IBKR Options History — August 2010

In August 2010, IBKR traded between $3.99 and $4.28. ATM implied volatility averaged 20.0%, placing in the 25.1% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded below realized volatility by 9.2% (HV 20d: 29.2%). 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 24.67.

Notable Days

  • 2010-08-25: Highest Volume — 727,696 contracts
  • 2010-08-04: Largest IV drop — 40.9% change
  • 2010-08-16: Highest IV Rank — 38.4%
  • 2010-08-16: Largest Expected Move — 6.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.12$3.99$4.28$4.19$4.05
Max Pain$4.38$4.38$4.38$4.38$4.38
ATM IV20.0%12.3%23.6%17.0%22.3%
Expected Move5.9%3.5%6.8%4.9%6.4%
HV 20d29.2%18.0%37.5%36.1%19.4%
HV 60d27.9%26.4%28.9%28.8%26.4%
IV Rank25.1%0.0%38.4%4.3%33.7%
IV Percentile13.6%0.0%32.5%2.0%21.4%
Term Structure3.3%0.8%8.8%1.0%1.2%
VWIV20.2%12.3%24.4%17.4%22.1%
Skew 25d1.6%-6.4%20.3%2.7%1.1%
Skew 10d1.8%-11.3%28.2%1.3%-0.2%
Call IV 25d19.2%12.4%23.7%19.8%17.2%
Put IV 25d20.9%16.8%38.5%22.5%18.3%
Bid-Ask Spread %23.1612.4866.2222.5215.27
Gamma HHI0.610.430.720.710.44
Net GEX-2.6M-9.3M-1.1M-1.3M-6.5M
Net DEX43.3M20.3M134.7M25.0M96.6M
Net VEX-355.1K-1.1M-227.8K-247.5K-739.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio24.670.27239.321.6120.84
Total Volume37,206.9091,064727,6961,8485,416
Total OI519,684.909358,6321,531,008358,6321,059,140

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-08-02$4.19$4.3817.0%4.9%36.1%4.3%17.4%2.7%1.0%-1.3M25.0M-247.5K1.6122.52N/AN/A7081,14071,952286,680
2010-08-03$4.16$4.3820.8%6.0%36.1%18.7%17.7%6.7%0.9%-1.4M25.3M-240.0K5.9330.77N/AN/A3922,32471,848286,904
2010-08-04$4.20$4.3812.3%3.5%35.7%0.0%12.3%8.9%8.8%-1.3M24.1M-240.1K9.7020.22N/AN/A3203,10472,044287,988
2010-08-05$4.28$4.3814.6%4.2%36.2%7.7%0.0%20.3%3.1%-1.1M20.3M-227.8K13.6521.46N/AN/A2042,78472,060290,204
2010-08-06$4.24$4.3815.0%5.7%36.2%9.2%20.1%2.8%4.5%-1.2M22.6M-243.5K4.9522.18N/AN/A3521,74472,204290,008
2010-08-09$4.26$4.3815.9%5.9%36.2%12.2%18.9%2.2%4.1%-1.1M20.7M-230.8K0.9766.22N/AN/A78075672,536291,488
2010-08-10$4.25$4.3817.5%5.7%35.8%17.7%19.4%4.3%4.8%-1.1M21.1M-228.0K21.0224.58N/AN/A4288,99672,664291,972
2010-08-11$4.11$4.3817.7%6.1%37.5%18.3%18.8%-0.8%3.7%-1.5M27.9M-233.9K18.0025.39N/AN/A3886,98472,936293,532
2010-08-12$4.15$4.3821.4%6.1%34.8%30.9%21.0%0.2%5.6%-1.5M27.9M-244.3K2.4124.03N/AN/A1,1082,66873,220300,056
2010-08-13$4.10$4.3823.2%6.7%34.5%36.8%23.3%-3.6%2.8%-1.7M31.1M-244.5K4.7324.62N/AN/A5962,82072,160302,076
2010-08-16$4.08$4.3823.6%6.8%33.8%38.4%23.9%-5.0%2.7%-1.9M32.7M-248.8K3.7932.13N/AN/A4361,65272,596304,576
2010-08-17$4.12$4.3821.9%6.3%34.0%32.6%17.4%-1.5%3.8%-1.7M31.5M-244.7K138.5023.88N/AN/A81,10872,796305,956
2010-08-18$4.11$4.3820.6%5.9%33.4%28.2%20.3%-1.8%5.3%-1.7M30.3M-240.8K8.4226.38N/AN/A1521,28072,796305,080
2010-08-19$4.05$4.3822.6%6.5%32.9%34.9%22.3%-5.9%2.2%-1.9M33.2M-242.5K2.3615.59N/AN/A2,4405,75272,744306,180
2010-08-20$4.08$4.3821.7%6.2%18.0%31.7%17.3%-3.1%5.3%-1.8M32.6M-252.4K30.8028.25N/AN/A54416,75673,628311,164
2010-08-23$4.05$4.3821.5%6.2%18.0%31.2%21.6%-6.4%1.9%-1.9M33.8M-253.7K1.2513.42N/AN/A2,5203,15263,876315,960
2010-08-24$4.00$4.3822.3%6.4%18.3%33.9%19.6%0.4%1.8%-2.0M37.0M-261.1K0.2714.00N/AN/A83622866,152318,464
2010-08-25$3.99$4.3822.9%6.6%18.3%35.7%22.9%5.5%3.0%-2.1M39.8M-263.3K239.3215.46N/AN/A3,028724,66866,708318,656
2010-08-26$4.00$4.3821.8%6.3%18.3%32.2%24.4%6.7%3.5%-6.7M107.6M-812.9K3.5412.48N/AN/A1,1243,97669,0201,023,548
2010-08-27$4.08$4.3821.7%6.2%19.6%31.7%21.4%3.0%2.8%-9.3M134.7M-1.1M7.1513.84N/AN/A3642,60469,8521,461,156
2010-08-30$4.03$4.3822.1%6.3%19.3%33.0%22.1%-0.8%0.8%-6.4M97.4M-764.6K3.6016.90N/AN/A4161,49669,980988,508
2010-08-31$4.05$4.3822.3%6.4%19.4%33.7%22.1%1.1%1.2%-6.5M96.6M-739.9K20.8415.27N/AN/A2485,16870,388988,752