IBKR Options History — October 2009 In October 2009, IBKR traded between $4.00 and $5.23. ATM implied volatility averaged 33.6%, placing in the 10.2% IV rank vs the trailing year. The 30-day expected move averaged 10.3%. IV traded below realized volatility by 5.1% (HV 20d: 38.7%). Max pain ranged from $5.00 to $5.00. Net GEX was positive for 16 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 2.25.
Notable Days 2009-10-23 : Highest Volume — 49,132 contracts2009-10-15 : Largest IV spike — 41.0% change2009-10-22 : Highest IV Rank — 18.3%2009-10-22 : Largest Expected Move — 12.0%Monthly Statistics Metric Avg Min Max Open Close Price $4.81 $4.00 $5.23 $4.96 $4.00 Max Pain $5.00 $5.00 $5.00 $5.00 $5.00 ATM IV 33.6% 26.0% 41.9% 32.0% 34.0% Expected Move 10.3% 7.5% 12.0% 9.2% 9.7% HV 20d 38.7% 25.3% 62.3% 25.3% 60.0% HV 60d 35.9% 29.1% 42.5% 34.3% 42.5% IV Rank 10.2% 2.8% 18.3% 8.6% 10.5% IV Percentile 21.0% 0.4% 45.6% 11.1% 29.4% Term Structure -0.5% -3.2% 6.5% 5.2% 0.2% VWIV 35.5% 20.8% 42.5% 32.0% 32.2% Skew 25d 3.3% -0.6% 7.8% -0.4% -0.3% Skew 10d 8.7% -1.1% 20.2% 0.1% 1.6% Call IV 25d 35.0% 26.9% 43.7% 28.0% 33.8% Put IV 25d 38.2% 27.5% 45.6% 27.5% 33.5% Bid-Ask Spread % 21.98 14.93 29.93 15.71 24.06 Gamma HHI 0.33 0.23 0.53 0.31 0.50 Net GEX 95.0K -347.5K 401.1K 201.7K -306.1K Net DEX -9.6M -23.7M 19.2M -15.9M 19.2M Net VEX -99.4K -119.1K -89.6K -92.2K -99.7K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 2.25 0.01 9.38 0.18 6.42 Total Volume 9,818.182 204 49,132 7,028 4,184 Total OI 179,308.364 144,552 237,516 144,552 237,516
Daily Data (22 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2009-10-01 $4.96 $5.00 32.0% 9.2% 25.3% 8.6% 32.0% -0.4% 5.2% 201.7K -15.9M -92.2K 0.18 15.71 N/A N/A 5,940 1,088 73,100 71,452 2009-10-02 $4.83 $5.00 30.0% 8.6% 27.8% 6.7% 30.1% 7.8% 6.5% 164.3K -12.6M -93.3K 0.07 15.55 N/A N/A 1,340 88 72,948 72,276 2009-10-05 $5.00 $5.00 34.4% 11.0% 29.8% 11.0% 38.3% 4.0% -1.1% 223.1K -16.2M -89.6K 3.45 29.30 N/A N/A 840 2,900 73,512 72,276 2009-10-06 $5.15 $5.00 33.6% 10.7% 31.0% 10.2% 37.4% 3.9% -0.6% 205.1K -18.9M -90.8K 0.01 17.87 N/A N/A 8,764 84 74,104 74,896 2009-10-07 $5.09 $5.00 33.9% 10.9% 31.5% 10.5% 38.4% 3.9% -1.8% 247.4K -18.7M -93.2K 0.76 28.10 N/A N/A 116 88 78,160 74,940 2009-10-08 $5.15 $5.00 32.3% 10.6% 31.3% 8.9% 36.6% 3.1% -1.0% 263.4K -19.8M -92.7K 2.46 21.77 N/A N/A 1,448 3,556 78,216 74,932 2009-10-09 $5.14 $5.00 28.8% 10.6% 31.2% 5.5% 36.0% 2.3% -1.1% 262.0K -19.9M -95.1K 0.42 29.77 N/A N/A 3,556 1,476 78,588 78,232 2009-10-12 $5.14 $5.00 28.2% 11.0% 31.2% 4.9% 37.5% 1.9% -1.1% 283.5K -20.1M -100.1K 0.06 29.93 N/A N/A 2,660 164 81,320 79,692 2009-10-13 $5.08 $5.00 33.3% 11.1% 31.4% 9.9% 38.7% 3.0% -1.3% 285.0K -19.0M -103.6K 0.87 17.64 N/A N/A 864 748 82,644 79,640 2009-10-14 $5.22 $5.00 26.9% 11.1% 29.9% 3.7% 35.8% 3.8% -1.8% 272.2K -23.0M -99.1K 1.80 29.58 N/A N/A 1,404 2,532 83,200 80,024 2009-10-15 $5.23 $5.00 37.9% 10.9% 29.4% 14.4% 36.6% 4.3% -1.1% 267.9K -23.7M -97.4K 0.06 20.90 N/A N/A 3,400 192 83,656 79,100 2009-10-16 $5.08 $5.00 38.3% 11.0% 31.4% 14.7% 37.9% 3.2% -1.2% 401.1K -20.2M -100.9K 0.09 25.29 N/A N/A 17,020 1,496 86,604 79,124 2009-10-19 $5.12 $5.00 39.8% 11.4% 31.5% 16.2% 41.5% 3.6% -2.4% 306.8K -20.7M -105.8K 1.82 19.25 N/A N/A 3,024 5,496 96,532 76,616 2009-10-20 $5.13 $5.00 39.7% 11.4% 31.3% 16.1% 40.0% 4.9% -2.7% 294.3K -20.8M -107.0K 0.51 16.52 N/A N/A 1,704 876 98,228 81,848 2009-10-21 $4.99 $5.00 40.9% 11.7% 32.8% 17.3% 42.5% -0.6% -2.1% 235.9K -17.6M -108.9K 3.09 18.42 N/A N/A 4,232 13,088 99,440 82,368 2009-10-22 $4.89 $5.00 41.9% 12.0% 32.1% 18.3% 42.4% 1.9% -3.2% 76.6K -12.8M -119.1K 2.11 17.62 N/A N/A 8,468 17,852 102,156 93,884 2009-10-23 $4.21 $5.00 31.1% 8.9% 62.3% 7.7% 31.1% 7.8% -0.5% -340.4K 10.8M -92.8K 2.08 25.28 N/A N/A 15,952 33,180 104,520 104,324 2009-10-26 $4.13 $5.00 30.7% 8.8% 60.4% 7.3% 30.8% 5.5% 0.3% -309.7K 13.3M -98.3K 1.28 14.93 N/A N/A 3,680 4,708 107,900 111,068 2009-10-27 $4.09 $5.00 26.0% 7.5% 59.8% 2.8% 20.8% 3.2% 1.2% -279.7K 14.3M -97.7K 9.38 21.42 N/A N/A 2,112 19,804 110,096 112,560 2009-10-28 $4.05 $5.00 34.5% 9.9% 59.8% 11.1% 32.8% 0.6% -2.6% -315.9K 15.5M -102.4K 7.97 20.97 N/A N/A 952 7,584 110,940 118,780 2009-10-29 $4.09 $5.00 30.7% 8.8% 60.1% 7.4% 32.6% 4.9% 0.2% -347.5K 15.3M -106.2K 4.63 23.71 N/A N/A 1,304 6,036 111,272 122,100 2009-10-30 $4.00 $5.00 34.0% 9.7% 60.0% 10.5% 32.2% -0.3% 0.2% -306.1K 19.2M -99.7K 6.42 24.06 N/A N/A 564 3,620 111,884 125,632
« Sep 2009 | All History | Nov 2009 » Home IBKR History October 2009