IBKR Options History — November 2009

In November 2009, IBKR traded between $4.08 and $4.35. ATM implied volatility averaged 29.6%, placing in the 6.7% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded below realized volatility by 18.5% (HV 20d: 48.2%). Max pain ranged from $4.38 to $5.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 2.76.

Notable Days

  • 2009-11-13: Highest Volume — 25,568 contracts
  • 2009-11-03: Largest IV spike — 14.3% change
  • 2009-11-03: Highest IV Rank — 9.4%
  • 2009-11-03: Largest Expected Move — 9.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.24$4.08$4.35$4.08$4.23
Max Pain$4.50$4.38$5.00$5.00$4.38
ATM IV29.6%25.9%32.8%28.7%26.8%
Expected Move8.5%7.4%9.4%8.2%7.7%
HV 20d48.2%21.8%59.5%58.6%21.8%
HV 60d41.4%40.6%42.5%41.8%40.6%
IV Rank6.7%4.1%9.4%5.4%5.4%
IV Percentile7.7%0.4%23.8%2.8%2.0%
Term Structure3.1%-1.0%5.8%1.5%3.6%
VWIV29.7%26.3%32.9%27.0%26.9%
Skew 25d4.0%-5.6%71.0%4.8%71.0%
Skew 10d6.5%-5.5%95.3%7.3%95.3%
Call IV 25d29.5%24.6%33.7%31.5%26.6%
Put IV 25d33.5%22.1%97.6%36.2%97.6%
Bid-Ask Spread %13.256.5132.2532.2511.58
Gamma HHI0.520.400.610.540.40
Net GEX-478.4K-639.0K-328.9K-328.9K-639.0K
Net DEX10.4M6.4M16.9M16.9M8.7M
Net VEX-122.1K-137.0K-101.0K-101.0K-133.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.760.1513.220.792.47
Total Volume5,13821625,5686,320804
Total OI250,153.2236,524271,408236,524252,248

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-11-02$4.08$5.0028.7%8.2%58.6%5.4%27.0%4.8%1.5%-328.9K16.9M-101.0K0.7932.25N/AN/A3,5322,788112,080124,444
2009-11-03$4.22$5.0032.8%9.4%59.2%9.4%32.9%-3.5%-1.0%-436.4K12.0M-113.9K2.7316.05N/AN/A3,69210,080115,044126,620
2009-11-04$4.21$5.0030.3%8.7%59.2%6.9%30.4%-4.2%0.9%-412.1K12.0M-115.9K1.0922.58N/AN/A584636117,548126,612
2009-11-05$4.27$5.0029.6%8.5%59.4%6.3%29.6%-1.5%2.3%-375.1K9.8M-117.6K0.3713.85N/AN/A368136117,828125,388
2009-11-06$4.26$4.3830.0%8.8%59.4%6.7%31.2%1.1%3.6%-400.0K9.8M-116.2K0.869.31N/AN/A116100117,872125,424
2009-11-09$4.29$4.3832.7%8.7%59.5%9.3%31.8%0.2%3.8%-418.2K9.1M-113.5K0.1515.07N/AN/A1,552240117,884125,484
2009-11-10$4.26$4.3830.6%8.8%59.5%7.3%30.7%-0.2%4.1%-422.1K10.0M-112.5K0.2216.89N/AN/A772172118,344125,448
2009-11-11$4.33$4.3829.0%8.5%58.7%5.7%29.8%1.6%4.1%-452.5K7.7M-112.3K0.2717.44N/AN/A792212118,676125,408
2009-11-12$4.27$4.3830.3%8.7%58.6%7.0%30.3%0.1%3.8%-441.9K9.4M-110.3K13.2218.95N/AN/A4085,392118,848125,496
2009-11-13$4.29$4.3831.1%8.9%58.4%7.7%31.1%-0.6%2.5%-508.6K9.7M-116.3K3.4910.04N/AN/A5,69219,876118,824130,584
2009-11-16$4.35$4.3830.9%8.9%58.7%7.6%30.9%1.7%3.4%-568.0K7.4M-128.0K6.297.26N/AN/A5883,696122,868138,016
2009-11-17$4.26$4.3830.6%8.8%58.8%7.2%31.5%-1.2%3.3%-567.6K11.9M-130.6K12.206.51N/AN/A3924,784123,100145,000
2009-11-18$4.28$4.3830.8%8.8%58.5%7.4%30.7%8.8%3.4%-605.0K12.5M-133.8K0.7210.46N/AN/A1,040748123,352147,532
2009-11-19$4.22$4.3830.6%8.8%58.4%7.3%30.5%4.4%4.4%-497.8K14.2M-130.2K1.557.76N/AN/A544844123,944147,464
2009-11-20$4.22$4.3829.2%8.4%24.0%5.9%29.0%5.4%5.8%-495.7K14.3M-127.4K1.487.88N/AN/A1,8322,720123,644147,240
2009-11-23$4.22$4.3829.9%8.6%22.9%8.1%29.8%-5.6%1.0%-426.9K6.4M-130.4K0.509.16N/AN/A1,680836108,080129,604
2009-11-24$4.17$4.3826.7%7.7%23.1%5.3%26.8%4.9%4.5%-444.1K8.9M-126.3K4.508.83N/AN/A3,54415,964107,576129,688
2009-11-25$4.23$4.3826.4%7.6%23.1%4.8%26.3%-3.1%2.7%-553.8K7.8M-135.6K1.589.35N/AN/A1,8682,960109,108138,796
2009-11-27$4.19$4.3825.9%7.4%23.3%4.1%26.3%-3.5%4.1%-575.1K8.8M-137.0K0.7813.79N/AN/A436340110,032141,916
2009-11-30$4.23$4.3826.8%7.7%21.8%5.4%26.9%71.0%3.6%-639.0K8.7M-133.5K2.4711.58N/AN/A232572110,184142,064