IBKR Options History — September 2010

In September 2010, IBKR traded between $4.09 and $4.35. ATM implied volatility averaged 19.8%, placing in the 25.4% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 1.3% (HV 20d: 18.5%). Max pain ranged from $4.00 to $4.38. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 16.15.

Notable Days

2010-09-29: Highest Volume — 24,944 contracts
2010-09-09: Largest IV spike — 61.5% change
2010-09-07: Highest IV Rank — 43.2%
2010-09-07: Largest Expected Move — 7.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$4.23	$4.09	$4.35	$4.17	$4.30
Max Pain	$4.21	$4.00	$4.38	$4.38	$4.25
ATM IV	19.8%	13.7%	25.1%	19.4%	19.3%
Expected Move	5.9%	5.1%	7.0%	5.6%	5.5%
HV 20d	18.5%	14.0%	22.3%	22.1%	14.0%
HV 60d	26.0%	25.1%	26.6%	26.6%	25.2%
IV Rank	25.4%	4.6%	43.2%	24.2%	23.8%
IV Percentile	13.4%	0.4%	49.2%	8.3%	9.5%
Term Structure	6.1%	2.2%	10.6%	7.3%	10.6%
VWIV	19.4%	10.6%	22.9%	19.6%	17.1%
Skew 25d	4.1%	-2.5%	9.4%	9.2%	4.0%
Skew 10d	3.4%	-4.2%	15.0%	15.0%	3.8%
Call IV 25d	14.8%	10.4%	22.3%	13.6%	14.5%
Put IV 25d	18.9%	14.5%	22.8%	22.8%	18.5%
Bid-Ask Spread %	20.34	11.92	28.91	28.91	28.67
Gamma HHI	0.42	0.38	0.47	0.44	0.39
Net GEX	-5.6M	-6.3M	-4.9M	-5.6M	-5.2M
Net DEX	62.5M	49.7M	82.6M	75.9M	53.6M
Net VEX	-564.6K	-686.7K	-488.1K	-660.7K	-506.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	16.15	0.02	121.00	45.96	0.35
Total Volume	6,656.571	200	24,944	10,708	4,268
Total OI	1,068,400.952	1,038,288	1,092,472	1,060,980	1,077,244

Daily Data (21 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2010-09-01	$4.17	$4.38	19.4%	5.6%	22.1%	24.2%	19.6%	9.2%	7.3%	-5.6M	75.9M	-660.7K	45.96	28.91	N/A	N/A	228	10,480	70,432	990,548
2010-09-02	$4.14	$4.38	19.1%	5.5%	21.1%	22.9%	17.1%	8.3%	5.9%	-6.0M	76.3M	-653.6K	12.01	17.68	N/A	N/A	580	6,964	70,476	992,820
2010-09-03	$4.17	$4.25	17.1%	6.4%	21.1%	16.1%	22.2%	-2.5%	3.3%	-5.8M	73.5M	-657.7K	51.71	26.13	N/A	N/A	180	9,308	70,152	999,004
2010-09-07	$4.09	$4.25	25.1%	7.0%	21.8%	43.2%	22.9%	1.8%	2.2%	-6.3M	82.6M	-686.7K	121.00	19.09	N/A	N/A	20	2,420	70,236	1,007,004
2010-09-08	$4.14	$4.25	13.7%	6.5%	22.3%	4.6%	0.0%	2.5%	3.1%	-6.2M	75.9M	-646.8K	26.52	13.40	N/A	N/A	124	3,288	70,256	1,008,760
2010-09-09	$4.14	$4.25	22.0%	6.3%	19.0%	32.9%	0.0%	3.2%	3.1%	-6.1M	77.7M	-646.8K	14.41	23.35	N/A	N/A	224	3,228	70,324	1,011,988
2010-09-10	$4.16	$4.25	21.5%	6.2%	18.9%	31.1%	21.5%	5.1%	4.4%	-6.0M	72.1M	-624.3K	0.02	15.12	N/A	N/A	196	4	70,320	1,014,820
2010-09-13	$4.20	$4.25	20.8%	6.0%	18.6%	28.8%	0.0%	5.4%	4.1%	-5.9M	66.8M	-595.4K	5.46	15.72	N/A	N/A	192	1,048	70,376	1,014,744
2010-09-14	$4.22	$4.25	19.6%	5.6%	18.6%	24.6%	18.8%	8.0%	6.7%	-5.8M	62.5M	-558.1K	1.80	24.33	N/A	N/A	2,620	4,704	70,484	1,015,672
2010-09-15	$4.23	$4.25	20.2%	5.8%	18.5%	26.6%	20.2%	5.1%	4.7%	-5.4M	59.8M	-556.3K	0.82	20.25	N/A	N/A	1,212	996	71,404	1,019,720
2010-09-16	$4.24	$4.25	20.4%	5.9%	18.4%	27.4%	20.5%	-1.0%	5.1%	-5.3M	57.5M	-531.0K	0.41	15.94	N/A	N/A	244	100	72,016	1,020,368
2010-09-17	$4.26	$4.00	20.2%	5.8%	17.4%	26.6%	20.2%	1.8%	5.3%	-5.3M	55.7M	-524.0K	1.49	22.96	N/A	N/A	288	428	72,068	1,020,404
2010-09-20	$4.29	$4.00	19.7%	5.6%	17.3%	25.0%	0.0%	2.4%	7.1%	-5.4M	52.9M	-488.1K	2.89	23.89	N/A	N/A	244	704	49,620	988,668
2010-09-21	$4.28	$4.00	19.4%	5.6%	16.9%	24.2%	0.0%	3.2%	5.8%	-5.2M	53.7M	-499.1K	5.38	15.34	N/A	N/A	792	4,260	49,816	988,964
2010-09-22	$4.27	$4.00	18.5%	5.3%	16.2%	21.1%	18.5%	1.9%	8.1%	-5.2M	53.2M	-501.6K	8.04	11.92	N/A	N/A	1,236	9,932	50,388	990,840
2010-09-23	$4.22	$4.25	19.7%	5.6%	17.0%	24.9%	0.0%	-0.7%	7.3%	-5.7M	59.1M	-511.3K	2.72	19.19	N/A	N/A	1,480	4,024	50,716	995,588
2010-09-24	$4.32	$4.25	17.7%	5.1%	18.4%	18.3%	10.6%	4.7%	9.9%	-5.3M	52.1M	-500.3K	12.12	23.77	N/A	N/A	1,100	13,336	52,196	999,124
2010-09-27	$4.35	$4.25	19.7%	5.6%	17.6%	25.0%	18.3%	6.7%	8.7%	-4.9M	49.7M	-502.7K	1.96	18.72	N/A	N/A	3,740	7,312	52,540	1,005,768
2010-09-28	$4.34	$4.25	20.2%	5.8%	16.7%	26.8%	20.2%	9.4%	8.6%	-4.9M	50.1M	-503.2K	1.53	22.55	N/A	N/A	5,276	8,064	55,324	1,003,476
2010-09-29	$4.31	$4.25	22.7%	6.5%	17.2%	35.0%	22.7%	7.4%	7.0%	-5.1M	51.4M	-502.3K	22.62	20.14	N/A	N/A	1,056	23,888	59,756	1,001,996
2010-09-30	$4.30	$4.25	19.3%	5.5%	14.0%	23.8%	17.1%	4.0%	10.6%	-5.2M	53.6M	-506.7K	0.35	28.67	N/A	N/A	3,152	1,116	60,792	1,016,452