IBKR Options History — July 2010

In July 2010, IBKR traded between $4.10 and $4.52. ATM implied volatility averaged 24.8%, placing in the 32.9% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded below realized volatility by 2.0% (HV 20d: 26.8%). Max pain ranged from $4.38 to $5.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 4.38.

Notable Days

  • 2010-07-23: Highest Volume — 14,932 contracts
  • 2010-07-15: Largest IV spike — 79.2% change
  • 2010-07-22: Highest IV Rank — 69.4%
  • 2010-07-22: Largest Expected Move — 9.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.24$4.10$4.52$4.12$4.14
Max Pain$4.46$4.38$5.00$4.38$4.38
ATM IV24.8%16.5%34.2%22.4%22.9%
Expected Move7.8%4.9%9.8%6.4%6.6%
HV 20d26.8%19.5%38.5%24.1%35.8%
HV 60d27.1%25.1%30.1%26.0%29.1%
IV Rank32.9%2.2%69.4%22.0%26.7%
IV Percentile34.8%0.8%90.5%12.7%19.0%
Term Structure0.1%-7.0%15.0%4.6%-0.4%
VWIV26.7%14.5%33.6%15.3%21.3%
Skew 25d2.2%-4.4%9.2%-4.4%9.2%
Skew 10d3.0%-7.4%11.5%-7.4%3.5%
Call IV 25d24.9%13.7%32.9%25.2%13.7%
Put IV 25d27.1%20.8%33.4%20.8%22.9%
Bid-Ask Spread %23.4612.8161.2012.8161.20
Gamma HHI0.640.410.720.700.70
Net GEX-1.1M-1.5M-326.3K-1.1M-1.4M
Net DEX22.4M8.2M28.8M26.8M27.0M
Net VEX-249.6K-262.1K-230.2K-259.7K-245.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.380.0822.2110.101.90
Total Volume5,709.3332,38414,9325,6407,060
Total OI334,325.905311,700356,528311,700356,528

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-07-01$4.12$4.3822.4%6.4%24.1%22.0%0.0%-4.4%4.6%-1.1M26.8M-259.7K10.1012.81N/AN/A5085,13256,428255,272
2010-07-02$4.13$4.3817.1%4.9%23.3%4.0%15.3%3.7%15.0%-1.1M27.3M-260.5K5.4314.37N/AN/A4202,28056,624259,452
2010-07-06$4.10$5.0028.9%8.6%21.9%43.9%32.1%3.6%-0.5%-1.2M28.2M-262.1K0.3619.92N/AN/A2,52091256,904261,416
2010-07-07$4.17$5.0025.5%8.5%20.8%32.6%0.0%4.1%-0.8%-1.1M25.2M-259.4K0.7022.80N/AN/A1,5401,07659,108262,264
2010-07-08$4.16$5.0022.3%8.2%20.4%21.5%29.1%5.5%-0.7%-1.2M26.5M-258.1K1.4919.78N/AN/A9561,42858,476263,264
2010-07-09$4.21$4.3818.8%8.5%19.9%9.9%29.5%6.2%-1.0%-1.1M24.5M-250.1K3.8421.07N/AN/A8843,39259,116264,320
2010-07-12$4.20$4.3820.8%8.3%19.5%16.6%29.0%6.2%-1.2%-1.2M25.0M-247.4K1.1220.78N/AN/A2,0322,27259,900266,928
2010-07-13$4.26$4.3820.7%7.9%20.5%16.3%27.3%-2.1%-0.1%-971.1K21.4M-243.9K2.4814.42N/AN/A1,2923,20061,892268,568
2010-07-14$4.25$4.3816.5%8.0%20.2%2.2%28.1%7.4%-0.1%-1.1M21.8M-249.7K22.2118.54N/AN/A50411,19262,420271,044
2010-07-15$4.42$4.3829.5%8.5%24.2%51.7%29.6%2.4%-2.1%-332.5K12.3M-243.0K0.9917.96N/AN/A2,4802,44863,072275,180
2010-07-16$4.34$4.3830.2%8.7%25.0%54.4%30.2%-0.3%-1.3%-326.3K17.9M-249.1K5.7419.82N/AN/A9365,37264,556276,088
2010-07-19$4.41$4.3828.9%8.3%25.4%49.2%29.0%0.2%-1.1%-1.0M15.4M-240.7K0.0835.62N/AN/A4,67237254,644272,716
2010-07-20$4.40$4.3829.5%8.5%25.4%51.6%29.4%1.6%-2.1%-985.9K14.7M-239.9K0.8425.02N/AN/A1,9561,64859,144272,784
2010-07-21$4.46$4.3832.2%9.2%24.8%61.8%32.6%-3.3%-4.9%-937.8K12.3M-234.6K1.2016.94N/AN/A3,7164,45260,612274,424
2010-07-22$4.52$4.3834.2%9.8%25.0%69.4%33.6%0.5%-7.0%-778.4K8.2M-230.2K0.6522.49N/AN/A6,2964,08462,588273,484
2010-07-23$4.17$4.3823.0%6.6%38.5%26.9%22.9%0.1%9.0%-1.3M23.4M-241.5K3.4136.71N/AN/A3,38411,54867,252275,792
2010-07-26$4.14$4.3824.1%6.9%37.6%31.3%24.8%-2.3%-0.3%-1.4M28.8M-260.5K1.0126.44N/AN/A1,9681,99669,764279,616
2010-07-27$4.15$4.3825.4%7.3%37.6%36.5%24.4%0.1%-2.0%-1.3M26.5M-258.1K18.8926.06N/AN/A2604,91270,180280,540
2010-07-28$4.13$4.3824.5%7.0%36.1%33.1%24.3%-0.4%-0.1%-1.4M28.5M-250.5K5.4323.14N/AN/A5402,93270,156283,104
2010-07-29$4.12$4.3823.5%6.7%35.8%29.1%14.5%7.1%-0.2%-1.5M28.5M-257.0K4.1416.77N/AN/A1,0364,28870,596284,628
2010-07-30$4.14$4.3822.9%6.6%35.8%26.7%21.3%9.2%-0.4%-1.4M27.0M-245.8K1.9061.20N/AN/A2,4364,62470,092286,436