IBKR Options History — June 2010

In June 2010, IBKR traded between $4.15 and $4.41. ATM implied volatility averaged 23.7%, placing in the 26.5% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded below realized volatility by 2.4% (HV 20d: 26.1%). Max pain ranged from $4.38 to $4.38. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 84.40.

Notable Days

  • 2010-06-21: Highest Volume — 12,104 contracts
  • 2010-06-10: Largest IV spike — 18.5% change
  • 2010-06-11: Highest IV Rank — 34.4%
  • 2010-06-04: Largest Expected Move — 8.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.29$4.15$4.41$4.16$4.15
Max Pain$4.38$4.38$4.38$4.38$4.38
ATM IV23.7%21.3%26.1%22.5%21.6%
Expected Move7.0%6.1%8.1%6.4%6.2%
HV 20d26.1%23.2%28.2%25.6%26.3%
HV 60d24.5%22.7%25.9%22.7%25.9%
IV Rank26.5%18.5%34.4%22.3%19.4%
IV Percentile22.1%8.3%36.5%11.9%9.5%
Term Structure5.1%1.7%7.6%1.7%6.2%
VWIV24.5%18.9%28.4%26.0%18.9%
Skew 25d1.9%-5.8%27.3%-5.8%-3.1%
Skew 10d3.1%-5.8%36.0%-3.8%-5.8%
Call IV 25d23.0%20.0%26.8%26.8%24.4%
Put IV 25d24.9%19.7%52.4%21.1%21.3%
Bid-Ask Spread %17.6812.0328.5817.8428.58
Gamma HHI0.560.420.650.610.62
Net GEX-771.0K-1.3M-512.2K-783.8K-980.5K
Net DEX16.2M10.4M23.6M16.6M23.6M
Net VEX-237.6K-254.7K-223.9K-224.7K-252.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio84.400.431704.000.972.48
Total Volume5,953.45520012,1048,13210,136
Total OI312,944.909282,500349,644294,864303,652

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-06-01$4.16$4.3822.5%6.4%25.6%22.3%26.0%-5.8%1.7%-783.8K16.6M-224.7K0.9717.84N/AN/A4,1204,01265,020229,844
2010-06-02$4.24$4.3824.9%7.1%25.6%30.5%25.1%27.3%2.7%-573.1K15.8M-223.9K19.9117.20N/AN/A1883,74466,704232,344
2010-06-03$4.36$4.3823.9%6.9%27.2%27.1%23.9%1.3%1.8%-512.2K10.4M-225.0K3.5212.03N/AN/A8723,07266,840235,856
2010-06-04$4.28$4.3825.3%8.1%26.9%31.9%28.4%-0.6%3.9%-607.1K13.7M-225.7K19.7114.63N/AN/A3847,56866,636238,700
2010-06-07$4.17$4.3825.0%7.8%26.9%30.8%27.3%5.9%4.6%-803.6K19.2M-229.3K2.0222.92N/AN/A3,3726,82866,696245,480
2010-06-08$4.28$4.3823.6%7.7%27.9%26.1%26.9%8.3%4.7%-619.6K15.6M-230.8K47.8626.84N/AN/A1768,42467,364249,920
2010-06-09$4.22$4.3821.9%7.9%28.2%20.5%27.5%-4.8%4.9%-736.9K18.3M-237.1K6.3814.81N/AN/A5683,62467,048254,760
2010-06-10$4.29$4.3826.0%7.5%28.0%34.2%26.0%-0.3%5.4%-708.8K16.5M-234.5K7.9014.21N/AN/A5404,26867,084257,700
2010-06-11$4.33$4.3826.1%7.5%27.8%34.4%0.0%-0.3%4.9%-716.1K15.0M-236.0K1704.0014.67N/AN/A46,81667,008261,308
2010-06-14$4.32$4.3825.2%7.2%27.8%31.5%25.2%-1.0%5.3%-743.4K16.2M-235.0K1.6913.91N/AN/A1,8403,11267,008267,500
2010-06-15$4.35$4.3825.4%7.3%27.9%32.1%25.4%0.7%5.0%-793.2K15.3M-235.3K12.8916.66N/AN/A4605,92867,396269,948
2010-06-16$4.40$4.3823.7%6.8%26.2%26.5%23.7%2.8%4.8%-747.1K11.6M-237.6K1.3715.85N/AN/A4,2085,77667,600274,888
2010-06-17$4.41$4.3822.9%6.6%26.2%23.6%22.9%2.6%6.3%-936.1K10.7M-232.4K5.0614.96N/AN/A7763,92867,176280,072
2010-06-18$4.37$4.3823.5%6.7%23.2%25.7%23.5%1.4%4.8%-1.3M15.4M-240.5K1.1615.59N/AN/A2,4922,88866,940282,704
2010-06-21$4.36$4.3821.4%6.1%23.2%18.5%21.4%11.2%6.7%-713.0K14.4M-234.9K2.8114.43N/AN/A3,1808,92448,776233,724
2010-06-22$4.27$4.3823.2%6.6%24.5%24.7%23.2%-1.3%6.2%-776.0K17.7M-251.2K0.8816.02N/AN/A92481651,524241,156
2010-06-23$4.26$4.3822.2%6.4%24.5%21.5%0.0%-0.5%6.5%-782.4K17.3M-243.4K1.5513.11N/AN/A1,9643,04051,948241,880
2010-06-24$4.22$4.3823.3%6.7%24.8%25.0%23.3%-2.1%6.1%-838.5K20.1M-254.7K3.5622.10N/AN/A9283,30453,128243,652
2010-06-25$4.31$4.3821.3%6.1%24.6%18.5%21.4%0.7%7.6%-722.7K16.8M-250.6K1.1221.15N/AN/A8961,00453,208245,260
2010-06-28$4.33$4.3824.1%6.9%24.6%27.8%24.1%1.0%5.3%-708.4K15.3M-242.2K0.4318.74N/AN/A1406053,856246,192
2010-06-29$4.20$4.3824.9%7.1%27.0%30.6%25.5%-2.3%6.0%-849.3K20.5M-250.2K9.4322.61N/AN/A5445,12853,400245,888
2010-06-30$4.15$4.3821.6%6.2%26.3%19.4%18.9%-3.1%6.2%-980.5K23.6M-252.1K2.4828.58N/AN/A2,9167,22053,640250,012