IBKR Options History — November 2010

In November 2010, IBKR traded between $4.38 and $4.77. ATM implied volatility averaged 22.4%, placing in the 40.3% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded below realized volatility by 9.7% (HV 20d: 32.1%). 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 17 of 21 days. Put/call ratio averaged 38.54.

Notable Days

  • 2010-11-30: Highest Volume — 36,240 contracts
  • 2010-11-17: Largest IV spike — 22.8% change
  • 2010-11-18: Highest IV Rank — 59.2%
  • 2010-11-18: Largest Expected Move — 7.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.58$4.38$4.77$4.63$4.58
Max Pain$4.07$4.00$4.38$4.25$4.38
ATM IV22.4%19.2%27.1%22.9%21.2%
Expected Move6.4%5.5%7.8%6.6%6.1%
HV 20d32.1%18.7%38.7%38.3%26.0%
HV 60d26.1%25.4%27.6%26.2%27.6%
IV Rank40.3%27.5%59.2%42.3%35.8%
IV Percentile40.3%11.5%80.2%41.7%27.4%
Term Structure2.1%-2.2%6.3%-2.2%6.3%
VWIV23.2%19.1%34.6%19.8%27.2%
Skew 25d4.1%-2.0%10.8%2.2%7.2%
Skew 10d7.7%-1.1%17.8%-1.1%10.5%
Call IV 25d18.7%15.1%21.9%19.1%20.6%
Put IV 25d22.8%15.7%30.0%21.2%27.8%
Bid-Ask Spread %84.4361.95125.09101.4177.97
Gamma HHI0.370.300.420.370.34
Net GEX-2.2M-3.6M-1.0M-2.1M-2.1M
Net DEX13.6M-504.7K32.7M12.1M15.6M
Net VEX-217.7K-293.4K-143.4K-242.5K-216.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio38.540.00679.000.431.72
Total Volume6,917.143436,2401,02836,240
Total OI1,066,485.1431,053,9321,091,6481,063,4201,091,648

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-11-01$4.63$4.2522.9%6.6%38.3%42.3%19.8%2.2%-2.2%-2.1M12.1M-242.5K0.43101.41N/AN/A72030866,032997,388
2010-11-02$4.67$4.2523.2%6.7%38.4%43.6%23.1%2.6%-0.8%-2.2M10.6M-227.6K1.08103.41N/AN/A3,4843,75666,060997,476
2010-11-03$4.67$4.2520.7%5.9%37.9%33.7%19.1%-2.0%1.0%-2.3M10.9M-250.9K2.26124.22N/AN/A1,1482,60069,2121,000,864
2010-11-04$4.72$4.2519.7%5.7%37.4%29.7%19.3%-1.7%1.7%-2.1M10.5M-255.3K0.5977.62N/AN/A26415667,9761,001,064
2010-11-05$4.77$4.0019.4%5.9%37.3%28.2%20.5%1.8%3.0%-1.2M208.4K-175.4K14.7069.29N/AN/A1,01614,93667,8361,001,056
2010-11-08$4.71$4.0020.3%6.0%37.9%32.1%20.9%2.4%3.3%-1.0M-504.7K-143.4K0.4569.42N/AN/A51223267,588996,160
2010-11-09$4.69$4.0020.6%6.2%38.0%33.1%0.0%4.5%3.3%-1.5M3.8M-184.3K0.0077.79N/AN/A96067,736996,392
2010-11-10$4.74$4.0021.6%6.1%37.9%37.1%22.2%0.8%3.8%-1.2M874.2K-165.4K679.0072.45N/AN/A42,71667,692996,392
2010-11-11$4.66$4.0021.1%6.0%38.7%35.2%0.0%7.3%2.2%-1.7M7.0M-199.4K0.0061.95N/AN/A4067,692994,772
2010-11-12$4.63$4.0019.2%5.5%38.2%27.5%24.2%8.4%6.1%-1.7M7.5M-197.3K0.39104.02N/AN/A1244867,692994,772
2010-11-15$4.71$4.0021.8%6.3%37.1%38.2%20.6%9.0%3.1%-1.6M2.5M-163.4K2.42105.82N/AN/A4241,02867,796994,808
2010-11-16$4.60$4.0020.9%6.0%37.6%34.5%22.3%4.4%2.0%-1.7M8.2M-185.7K0.2197.56N/AN/A2725667,956995,748
2010-11-17$4.52$4.0025.7%7.4%38.3%53.6%0.0%5.0%-0.8%-2.3M16.5M-233.2K4.9479.09N/AN/A2641,30467,920995,780
2010-11-18$4.45$4.0027.1%7.8%38.7%59.2%24.8%3.6%-1.9%-2.6M21.7M-237.0K17.64125.09N/AN/A2965,22068,160997,056
2010-11-19$4.46$4.0023.8%6.8%18.7%45.8%23.0%0.2%1.5%-2.5M22.1M-238.2K1.4670.71N/AN/A1,9362,82868,0681,000,560
2010-11-22$4.42$4.0024.2%6.9%18.7%47.6%24.2%6.9%1.8%-3.1M25.1M-235.6K12.6070.66N/AN/A4045,09260,240993,692
2010-11-23$4.38$4.0023.6%6.8%18.9%45.4%23.6%3.2%2.0%-3.5M29.2M-247.8K2.8867.44N/AN/A3,1208,97660,424998,336
2010-11-24$4.42$4.0023.8%6.8%18.7%46.1%23.8%2.1%2.0%-3.3M26.1M-235.0K22.6066.70N/AN/A93221,06060,2801,004,872
2010-11-26$4.49$4.0024.6%7.1%19.8%49.2%24.6%7.4%2.2%-3.0M24.0M-245.2K10.8271.27N/AN/A4324,67660,1401,012,980
2010-11-29$4.39$4.0024.6%7.1%20.9%49.2%34.6%10.8%4.0%-3.6M32.7M-293.4K33.1579.25N/AN/A54418,03260,4401,017,432
2010-11-30$4.58$4.3821.2%6.1%26.0%35.8%27.2%7.2%6.3%-2.1M15.6M-216.5K1.7277.97N/AN/A13,32822,91260,5641,031,084