IBKR Options History — May 2010

In May 2010, IBKR traded between $4.08 and $4.37. ATM implied volatility averaged 25.5%, placing in the 32.3% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded below realized volatility by 3.3% (HV 20d: 28.8%). Max pain ranged from $3.75 to $4.38. Net GEX was positive for 3 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 6.61.

Notable Days

  • 2010-05-27: Highest Volume — 19,648 contracts
  • 2010-05-24: Largest IV drop — 27.3% change
  • 2010-05-21: Highest IV Rank — 52.0%
  • 2010-05-21: Largest Expected Move — 9.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.22$4.08$4.37$4.31$4.19
Max Pain$4.25$3.75$4.38$3.75$4.38
ATM IV25.5%20.1%31.3%24.0%23.6%
Expected Move7.5%5.8%9.0%6.9%6.8%
HV 20d28.8%25.6%33.8%25.6%25.6%
HV 60d22.1%21.1%22.7%21.9%22.7%
IV Rank32.3%14.3%52.0%25.9%26.2%
IV Percentile28.3%4.8%58.7%19.8%19.8%
Term Structure2.8%-0.8%5.2%-0.4%2.9%
VWIV28.7%21.9%37.6%24.0%34.2%
Skew 25d5.7%-3.4%11.7%11.0%8.8%
Skew 10d9.7%-2.9%18.8%16.1%12.5%
Call IV 25d25.3%20.4%31.6%23.2%24.0%
Put IV 25d31.0%20.8%35.9%34.1%32.8%
Bid-Ask Spread %18.338.9338.1316.0417.34
Gamma HHI0.500.380.640.430.61
Net GEX-598.9K-1.1M275.9K-419.6K-767.2K
Net DEX15.0M7.5M21.8M8.7M16.4M
Net VEX-223.0K-234.2K-206.7K-206.7K-224.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.610.4125.880.416.51
Total Volume6,591.42,00819,6482,0084,804
Total OI307,694.6282,824322,136313,640295,552

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-05-03$4.31$3.7524.0%6.9%25.6%25.9%24.0%11.0%-0.4%-419.6K8.7M-206.7K0.4116.04N/AN/A1,42458471,296242,344
2010-05-04$4.22$3.7525.1%7.2%27.0%29.4%24.9%-1.0%-0.8%-611.2K12.0M-215.5K25.8812.35N/AN/A2887,45271,984242,604
2010-05-05$4.18$3.7520.1%5.8%27.2%14.3%23.8%-3.4%0.9%-798.9K15.6M-224.0K22.9726.88N/AN/A1202,75672,008248,152
2010-05-06$4.29$3.7523.3%6.7%28.4%25.2%23.4%-0.4%3.1%-399.2K11.3M-224.8K9.8538.13N/AN/A3803,74471,968250,168
2010-05-07$4.18$4.3825.1%8.5%29.6%31.0%32.4%1.9%2.9%-783.7K16.1M-233.3K10.0511.81N/AN/A9249,28871,908249,000
2010-05-10$4.24$4.3827.3%8.1%29.9%38.6%32.9%7.2%3.3%-569.9K14.5M-226.1K7.6215.42N/AN/A1,84014,02872,528247,764
2010-05-11$4.23$4.3822.4%7.7%29.8%22.0%30.9%7.6%4.3%-480.6K13.8M-225.2K1.9613.43N/AN/A2,9925,87673,948241,556
2010-05-12$4.31$4.3823.7%7.4%30.5%26.6%32.1%10.9%5.2%-148.0K10.8M-220.6K15.1113.18N/AN/A5328,03672,984243,316
2010-05-13$4.37$4.3825.3%7.3%30.7%31.9%29.1%10.2%5.2%13.5K7.5M-217.0K3.188.93N/AN/A6682,12471,524236,572
2010-05-14$4.37$4.3826.8%7.7%30.0%36.9%28.7%11.7%4.8%167.0K7.7M-218.1K1.4918.30N/AN/A2,3523,49671,592236,732
2010-05-17$4.33$4.3827.3%7.8%30.1%38.8%27.3%9.7%4.6%275.9K10.1M-218.9K0.4411.72N/AN/A1,99688071,268238,052
2010-05-18$4.22$4.3828.5%8.2%31.5%42.8%31.5%6.9%3.6%-552.5K15.5M-220.4K2.7621.11N/AN/A1,2483,44070,440238,932
2010-05-19$4.24$4.3828.1%8.1%31.3%41.3%28.9%7.9%3.6%-560.9K15.6M-221.5K1.5219.63N/AN/A9041,37271,208240,856
2010-05-20$4.10$4.3829.9%8.6%33.8%47.5%37.6%5.0%1.5%-969.8K20.0M-226.6K2.0715.51N/AN/A3,7447,76470,688241,724
2010-05-21$4.10$4.3831.3%9.0%27.8%52.0%33.7%3.4%2.7%-1.1M21.8M-234.2K7.5316.85N/AN/A6845,15273,048246,564
2010-05-24$4.08$4.3822.7%6.5%27.8%23.1%21.9%1.2%1.7%-1.1M21.6M-229.4K2.8424.12N/AN/A7802,21655,208227,616
2010-05-25$4.11$4.3828.3%8.1%26.8%42.2%28.4%2.8%1.7%-1.1M21.8M-231.6K2.3623.58N/AN/A1,1042,60455,740228,372
2010-05-26$4.11$4.3823.1%6.6%26.8%24.3%26.0%5.1%2.0%-1.1M20.4M-225.2K6.5427.20N/AN/A6083,97656,092228,036
2010-05-27$4.21$4.3823.4%6.7%25.8%25.5%23.1%7.6%2.4%-927.1K18.1M-216.4K1.0415.12N/AN/A9,62010,02855,984228,564
2010-05-28$4.19$4.3823.6%6.8%25.6%26.2%34.2%8.8%2.9%-767.2K16.4M-224.3K6.5117.34N/AN/A6404,16464,620230,932