IBKR Options History — December 2010

In December 2010, IBKR traded between $4.32 and $4.81. ATM implied volatility averaged 26.4%, placing in the 56.2% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded below realized volatility by 14.7% (HV 20d: 41.1%). Max pain ranged from $4.00 to $4.75. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 6.01.

Notable Days

2010-12-02: Highest Volume — 21,496 contracts
2010-12-02: Largest IV drop — 25.3% change
2010-12-06: Highest IV Rank — 67.0%
2010-12-08: Largest Expected Move — 8.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$4.46	$4.32	$4.81	$4.51	$4.46
Max Pain	$4.28	$4.00	$4.75	$4.00	$4.30
ATM IV	26.4%	21.1%	29.1%	28.3%	27.4%
Expected Move	7.7%	6.1%	8.8%	8.1%	7.9%
HV 20d	41.1%	26.2%	45.8%	26.2%	39.5%
HV 60d	33.8%	27.5%	35.3%	27.5%	34.9%
IV Rank	56.2%	35.3%	67.0%	63.8%	60.4%
IV Percentile	75.3%	27.0%	89.7%	86.1%	82.9%
Term Structure	-0.7%	-4.2%	5.5%	-0.6%	-2.2%
VWIV	26.8%	23.2%	31.1%	27.1%	27.4%
Skew 25d	5.7%	-2.7%	34.8%	2.7%	4.7%
Skew 10d	9.7%	-5.0%	71.5%	4.8%	4.2%
Call IV 25d	24.0%	18.3%	28.6%	24.6%	21.2%
Put IV 25d	29.7%	24.2%	59.0%	27.4%	26.0%
Bid-Ask Spread %	63.34	21.00	80.30	65.07	21.00
Gamma HHI	0.21	0.15	0.47	0.36	0.15
Net GEX	-589.6K	-2.6M	-173.9K	-2.6M	-235.8K
Net DEX	-4.9M	-12.6M	19.0M	19.0M	-6.2M
Net VEX	-143.0K	-250.6K	-106.3K	-250.6K	-111.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	6.01	0.03	39.83	2.28	9.82
Total Volume	5,176.909	616	21,496	5,028	2,684
Total OI	1,107,617.818	1,061,464	1,148,696	1,117,912	1,068,672

Daily Data (22 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
2010-12-01	$4.51	$4.00	28.3%	8.1%	26.2%	63.8%	27.1%	2.7%	-0.6%	-2.6M	19.0M	-250.6K	2.28	65.07	N/A	N/A	1,532	3,496	68,992	1,048,920
2010-12-02	$4.58	$4.00	21.1%	6.1%	27.0%	35.3%	23.2%	-0.4%	2.3%	-2.1M	13.0M	-221.8K	0.43	70.69	N/A	N/A	15,008	6,488	69,772	1,050,364
2010-12-03	$4.81	$4.00	24.4%	7.0%	31.9%	48.4%	24.2%	34.8%	5.5%	-657.3K	-3.5M	-183.4K	0.77	67.86	N/A	N/A	7,512	5,796	77,336	1,055,240
2010-12-06	$4.78	$4.75	29.1%	8.2%	31.7%	67.0%	27.5%	3.0%	-4.2%	-658.1K	-4.0M	-175.9K	1.02	68.53	N/A	N/A	9,172	9,328	80,692	1,056,440
2010-12-07	$4.36	$4.30	28.4%	8.5%	45.8%	64.2%	31.1%	4.5%	-1.9%	-756.5K	-4.7M	-166.0K	1.54	73.96	N/A	N/A	2,620	4,032	80,692	1,056,440
2010-12-08	$4.34	$4.30	26.5%	8.8%	45.8%	56.9%	28.4%	3.0%	-1.6%	-733.1K	-5.9M	-161.7K	1.46	58.30	N/A	N/A	872	1,276	86,028	1,062,668
2010-12-09	$4.37	$4.30	24.8%	8.0%	45.6%	50.0%	27.4%	3.3%	-1.8%	-565.2K	-8.2M	-142.2K	27.33	53.79	N/A	N/A	132	3,608	85,056	1,060,564
2010-12-10	$4.36	$4.30	24.4%	8.3%	45.4%	48.6%	28.7%	2.6%	-2.3%	-404.9K	-8.6M	-135.0K	1.68	70.23	N/A	N/A	324	544	85,144	1,059,732
2010-12-13	$4.34	$4.30	27.6%	8.2%	45.3%	61.1%	28.2%	8.1%	-2.0%	-597.8K	-7.3M	-142.6K	39.83	64.74	N/A	N/A	192	7,648	85,172	1,059,652
2010-12-14	$4.33	$4.30	28.8%	8.2%	44.6%	65.8%	28.3%	7.8%	-2.9%	-595.5K	-7.2M	-140.0K	6.64	52.85	N/A	N/A	200	1,328	85,144	1,054,128
2010-12-15	$4.36	$4.30	28.0%	8.0%	44.2%	62.8%	27.7%	7.6%	-1.5%	-516.1K	-8.5M	-134.9K	1.52	63.09	N/A	N/A	244	372	85,100	1,053,700
2010-12-16	$4.32	$4.30	28.3%	8.1%	43.9%	63.9%	28.4%	3.8%	-2.9%	-444.3K	-7.1M	-134.6K	0.19	58.68	N/A	N/A	9,360	1,744	85,072	1,054,036
2010-12-17	$4.39	$4.30	27.6%	7.9%	44.2%	61.1%	26.8%	8.8%	-1.3%	-366.8K	-12.6M	-132.0K	0.98	64.75	N/A	N/A	896	880	91,988	1,054,364
2010-12-20	$4.39	$4.30	26.4%	7.6%	44.1%	56.4%	25.5%	7.0%	-1.3%	-343.8K	-3.6M	-125.1K	0.03	67.25	N/A	N/A	744	24	63,760	997,704
2010-12-21	$4.43	$4.30	24.5%	7.0%	44.2%	48.9%	25.1%	9.9%	1.7%	-252.1K	-5.4M	-119.3K	0.63	56.23	N/A	N/A	1,276	804	64,492	997,720
2010-12-22	$4.44	$4.30	23.4%	6.7%	44.0%	44.3%	25.3%	3.4%	1.8%	-238.7K	-6.0M	-115.3K	2.02	72.81	N/A	N/A	852	1,724	64,808	997,336
2010-12-23	$4.48	$4.30	26.5%	7.6%	44.0%	56.5%	26.3%	-2.7%	-1.2%	-182.9K	-7.7M	-118.6K	0.23	71.95	N/A	N/A	1,396	324	64,308	998,064
2010-12-27	$4.50	$4.30	26.1%	7.5%	43.7%	55.0%	24.8%	1.4%	0.0%	-173.9K	-8.5M	-108.7K	7.57	79.29	N/A	N/A	300	2,272	63,520	997,980
2010-12-28	$4.51	$4.30	25.8%	7.4%	43.0%	54.1%	25.2%	2.1%	1.6%	-194.1K	-8.1M	-110.8K	15.11	80.30	N/A	N/A	112	1,692	63,400	1,000,184
2010-12-29	$4.50	$4.30	26.4%	7.6%	40.2%	56.4%	27.0%	1.9%	-0.3%	-184.8K	-8.1M	-106.3K	7.08	63.31	N/A	N/A	360	2,548	63,472	1,001,812
2010-12-30	$4.49	$4.30	26.2%	7.5%	39.9%	55.5%	25.7%	8.1%	-1.1%	-201.9K	-7.6M	-110.2K	4.13	48.79	N/A	N/A	424	1,752	63,648	1,004,276
2010-12-31	$4.46	$4.30	27.4%	7.9%	39.5%	60.4%	27.4%	4.7%	-2.2%	-235.8K	-6.2M	-111.1K	9.82	21.00	N/A	N/A	248	2,436	63,808	1,004,864