IBKR Options History — January 2010

In January 2010, IBKR traded between $3.95 and $4.44. ATM implied volatility averaged 26.9%, placing in the 9.4% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded above realized volatility by 10.3% (HV 20d: 16.6%). Max pain ranged from $4.38 to $4.38. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 8 of 19 days. Put/call ratio averaged 4.99.

Notable Days

  • 2010-01-22: Highest Volume — 44,144 contracts
  • 2010-01-22: Largest IV drop — 39.7% change
  • 2010-01-21: Highest IV Rank — 28.1%
  • 2010-01-21: Largest Expected Move — 10.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.16$3.95$4.44$4.44$3.98
Max Pain$4.38$4.38$4.38$4.38$4.38
ATM IV26.9%20.6%35.9%27.0%28.4%
Expected Move8.4%5.9%10.3%9.0%8.1%
HV 20d16.6%12.6%20.6%12.6%20.5%
HV 60d31.3%20.4%37.8%37.5%20.8%
IV Rank9.4%0.0%28.1%7.2%16.2%
IV Percentile15.6%0.0%58.3%8.3%17.1%
Term Structure1.3%-4.7%11.9%1.0%-2.7%
VWIV29.6%15.8%35.8%31.2%28.9%
Skew 25d3.1%-1.0%11.4%2.8%8.7%
Skew 10d3.8%-8.2%12.3%8.2%12.3%
Call IV 25d28.0%15.1%34.2%30.9%19.8%
Put IV 25d31.1%23.6%36.1%33.7%28.4%
Bid-Ask Spread %23.8314.9335.5129.5219.34
Gamma HHI0.420.330.540.330.52
Net GEX-846.1K-1.2M-455.3K-455.3K-1.2M
Net DEX20.2M8.3M29.5M8.3M29.5M
Net VEX-163.5K-197.3K-137.9K-137.9K-197.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.990.7616.490.7614.62
Total Volume11,749.68479644,1447965,312
Total OI245,379.789198,908303,144198,908303,144

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-01-04$4.44$4.3827.0%9.0%12.6%7.2%31.2%2.8%1.0%-455.3K8.3M-137.9K0.7629.52N/AN/A45234470,940127,968
2010-01-05$4.34$4.3828.6%9.3%14.0%10.1%32.3%1.2%-1.4%-508.9K10.4M-137.9K3.6935.51N/AN/A3,24411,98071,104128,200
2010-01-06$4.35$4.3826.7%9.2%13.9%6.7%32.1%1.5%-1.3%-621.6K12.3M-145.8K2.1132.73N/AN/A2,1604,55673,240137,976
2010-01-07$4.38$4.3826.2%9.1%13.5%5.7%31.9%2.3%-1.4%-659.5K11.8M-146.1K2.8331.88N/AN/A1,1363,21273,688141,696
2010-01-08$4.32$4.3823.6%8.9%14.5%1.2%31.1%-0.4%-0.8%-741.2K14.3M-149.1K1.0534.06N/AN/A1,6121,70074,928144,628
2010-01-11$4.26$4.3826.1%8.9%15.1%5.7%31.2%-1.0%-0.4%-743.2K16.3M-149.1K15.8022.72N/AN/A5088,02875,536146,224
2010-01-12$4.22$4.3821.7%8.9%15.3%0.0%31.4%0.1%0.8%-761.7K17.9M-153.3K9.4016.04N/AN/A1,34812,66875,340153,744
2010-01-13$4.22$4.3824.2%8.8%15.0%4.3%30.8%0.2%1.1%-782.6K18.9M-161.1K3.6119.21N/AN/A1,3404,83676,444160,204
2010-01-14$4.20$4.3831.9%9.1%15.0%17.8%32.3%0.5%-0.8%-790.0K19.5M-159.3K2.8319.89N/AN/A1,4003,96476,804162,888
2010-01-15$4.10$4.3832.6%9.3%16.8%19.0%33.0%-0.1%-0.9%-809.6K22.1M-161.1K3.4418.60N/AN/A2,1007,22477,472166,344
2010-01-19$4.12$4.3834.6%9.9%17.1%22.5%34.3%0.9%-3.9%-850.5K21.4M-163.3K1.3421.88N/AN/A3,4324,59673,028165,908
2010-01-20$4.08$4.3832.9%9.4%17.3%19.6%33.3%1.0%-2.5%-851.2K22.0M-159.7K1.6214.93N/AN/A7,05611,42074,208165,812
2010-01-21$4.13$4.3835.9%10.3%18.1%28.1%35.8%3.8%-4.7%-847.9K20.0M-166.5K1.0126.89N/AN/A17,00417,19275,128171,228
2010-01-22$3.99$4.3821.6%6.2%20.6%0.0%25.6%-0.5%9.1%-1.0M26.4M-163.4K7.0419.24N/AN/A5,49238,65283,648180,416
2010-01-25$3.99$4.3820.6%5.9%17.9%0.0%19.7%7.5%9.3%-1.1M28.3M-180.6K0.8827.01N/AN/A10,0808,84882,508197,584
2010-01-26$3.95$4.3824.9%7.1%17.9%8.9%0.0%7.7%2.9%-1.1M29.4M-189.4K16.4917.33N/AN/A2283,76088,536200,848
2010-01-27$4.04$4.3820.6%5.9%20.3%0.0%22.6%11.4%11.9%-1.1M27.3M-192.8K1.4716.68N/AN/A1,0641,56088,616203,596
2010-01-28$4.02$4.3822.9%6.6%20.4%4.7%15.8%11.3%8.6%-1.1M27.5M-193.8K4.8329.29N/AN/A2,35611,38089,176203,464
2010-01-29$3.98$4.3828.4%8.1%20.5%16.2%28.9%8.7%-2.7%-1.2M29.5M-197.3K14.6219.34N/AN/A3404,97291,188211,956