6%11.1%-5.6%-0.0%
Skew 10d4.8%-10.2%20.7%-10.2%0.6%
Call IV 25d31.7%24.7%38.2%38.2%26.6%
Put IV 25d34.2%26.6%38.5%32.6%26.6%
Bid-Ask Spread %21.588.0334.5615.8412.79
Gamma HHI0.370.270.780.320.31
Net GEX407.4K72.6K2.3M178.2K197.2K
Net DEX-16.4M-28.0M-10.3M-13.1M-15.8M
Net VEX-93.9K-99.3K-88.1K-99.3K-91.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.180.078.221.760.09
Total Volume2,971.4293127,9684,6561,480
Total OI189,067.048130,592226,044211,988143,500

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-09-01$4.55$4.3833.3%9.6%31.3%9.9%36.7%-5.6%1.7%178.2K-13.1M-99.3K1.7615.84N/AN/A1,6842,97297,128114,860
2009-09-02$4.46$4.3832.8%9.4%31.7%9.3%32.6%-4.8%1.5%101.9K-10.9M-96.8K6.718.03N/AN/A2241,50497,596115,216
2009-09-03$4.47$4.3832.0%9.2%31.8%8.6%38.9%-5.6%2.7%72.6K-10.3M-97.3K0.359.58N/AN/A81628897,692116,364
2009-09-04$4.54$5.0031.9%10.0%28.2%8.5%0.0%2.9%0.9%131.4K-12.1M-96.2K0.8126.81N/AN/A17214097,656116,380
2009-09-08$4.58$5.0034.0%10.0%28.6%10.5%34.8%-1.4%1.2%147.7K-13.5M-94.1K0.1313.61N/AN/A1,13614497,680116,432
2009-09-09$4.59$4.3835.9%10.3%27.8%12.4%35.5%-0.3%0.2%197.0K-14.4M-93.6K0.1115.86N/AN/A7,20876098,544116,404
2009-09-10$4.67$4.3836.0%10.3%25.2%12.5%34.6%4.3%1.1%116.6K-17.5M-92.5K8.2221.66N/AN/A6285,164104,484117,004
2009-09-11$4.74$4.3832.0%9.2%25.7%8.6%35.8%6.6%4.7%300.3K-18.9M-96.4K0.3115.27N/AN/A2,392736105,120120,660
2009-09-14$4.73$4.3833.1%9.5%23.7%9.7%35.9%5.9%2.3%277.9K-18.4M-94.4K0.1116.72N/AN/A59668105,100120,944
2009-09-15$4.80$4.3832.3%9.2%22.7%8.9%37.8%1.6%3.5%571.2K-21.0M-95.3K0.2332.93N/AN/A1,508340104,956121,008
2009-09-16$4.99$4.3832.2%9.2%26.0%8.8%30.4%5.6%3.4%1.6M-28.0M-92.7K0.3020.75N/AN/A4,7201,400104,820120,880
2009-09-17$4.92$4.3832.6%9.3%25.9%9.2%33.0%1.1%2.9%1.3M-24.6M-92.4K0.3226.78N/AN/A1,980640104,160121,012
2009-09-18$4.96$4.3832.8%9.4%25.9%9.3%30.4%2.3%3.0%2.3M-26.0M-90.7K0.5534.43N/AN/A2,7241,492103,876121,292
2009-09-21$4.95$5.0031.7%9.1%25.8%8.3%31.8%1.1%4.4%126.0K-14.3M-88.1K0.8734.56N/AN/A3,1282,71264,04866,544
2009-09-22$5.00$5.0030.5%8.7%25.8%7.1%30.6%3.3%5.3%155.4K-15.7M-89.8K0.3023.83N/AN/A2,70881666,99268,268
2009-09-23$4.95$5.0029.7%8.5%26.2%6.4%29.9%10.3%6.2%158.5K-14.7M-94.1K0.3426.28N/AN/A2,91698068,50869,108
2009-09-24$4.82$5.0030.1%8.6%27.9%6.8%29.8%4.2%4.7%145.2K-12.5M-94.1K0.8127.66N/AN/A55244870,56869,816
2009-09-25$4.76$5.0028.6%8.2%28.2%5.3%29.5%6.7%7.1%135.0K-11.3M-97.6K1.6425.18N/AN/A44472870,84070,184
2009-09-28$4.93$5.0031.9%9.1%30.8%8.5%32.0%11.1%3.1%181.0K-14.7M-93.8K0.8027.57N/AN/A1,4881,18871,14470,520
2009-09-29$5.00$5.0031.0%8.9%31.1%7.6%30.9%2.5%5.4%198.6K-16.8M-91.4K0.0717.02N/AN/A1,2809671,68071,420
2009-09-30$4.97$5.0030.4%8.7%26.6%7.0%30.4%-0.0%6.3%197.2K-15.8M-91.2K0.0912.79N/AN/A1,35212872,08871,412