IBKR Options History — February 2011

In February 2011, IBKR traded between $3.85 and $4.11. ATM implied volatility averaged 20.3%, placing in the 27.8% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded below realized volatility by 1.1% (HV 20d: 21.4%). Max pain ranged from $3.80 to $4.25. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 16 of 19 days. Put/call ratio averaged 7.91.

Notable Days

2011-02-22: Highest Volume — 14,444 contracts
2011-02-24: Largest IV drop — 14.7% change
2011-02-23: Highest IV Rank — 44.6%
2011-02-23: Largest Expected Move — 7.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$3.97	$3.85	$4.11	$4.11	$3.86
Max Pain	$3.95	$3.80	$4.25	$4.25	$3.80
ATM IV	20.3%	17.6%	25.1%	19.5%	21.3%
Expected Move	5.9%	5.2%	7.2%	5.6%	6.1%
HV 20d	21.4%	12.5%	26.6%	26.6%	12.5%
HV 60d	30.2%	28.1%	31.1%	31.1%	28.1%
IV Rank	27.8%	18.6%	44.6%	25.0%	31.4%
IV Percentile	23.4%	7.1%	72.2%	14.7%	32.5%
Term Structure	2.5%	-1.3%	6.0%	1.0%	-0.4%
VWIV	20.6%	13.9%	24.1%	19.7%	21.7%
Skew 25d	1.6%	-1.0%	7.0%	-1.0%	-1.0%
Skew 10d	3.0%	-2.3%	10.6%	-0.3%	0.3%
Call IV 25d	19.3%	13.8%	23.3%	20.5%	22.2%
Put IV 25d	20.9%	18.7%	23.9%	19.4%	21.2%
Bid-Ask Spread %	80.94	70.00	103.52	103.52	97.66
Gamma HHI	0.22	0.20	0.24	0.20	0.22
Net GEX	-1.3M	-1.6M	-1.0M	-1.0M	-1.6M
Net DEX	24.3M	18.0M	31.1M	18.0M	31.1M
Net VEX	-252.4K	-299.9K	-218.4K	-218.4K	-299.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	7.91	0.61	53.31	5.09	2.51
Total Volume	6,682.316	1,108	14,444	6,112	4,888
Total OI	323,071.789	281,272	379,868	281,272	379,868

Daily Data (19 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
2011-02-01	$4.11	$4.25	19.5%	5.6%	26.6%	25.0%	19.7%	-1.0%	1.0%	-1.0M	18.0M	-218.4K	5.09	103.52	N/A	N/A	1,004	5,108	37,496	243,776
2011-02-02	$4.06	$4.25	21.5%	6.2%	26.1%	31.9%	13.9%	5.8%	-1.3%	-1.1M	19.7M	-222.6K	16.31	84.63	N/A	N/A	64	1,044	37,948	248,808
2011-02-03	$4.04	$4.25	20.7%	5.9%	25.7%	29.1%	19.0%	4.2%	0.3%	-1.2M	21.6M	-224.3K	10.03	103.42	N/A	N/A	272	2,728	38,012	249,684
2011-02-04	$4.02	$4.05	19.0%	5.8%	24.9%	23.2%	20.6%	-0.9%	3.4%	-1.1M	21.5M	-228.2K	24.56	70.61	N/A	N/A	108	2,652	38,240	252,332
2011-02-07	$4.02	$4.05	17.6%	5.8%	25.0%	18.6%	19.8%	-0.2%	3.4%	-1.1M	22.0M	-228.8K	1.84	76.12	N/A	N/A	1,184	2,180	38,348	253,916
2011-02-08	$3.99	$4.05	20.2%	5.5%	25.0%	27.4%	20.9%	1.1%	4.9%	-1.2M	22.6M	-226.6K	0.71	71.98	N/A	N/A	3,832	2,720	39,428	255,892
2011-02-09	$3.99	$4.05	18.8%	5.7%	24.9%	22.6%	19.8%	0.6%	4.0%	-1.2M	22.5M	-237.0K	5.82	70.00	N/A	N/A	1,368	7,968	43,236	258,200
2011-02-10	$4.00	$4.05	19.8%	5.7%	23.1%	26.1%	23.1%	0.2%	3.5%	-1.2M	22.8M	-244.1K	3.55	93.74	N/A	N/A	1,400	4,976	44,004	265,696
2011-02-11	$4.02	$4.05	18.3%	5.2%	23.3%	20.9%	17.1%	7.0%	6.0%	-1.2M	22.1M	-250.9K	0.83	71.48	N/A	N/A	2,660	2,212	45,228	270,260
2011-02-14	$4.03	$3.80	19.2%	5.5%	23.5%	24.0%	20.2%	1.7%	5.1%	-1.2M	21.4M	-246.0K	1.59	72.72	N/A	N/A	3,952	6,272	47,328	272,468
2011-02-15	$3.96	$3.80	19.3%	5.5%	23.7%	24.5%	20.9%	-0.3%	4.6%	-1.2M	23.7M	-256.8K	3.50	85.04	N/A	N/A	828	2,896	49,964	277,836
2011-02-16	$3.97	$3.80	20.7%	5.9%	21.7%	29.4%	21.0%	3.6%	1.5%	-1.2M	24.4M	-259.3K	4.86	79.22	N/A	N/A	1,940	9,436	50,444	280,584
2011-02-17	$3.96	$3.80	19.7%	5.6%	21.5%	25.8%	24.1%	6.8%	4.7%	-1.3M	24.6M	-263.0K	0.00	78.34	N/A	N/A	0	1,244	51,600	288,848
2011-02-18	$3.96	$3.80	20.2%	5.8%	15.2%	27.7%	21.4%	3.2%	3.3%	-1.3M	25.8M	-260.5K	53.31	72.87	N/A	N/A	196	10,448	51,600	289,996
2011-02-22	$3.88	$3.80	22.2%	6.4%	16.0%	34.4%	23.0%	1.1%	0.5%	-1.4M	28.8M	-269.5K	1.94	72.46	N/A	N/A	4,908	9,536	48,900	296,312
2011-02-23	$3.87	$3.80	25.1%	7.2%	15.7%	44.6%	23.6%	-0.3%	-1.2%	-1.5M	29.4M	-280.5K	0.61	74.71	N/A	N/A	5,260	3,196	52,932	304,280
2011-02-24	$3.85	$3.80	21.4%	6.1%	15.7%	31.8%	21.8%	-0.7%	2.2%	-1.5M	30.0M	-281.6K	2.38	81.57	N/A	N/A	2,548	6,076	57,100	306,304
2011-02-25	$3.89	$3.80	20.7%	5.9%	16.4%	29.4%	20.8%	-0.9%	1.5%	-1.5M	29.8M	-296.9K	2.92	77.79	N/A	N/A	2,516	7,344	59,460	312,036
2011-02-28	$3.86	$3.80	21.3%	6.1%	12.5%	31.4%	21.7%	-1.0%	-0.4%	-1.6M	31.1M	-299.9K	2.51	97.66	N/A	N/A	1,392	3,496	61,640	318,228