IBKR Options History — March 2010

In March 2010, IBKR traded between $4.03 and $4.31. ATM implied volatility averaged 21.0%, placing in the 7.1% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 1.4% (HV 20d: 19.5%). Max pain ranged from $4.38 to $4.38. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 23 of 23 days. Put/call ratio averaged 12.63.

Notable Days

  • 2010-03-22: Highest Volume — 8,356 contracts
  • 2010-03-24: Largest IV drop — 23.7% change
  • 2010-03-17: Highest IV Rank — 15.0%
  • 2010-03-17: Largest Expected Move — 7.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.14$4.03$4.31$4.31$4.04
Max Pain$4.38$4.38$4.38$4.38$4.38
ATM IV21.0%15.9%25.3%23.7%18.8%
Expected Move6.1%4.6%7.2%6.8%5.4%
HV 20d19.5%14.3%24.4%24.2%14.3%
HV 60d20.8%20.2%21.4%20.7%20.9%
IV Rank7.1%0.0%15.0%11.3%5.6%
IV Percentile3.9%0.0%15.9%6.3%2.4%
Term Structure5.3%1.1%13.2%1.1%9.3%
VWIV22.4%9.2%32.5%23.7%9.2%
Skew 25d-1.0%-8.5%30.1%-0.4%-0.9%
Skew 10d0.5%-8.4%39.1%-0.1%-0.6%
Call IV 25d21.5%15.0%24.8%22.7%18.4%
Put IV 25d20.5%13.4%52.9%22.3%17.5%
Bid-Ask Spread %15.4010.1027.6612.1710.44
Gamma HHI0.520.410.600.410.60
Net GEX-1.2M-1.3M-1.0M-1.0M-1.3M
Net DEX20.8M14.7M26.0M14.7M21.8M
Net VEX-189.7K-194.2K-181.2K-193.2K-192.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio12.630.13139.000.8039.89
Total Volume3,057.9132968,3561,0602,944
Total OI290,502.609230,748326,928311,020242,736

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-03-01$4.31$4.3823.7%6.8%24.2%11.3%23.7%-0.4%1.1%-1.0M14.7M-193.2K0.8012.17N/AN/A58847291,336219,684
2010-03-02$4.30$4.3823.0%6.6%24.0%10.0%23.0%-0.8%2.5%-1.0M15.1M-188.1K11.6511.23N/AN/A4204,89291,636220,088
2010-03-03$4.24$4.3822.6%6.5%24.4%9.1%22.7%29.3%1.9%-1.1M18.9M-190.3K1.0210.10N/AN/A1,5241,55292,008222,136
2010-03-04$4.27$4.3822.5%6.4%24.2%8.9%32.5%30.1%2.5%-1.1M17.5M-188.4K2.2213.37N/AN/A9220492,700223,156
2010-03-05$4.28$4.3822.0%7.0%22.9%7.9%24.4%-2.4%4.0%-1.1M16.9M-188.8K8.1212.78N/AN/A3723,02092,728223,352
2010-03-08$4.27$4.3823.0%6.7%20.1%9.9%23.5%-2.5%5.0%-1.1M17.0M-187.0K2.9011.80N/AN/A16447692,588223,336
2010-03-09$4.19$4.3822.4%6.7%20.6%8.8%23.5%-4.5%4.7%-1.2M20.1M-184.4K1.3115.25N/AN/A1,6522,15692,704222,852
2010-03-10$4.14$4.3822.7%7.2%21.1%9.7%25.0%-8.4%2.9%-1.2M22.9M-191.2K0.5314.21N/AN/A4,8482,56493,716224,428
2010-03-11$4.17$4.3824.0%6.9%21.1%12.4%23.6%-7.3%4.0%-1.1M22.6M-190.7K4.7220.08N/AN/A3601,70096,848225,704
2010-03-12$4.16$4.3822.2%6.4%21.1%8.7%0.0%-6.0%5.5%-1.1M22.5M-192.2K7.8221.90N/AN/A4434497,056227,004
2010-03-15$4.08$4.3820.0%5.7%20.0%4.1%24.2%0.1%4.9%-1.2M26.0M-194.2K1.9319.51N/AN/A1,2482,40497,072227,340
2010-03-16$4.11$4.3824.2%6.9%20.2%12.8%0.0%-7.5%4.9%-1.2M25.6M-190.7K29.7015.66N/AN/A401,18897,636229,028
2010-03-17$4.12$4.3825.3%7.2%20.2%15.0%0.0%-7.6%3.2%-1.2M24.5M-191.4K8.1416.56N/AN/A11694497,676229,252
2010-03-18$4.12$4.3820.1%5.8%18.6%4.4%16.8%-6.5%4.7%-1.2M23.0M-190.7K17.0522.52N/AN/A801,36497,760227,752
2010-03-19$4.17$4.3820.6%5.9%18.8%5.4%24.2%-7.5%3.2%-1.1M22.3M-181.2K1.7527.66N/AN/A1,5082,64097,800227,960
2010-03-22$4.12$4.3819.3%5.5%18.6%2.8%23.0%-6.0%4.5%-1.1M18.3M-189.0K0.1326.02N/AN/A7,38497240,656190,668
2010-03-23$4.07$4.3820.8%6.0%17.2%5.8%25.1%-8.5%2.1%-1.2M20.7M-188.0K2.3314.59N/AN/A8401,96039,308191,440
2010-03-24$4.05$4.3815.9%4.6%16.9%0.0%14.5%0.3%13.2%-1.2M21.0M-192.0K1.1610.19N/AN/A2,2602,62440,132192,648
2010-03-25$4.03$4.3817.7%5.1%16.3%3.6%9.2%-3.5%7.4%-1.2M21.5M-189.4K5.1911.43N/AN/A4922,55241,996193,172
2010-03-26$4.03$4.3816.9%4.9%14.9%2.0%0.0%-1.8%9.5%-1.2M21.9M-189.7K139.0012.25N/AN/A202,78042,256194,072
2010-03-29$4.03$4.3816.8%4.8%14.9%1.8%0.0%-0.9%10.7%-1.3M21.7M-189.0K0.9810.58N/AN/A1,4121,38042,276195,632
2010-03-30$4.04$4.3818.1%5.2%15.0%4.3%0.0%-0.5%10.8%-1.3M21.4M-190.8K2.2813.87N/AN/A1,1402,59643,292196,940
2010-03-31$4.04$4.3818.8%5.4%14.3%5.6%0.0%-0.9%9.3%-1.3M21.8M-192.1K39.8910.44N/AN/A722,87243,664199,072