IBKR Options History — January 2011

In January 2011, IBKR traded between $4.04 and $4.55. ATM implied volatility averaged 29.0%, placing in the 61.0% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 8.5% (HV 20d: 20.5%). Max pain ranged from $4.25 to $4.50. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 5.26.

Notable Days

  • 2011-01-06: Highest Volume — 19,920 contracts
  • 2011-01-21: Largest IV drop — 32.5% change
  • 2011-01-10: Highest IV Rank — 100.0%
  • 2011-01-19: Largest Expected Move — 9.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.35$4.04$4.55$4.50$4.04
Max Pain$4.44$4.25$4.50$4.30$4.25
ATM IV29.0%19.9%41.1%29.0%21.4%
Expected Move7.8%5.7%9.8%8.3%6.1%
HV 20d20.5%13.4%35.8%35.2%26.0%
HV 60d32.8%29.2%35.1%34.8%31.0%
IV Rank61.0%26.6%100.0%66.8%31.7%
IV Percentile72.0%17.1%100.0%89.3%29.8%
Term Structure-2.2%-9.3%2.1%-1.1%0.5%
VWIV25.4%14.3%34.2%25.5%20.2%
Skew 25d2.0%-4.9%9.6%9.6%5.4%
Skew 10d1.0%-6.5%8.4%2.3%1.7%
Call IV 25d24.2%14.0%32.1%19.2%14.0%
Put IV 25d26.2%13.1%34.3%28.8%19.5%
Bid-Ask Spread %82.0269.70101.1273.44101.12
Gamma HHI0.200.150.240.150.21
Net GEX-642.6K-1.1M-216.5K-216.5K-1.1M
Net DEX5.9M-7.5M21.9M-7.5M20.8M
Net VEX-184.0K-216.9K-111.0K-111.0K-213.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.260.4123.931.960.41
Total Volume8,108.490019,9206,8887,328
Total OI867,675.4266,0241,155,9961,071,204274,932

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-01-03$4.50$4.3029.0%8.3%35.2%66.8%25.5%9.6%-1.1%-216.5K-7.5M-111.0K1.9673.44N/AN/A2,3244,56463,9481,007,256
2011-01-04$4.41$4.3028.1%8.1%35.8%63.2%28.4%-2.3%-0.7%-307.1K-3.2M-123.2K11.2169.82N/AN/A7208,06864,7801,011,340
2011-01-05$4.44$4.3028.8%8.3%13.4%66.0%30.3%4.1%-1.7%-287.3K-3.9M-130.7K23.9375.08N/AN/A57613,78465,3561,018,316
2011-01-06$4.50$4.3033.2%9.5%13.8%83.5%34.2%2.1%-4.3%-332.7K-4.0M-145.5K3.5569.70N/AN/A4,38015,54065,3321,030,764
2011-01-07$4.48$4.5034.2%8.1%13.9%87.5%29.8%1.0%-0.8%-396.5K-2.6M-161.5K3.3981.45N/AN/A3,20810,88467,8121,043,572
2011-01-10$4.45$4.5038.6%8.7%14.2%100.0%0.0%-0.2%-3.2%-557.6K98.4K-177.1K2.6874.37N/AN/A2,4846,66469,2761,053,696
2011-01-11$4.45$4.5041.1%8.4%14.0%100.0%28.2%2.9%-2.4%-571.0K939.2K-185.4K3.4677.40N/AN/A1,8806,49670,8081,058,192
2011-01-12$4.55$4.5040.5%8.7%15.7%97.9%18.9%7.5%-2.2%-426.7K-4.2M-178.3K2.5484.37N/AN/A3,6929,38071,9601,062,740
2011-01-13$4.52$4.5029.9%8.6%15.9%61.3%31.9%1.4%-5.1%-517.9K-773.5K-196.2K0.4282.62N/AN/A1,22851671,5001,071,624
2011-01-14$4.51$4.5031.0%8.9%15.5%64.9%31.1%5.1%-4.2%-503.2K-919.0K-195.1K5.1886.77N/AN/A1,1886,15672,3961,071,224
2011-01-18$4.50$4.5028.7%8.2%14.4%56.9%29.6%5.3%-1.0%-535.4K110.9K-192.8K1.4575.13N/AN/A2,2923,31272,8161,076,208
2011-01-19$4.35$4.5034.1%9.8%18.7%75.7%31.8%3.9%-9.3%-714.7K7.9M-210.3K0.7881.80N/AN/A2,7802,16074,1201,077,952
2011-01-20$4.37$4.5032.1%9.2%18.3%68.7%31.8%1.6%-3.4%-696.7K7.4M-201.8K1.6575.06N/AN/A3,6405,99674,7961,078,936
2011-01-21$4.17$4.2521.7%6.2%24.2%32.6%19.0%0.9%1.0%-969.3K21.9M-202.4K0.5885.37N/AN/A10,0725,87673,7401,082,256
2011-01-24$4.18$4.5021.6%6.2%23.9%32.3%21.4%-1.3%-1.3%-932.0K15.7M-203.3K1.7782.22N/AN/A2,2003,90030,560235,464
2011-01-25$4.20$4.5020.8%6.0%24.0%29.7%16.0%5.8%-1.0%-926.4K15.6M-208.5K2.4678.36N/AN/A7721,90032,108238,540
2011-01-26$4.17$4.5021.5%6.2%23.9%31.9%14.3%-2.9%0.8%-954.5K17.0M-212.4K5.1099.82N/AN/A4202,14432,640239,940
2011-01-27$4.17$4.5019.9%5.7%23.9%26.6%19.9%-4.9%2.1%-961.2K16.9M-213.1K9.2394.16N/AN/A8881232,864240,040
2011-01-28$4.04$4.5024.6%7.1%25.9%42.9%20.6%-4.6%-6.6%-993.4K20.3M-216.9K23.5092.26N/AN/A1122,63232,864240,840
2011-01-31$4.04$4.2521.4%6.1%26.0%31.7%20.2%5.4%0.5%-1.1M20.8M-213.6K0.41101.12N/AN/A5,1922,13632,900242,032