IBKR Options History — October 2010

In October 2010, IBKR traded between $4.21 and $4.72. ATM implied volatility averaged 23.0%, placing in the 37.5% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded above realized volatility by 1.0% (HV 20d: 22.0%). Max pain ranged from $4.00 to $4.25. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 103.15.

Notable Days

  • 2010-10-22: Highest Volume — 56,872 contracts
  • 2010-10-14: Largest IV spike — 133.3% change
  • 2010-10-19: Highest IV Rank — 72.3%
  • 2010-10-19: Largest Expected Move — 9.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.41$4.21$4.72$4.34$4.68
Max Pain$4.10$4.00$4.25$4.25$4.25
ATM IV23.0%13.3%33.7%20.9%21.2%
Expected Move8.0%5.9%9.7%6.0%6.1%
HV 20d22.0%12.0%38.1%14.0%38.0%
HV 60d23.8%18.0%26.4%25.2%26.1%
IV Rank37.5%3.3%72.3%29.1%35.7%
IV Percentile37.9%0.4%94.4%19.8%23.8%
Term Structure-1.9%-8.6%8.7%8.7%1.4%
VWIV28.7%21.4%34.1%33.5%22.5%
Skew 25d5.4%1.8%11.3%7.3%5.3%
Skew 10d5.3%-4.0%15.7%2.8%5.4%
Call IV 25d23.6%12.5%30.9%12.5%17.2%
Put IV 25d29.0%19.8%35.4%19.8%22.5%
Bid-Ask Spread %59.1117.57112.3819.1293.78
Gamma HHI0.380.330.480.390.35
Net GEX-4.4M-6.4M-1.7M-5.1M-1.7M
Net DEX41.1M1.3M66.1M51.0M6.1M
Net VEX-409.0K-542.9K-120.8K-506.5K-202.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio103.150.661879.000.681.61
Total Volume11,345.33375256,8722,992752
Total OI1,071,222.6671,059,6921,080,8921,077,2001,062,884

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-10-01$4.34$4.2520.9%6.0%14.0%29.1%0.0%7.3%8.7%-5.1M51.0M-506.5K0.6819.12N/AN/A1,7761,21660,4521,016,748
2010-10-04$4.33$4.0021.9%8.7%14.0%32.3%33.5%1.8%-3.1%-5.1M51.8M-504.8K3.2622.89N/AN/A1,5244,97261,5001,017,964
2010-10-05$4.33$4.0018.1%8.1%12.0%19.5%28.2%3.0%-1.2%-5.1M50.7M-503.2K5.1522.99N/AN/A1,9329,94462,9521,016,604
2010-10-06$4.27$4.0019.8%8.7%12.9%25.5%31.7%3.5%-3.4%-5.6M60.2M-536.6K1.0517.57N/AN/A6,0286,31662,2161,015,452
2010-10-07$4.21$4.0019.3%8.8%13.9%23.6%0.0%2.1%-3.6%-6.0M66.1M-542.9K2.6423.62N/AN/A4121,08860,7281,016,932
2010-10-08$4.27$4.0016.7%8.6%14.5%14.9%29.0%7.5%-1.5%-5.8M58.8M-505.4K4.4722.44N/AN/A5322,37660,5241,017,528
2010-10-11$4.29$4.0017.4%8.8%14.4%17.4%30.8%2.7%-4.3%-5.4M53.8M-483.8K89.6027.13N/AN/A18816,84461,0161,019,876
2010-10-12$4.31$4.0015.9%8.9%14.3%12.4%30.8%10.5%-4.0%-5.3M52.7M-483.9K29.3828.49N/AN/A2086,11261,1001,018,272
2010-10-13$4.29$4.0013.3%8.8%14.5%3.3%30.3%4.2%-3.8%-5.7M54.4M-480.8K1879.0055.45N/AN/A47,51660,9081,016,088
2010-10-14$4.30$4.0030.9%8.9%14.5%62.9%31.5%7.6%-3.1%-5.8M53.7M-468.1K31.6737.94N/AN/A481,52060,9041,019,492
2010-10-15$4.23$4.0031.7%9.1%15.4%65.5%34.1%4.0%-5.5%-6.4M59.7M-485.1K24.2963.70N/AN/A2606,31660,9361,019,160
2010-10-18$4.37$4.0031.5%9.0%19.3%64.7%30.1%11.3%-5.7%-4.7M47.2M-432.5K12.3377.65N/AN/A1,72021,21259,3281,014,792
2010-10-19$4.29$4.0033.7%9.7%20.4%72.3%33.0%9.2%-8.6%-5.0M52.3M-459.7K2.6171.90N/AN/A1,3483,51659,1921,003,028
2010-10-20$4.33$4.0031.4%9.0%20.5%64.4%31.5%3.5%-3.8%-5.0M51.9M-457.0K17.8467.32N/AN/A4487,99259,9361,001,324
2010-10-21$4.30$4.2531.0%8.9%20.1%63.2%31.3%4.9%-5.6%-5.3M51.8M-442.3K19.9876.09N/AN/A2,37247,39260,3561,000,524
2010-10-22$4.72$4.2521.6%6.2%37.7%31.4%21.4%2.3%2.8%-1.7M1.3M-120.8K3.8885.58N/AN/A11,64445,22861,2441,000,232
2010-10-25$4.67$4.2522.0%6.3%38.0%39.0%22.7%6.9%-0.2%-2.1M10.9M-247.8K2.42104.44N/AN/A2,3485,68064,376996,264
2010-10-26$4.65$4.2522.1%6.3%38.1%39.3%22.5%3.8%-0.1%-2.2M11.6M-251.5K0.96112.38N/AN/A2,1322,05664,060995,632
2010-10-27$4.70$4.2522.0%6.3%38.0%38.8%21.4%5.7%1.9%-1.8M7.1M-223.1K0.66110.96N/AN/A1,39692465,160996,784
2010-10-28$4.69$4.2520.4%5.9%38.0%32.6%0.0%6.2%1.6%-2.1M10.7M-249.5K32.6499.91N/AN/A882,87265,788997,420
2010-10-29$4.68$4.2521.2%6.1%38.0%35.7%22.5%5.3%1.4%-1.7M6.1M-202.9K1.6193.78N/AN/A28846465,828997,056