IBKR Options History — April 2010

In April 2010, IBKR traded between $4.04 and $4.29. ATM implied volatility averaged 26.7%, placing in the 23.1% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded above realized volatility by 9.9% (HV 20d: 16.8%). Max pain ranged from $3.75 to $4.38. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 4.23.

Notable Days

  • 2010-04-23: Highest Volume — 45,856 contracts
  • 2010-04-05: Largest IV spike — 36.9% change
  • 2010-04-21: Highest IV Rank — 42.3%
  • 2010-04-21: Largest Expected Move — 10.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.13$4.04$4.29$4.11$4.29
Max Pain$4.17$3.75$4.38$4.38$3.75
ATM IV26.7%16.0%37.4%16.0%23.8%
Expected Move8.3%4.6%10.7%4.6%6.8%
HV 20d16.8%12.5%26.4%15.5%26.0%
HV 60d20.6%19.0%22.2%20.8%22.2%
IV Rank23.1%0.3%42.3%0.3%25.4%
IV Percentile34.6%0.4%85.3%0.4%19.0%
Term Structure-1.2%-7.6%15.6%15.6%-1.4%
VWIV29.2%18.2%37.6%28.9%23.8%
Skew 25d0.4%-6.7%6.1%6.1%-1.3%
Skew 10d3.6%-7.0%10.2%7.3%-1.0%
Call IV 25d27.6%14.0%36.9%14.0%22.4%
Put IV 25d28.0%17.1%37.7%20.2%21.1%
Bid-Ask Spread %17.4010.7625.6612.4920.77
Gamma HHI0.660.420.780.600.42
Net GEX-1.2M-1.5M-401.1K-1.3M-401.1K
Net DEX18.6M8.0M24.7M20.3M8.0M
Net VEX-202.4K-217.2K-188.0K-189.8K-204.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.230.2924.621.389.19
Total Volume10,676.5717245,8567,66811,452
Total OI285,447.238245,272313,056245,272305,084

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-04-01$4.11$4.3816.0%4.6%15.5%0.3%0.0%6.1%15.6%-1.3M20.3M-189.8K1.3812.49N/AN/A3,2204,44843,728201,544
2010-04-05$4.07$4.3821.9%8.4%15.6%11.9%28.9%0.3%-0.7%-1.3M21.7M-192.0K2.1820.59N/AN/A45298446,488204,416
2010-04-06$4.07$4.3822.9%8.1%15.6%13.8%28.7%-0.3%1.0%-1.3M21.6M-192.0K2.0014.10N/AN/A244846,684205,112
2010-04-07$4.09$4.3822.5%8.4%14.5%13.1%28.7%0.4%-1.2%-1.3M21.1M-190.0K1.0416.69N/AN/A12,01612,55246,704205,128
2010-04-08$4.09$4.3824.2%8.9%13.9%16.3%29.9%-0.1%-2.8%-1.3M20.8M-188.0K1.3615.17N/AN/A1,5242,08046,704205,128
2010-04-09$4.15$4.3821.3%8.9%14.5%10.8%31.4%5.4%-2.8%-1.2M18.2M-201.4K1.2410.76N/AN/A1,3601,68459,036218,992
2010-04-12$4.15$4.3827.2%9.2%14.4%22.3%31.7%3.9%-1.7%-1.1M18.0M-200.1K3.3919.85N/AN/A2,2047,46459,916220,348
2010-04-13$4.12$4.3831.3%9.0%12.7%30.3%31.2%2.0%-1.4%-1.2M19.9M-208.3K5.8120.36N/AN/A4642,69660,588224,776
2010-04-14$4.13$4.3831.1%9.7%12.5%29.9%33.6%4.5%-3.7%-1.2M19.5M-206.5K3.4915.46N/AN/A2,7929,73660,508226,300
2010-04-15$4.13$4.3833.1%9.5%12.5%33.8%33.6%5.1%-3.5%-1.2M19.3M-212.0K0.7317.17N/AN/A1,08879262,440230,164
2010-04-16$4.07$3.7534.3%9.8%13.7%36.3%34.7%0.1%-4.3%-1.3M22.3M-212.4K6.0918.36N/AN/A7844,77263,064230,568
2010-04-19$4.12$3.7534.2%9.8%13.6%36.0%34.1%4.2%-3.2%-1.3M20.8M-214.3K1.5215.73N/AN/A1,9763,00458,912233,968
2010-04-20$4.08$3.7534.6%9.9%13.4%36.9%34.1%0.2%-2.4%-1.4M22.9M-216.4K0.2915.70N/AN/A4,0961,20060,416236,704
2010-04-21$4.04$3.7537.4%10.7%12.9%42.3%37.6%0.8%-5.5%-1.4M23.9M-216.2K1.3818.33N/AN/A2,1883,01262,952237,768
2010-04-22$4.04$3.7536.3%10.4%12.8%40.2%35.6%0.7%-7.6%-1.5M24.7M-217.2K3.9617.97N/AN/A2,98811,82064,716238,124
2010-04-23$4.25$4.3823.3%6.7%22.3%14.6%23.3%-2.8%0.2%-816.6K11.3M-192.9K2.4523.89N/AN/A13,30432,55266,144246,912
2010-04-26$4.22$4.3822.6%6.5%22.6%20.2%22.6%-4.3%1.6%-984.1K14.4M-196.0K1.7412.91N/AN/A3,2165,58466,144246,912
2010-04-27$4.13$4.3819.4%5.6%24.2%11.3%18.9%-6.2%-1.0%-1.1M15.7M-201.1K8.4815.28N/AN/A2,31619,64067,372238,316
2010-04-28$4.13$4.3820.9%6.0%24.2%16.0%18.2%-6.7%-0.3%-1.1M16.7M-202.8K24.6225.66N/AN/A79219,50069,352229,860
2010-04-29$4.25$3.7523.1%6.6%26.4%23.2%23.1%-3.0%0.1%-542.3K9.5M-195.8K6.5918.15N/AN/A1,63210,75269,772226,628
2010-04-30$4.29$3.7523.8%6.8%26.0%25.4%23.8%-1.3%-1.4%-401.1K8.0M-204.2K9.1920.77N/AN/A1,12410,32870,932234,152