IBKR Options History — December 2009

In December 2009, IBKR traded between $4.30 and $4.49. ATM implied volatility averaged 26.0%, placing in the 5.0% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded above realized volatility by 5.6% (HV 20d: 20.4%). Max pain ranged from $4.38 to $4.38. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 7.01.

Notable Days

  • 2009-12-01: Highest Volume — 14,056 contracts
  • 2009-12-28: Largest IV spike — 14.6% change
  • 2009-12-14: Highest IV Rank — 9.8%
  • 2009-12-14: Largest Expected Move — 8.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.39$4.30$4.49$4.39$4.43
Max Pain$4.38$4.38$4.38$4.38$4.38
ATM IV26.0%23.0%28.6%27.3%27.3%
Expected Move7.6%6.6%8.2%7.8%7.8%
HV 20d20.4%12.7%24.5%24.5%12.7%
HV 60d40.1%37.6%41.4%41.3%37.6%
IV Rank5.0%0.0%9.8%6.1%7.8%
IV Percentile3.6%0.0%8.7%2.8%8.7%
Term Structure4.9%2.4%7.2%2.4%3.4%
VWIV26.4%20.3%32.8%27.2%21.8%
Skew 25d4.9%-9.3%70.0%57.7%4.1%
Skew 10d8.2%-14.8%101.6%96.9%5.7%
Call IV 25d26.2%19.9%31.5%23.2%22.8%
Put IV 25d31.1%22.1%94.5%80.9%26.9%
Bid-Ask Spread %14.317.9026.1811.6715.67
Gamma HHI0.430.320.720.410.33
Net GEX-813.5K-2.7M-367.4K-655.5K-442.9K
Net DEX5.7M1.5M9.3M2.0M8.2M
Net VEX-138.3K-145.2K-131.5K-137.0K-138.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio7.010.2140.902.2712.38
Total Volume5,039.09147614,05614,0562,676
Total OI238,027.273177,556273,104251,948197,028

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-12-01$4.39$4.3827.3%7.8%24.5%6.1%27.2%57.7%2.4%-655.5K2.0M-137.0K2.2711.67N/AN/A4,3009,756110,008141,940
2009-12-02$4.32$4.3825.8%7.4%22.5%3.9%25.8%70.0%2.7%-701.3K5.4M-140.6K2.327.90N/AN/A7761,804111,712148,308
2009-12-03$4.30$4.3825.6%7.3%22.4%3.6%25.6%-0.8%2.7%-690.2K5.5M-140.0K18.389.53N/AN/A1683,088112,116149,172
2009-12-04$4.38$4.3823.8%7.9%22.6%1.0%27.8%-6.1%4.5%-794.5K3.6M-142.2K3.4213.10N/AN/A4921,684112,252151,224
2009-12-07$4.40$4.3823.4%8.0%22.6%0.4%28.0%-5.0%5.1%-862.1K1.9M-139.3K3.739.78N/AN/A1,1404,252112,492152,164
2009-12-08$4.35$4.3825.5%8.0%23.1%4.2%28.1%-8.7%5.8%-853.2K4.7M-143.9K9.5426.18N/AN/A3403,244112,612155,000
2009-12-09$4.33$4.3824.2%8.1%23.0%1.9%28.3%-9.3%5.8%-904.8K6.1M-145.2K0.2122.91N/AN/A2,752568112,756158,244
2009-12-10$4.33$4.3827.5%7.9%22.4%7.8%22.7%-8.1%5.7%-904.7K6.5M-143.5K1.7212.06N/AN/A484832114,708158,396
2009-12-11$4.33$4.3827.3%7.8%21.8%7.5%32.8%-7.8%6.1%-911.8K5.9M-143.5K1.0615.73N/AN/A732776113,064158,808
2009-12-14$4.37$4.3828.6%8.2%21.8%9.8%28.6%-5.8%5.4%-1.1M5.6M-140.0K9.4613.35N/AN/A96908113,132158,928
2009-12-15$4.37$4.3828.4%8.1%21.3%9.4%28.4%-7.4%5.0%-1.3M6.3M-140.0K40.9011.92N/AN/A1566,380113,132159,436
2009-12-16$4.37$4.3827.6%7.9%19.6%7.9%27.5%-7.4%5.4%-1.0M4.6M-137.6K2.409.66N/AN/A1,2723,056112,968158,168
2009-12-17$4.37$4.3827.5%7.9%19.5%7.8%30.7%-7.0%5.0%-1.2M4.3M-137.1K5.4012.03N/AN/A9325,036112,676158,056
2009-12-18$4.38$4.3826.0%7.4%18.8%5.1%25.5%1.7%6.7%-2.7M1.5M-136.8K0.8314.06N/AN/A4,8804,032113,064157,764
2009-12-21$4.35$4.3826.1%7.5%19.1%5.4%26.0%1.1%5.0%-426.7K9.3M-131.8K0.7011.59N/AN/A1,9001,32463,784113,772
2009-12-22$4.39$4.3824.5%7.0%19.2%2.4%24.5%8.6%6.5%-445.9K9.2M-131.5K3.2312.69N/AN/A2,5928,36864,640115,064
2009-12-23$4.49$4.3823.6%6.8%19.9%0.8%20.3%7.8%5.8%-387.4K7.1M-131.7K1.0317.40N/AN/A4,4884,62065,840115,424
2009-12-24$4.48$4.3823.0%6.6%19.7%0.0%22.1%7.5%7.2%-367.4K6.5M-136.5K1.2916.46N/AN/A20826870,112117,816
2009-12-28$4.47$4.3826.3%7.5%19.2%6.0%26.3%9.0%3.6%-369.0K6.7M-134.1K4.7320.07N/AN/A8203,88070,296117,876
2009-12-29$4.46$4.3826.6%7.6%19.2%6.6%26.7%2.9%4.0%-385.6K7.0M-135.4K28.2914.64N/AN/A1644,64070,148120,420
2009-12-30$4.43$4.3825.8%7.4%14.2%5.1%25.8%11.8%5.1%-448.7K8.2M-135.7K1.0116.54N/AN/A5,4525,52470,076122,004
2009-12-31$4.43$4.3827.3%7.8%12.7%7.8%21.8%4.1%3.4%-442.9K8.2M-138.3K12.3815.67N/AN/A2002,47670,736126,292