IBKR Options History — February 2010

In February 2010, IBKR traded between $3.99 and $4.33. ATM implied volatility averaged 24.1%, placing in the 11.7% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded below realized volatility by 0.8% (HV 20d: 24.8%). 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 18 of 19 days. Put/call ratio averaged 18.76.

Notable Days

  • 2010-02-05: Highest Volume — 10,884 contracts
  • 2010-02-10: Largest IV spike — 20.1% change
  • 2010-02-16: Highest IV Rank — 20.5%
  • 2010-02-08: Largest Expected Move — 8.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.16$3.99$4.33$4.03$4.31
Max Pain$4.38$4.38$4.38$4.38$4.38
ATM IV24.1%18.0%28.4%23.3%24.9%
Expected Move7.2%5.2%8.4%6.7%7.1%
HV 20d24.8%21.6%27.4%21.6%24.8%
HV 60d21.1%19.6%22.1%19.6%22.1%
IV Rank11.7%0.0%20.5%5.6%13.6%
IV Percentile8.1%0.0%20.6%2.8%9.5%
Term Structure2.9%-0.2%15.1%9.5%0.0%
VWIV25.2%17.6%29.7%19.5%24.9%
Skew 25d-0.3%-6.3%11.0%11.0%-1.3%
Skew 10d1.8%-6.5%12.3%12.3%-0.9%
Call IV 25d23.8%13.9%28.8%17.1%22.9%
Put IV 25d23.5%15.3%30.2%28.1%21.6%
Bid-Ask Spread %15.239.5722.1212.3615.71
Gamma HHI0.480.410.590.510.41
Net GEX-1.1M-1.3M-667.6K-1.2M-1.0M
Net DEX23.3M15.7M30.6M28.4M15.7M
Net VEX-198.0K-206.2K-184.7K-199.2K-195.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio18.760.05226.335.311.34
Total Volume3,756.21153610,8844,8241,132
Total OI317,120.842299,288329,268305,764310,164

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-02-01$4.03$4.3823.3%6.7%21.6%5.6%19.5%11.0%9.5%-1.2M28.4M-199.2K5.3112.36N/AN/A7644,06091,440214,324
2010-02-02$4.09$4.3818.8%5.4%22.6%0.0%0.0%4.0%15.1%-1.1M26.8M-200.1K3.9316.98N/AN/A1,1364,46891,736216,644
2010-02-03$4.06$4.3818.0%5.2%21.6%0.0%0.0%-2.6%4.5%-1.2M27.9M-197.5K3.2510.94N/AN/A4921,60092,060218,952
2010-02-04$3.99$4.3820.8%6.0%22.1%5.6%17.6%-4.7%0.8%-1.3M30.6M-199.8K67.9214.86N/AN/A483,26092,432220,480
2010-02-05$4.13$4.3821.3%8.3%25.6%6.5%25.7%-0.6%-0.2%-1.1M27.1M-203.9K0.3622.12N/AN/A8,0162,86892,444223,192
2010-02-08$4.06$4.3824.6%8.4%25.6%13.1%29.7%2.4%1.6%-1.1M27.2M-205.8K0.3214.30N/AN/A4,9121,57699,940225,436
2010-02-09$4.07$4.3822.9%8.1%25.4%9.7%24.6%-2.1%0.7%-1.1M27.7M-202.1K0.6915.77N/AN/A4,4643,06499,428225,308
2010-02-10$4.10$4.3827.5%8.2%25.6%18.8%28.9%-1.6%0.7%-1.1M27.7M-206.2K5.0019.41N/AN/A9246097,896226,876
2010-02-11$4.13$4.3826.1%7.5%25.7%16.1%28.5%2.4%2.2%-1.0M25.5M-203.4K20.7218.12N/AN/A1282,652101,980227,288
2010-02-12$4.23$4.3824.9%7.1%27.4%13.7%25.1%4.2%4.2%-1.0M20.5M-200.0K0.5213.47N/AN/A1,46476498,096228,236
2010-02-16$4.21$4.3828.4%8.1%26.0%20.5%28.0%3.6%0.7%-1.0M22.3M-195.9K0.899.57N/AN/A28425299,020228,184
2010-02-17$4.20$4.3826.8%7.7%26.0%17.5%26.8%-6.3%2.9%-1.0M23.0M-198.6K10.1313.36N/AN/A2482,51298,924228,376
2010-02-18$4.29$4.3826.0%7.5%26.4%15.9%26.0%-2.1%3.1%-877.4K19.9M-195.4K1.7913.03N/AN/A46082498,940230,252
2010-02-19$4.33$4.3825.2%7.2%26.3%14.2%25.2%-0.2%3.5%-667.6K15.9M-191.3K0.3413.34N/AN/A73625299,260229,860
2010-02-22$4.26$4.3823.8%6.8%23.7%11.5%23.8%-0.9%2.7%-1.1M17.0M-184.7K0.0514.74N/AN/A7,58838084,768214,520
2010-02-23$4.16$4.3825.9%7.4%25.6%15.6%25.8%-5.3%0.4%-1.1M19.9M-194.5K6.8321.54N/AN/A8165,57689,852214,800
2010-02-24$4.19$4.3824.0%6.9%25.2%11.9%24.1%-3.5%1.8%-1.1M20.3M-192.9K0.6415.25N/AN/A78850490,440216,196
2010-02-25$4.24$4.3824.2%6.9%24.5%12.3%24.2%-1.6%1.4%-1.1M18.3M-195.1K226.3314.56N/AN/A122,71690,996216,556
2010-02-26$4.31$4.3824.9%7.1%24.8%13.6%24.9%-1.3%0.0%-1.0M15.7M-195.4K1.3415.71N/AN/A48464891,000219,164