IBKR Options History — March 2011

In March 2011, IBKR traded between $3.85 and $4.01. ATM implied volatility averaged 21.4%, placing in the 34.4% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 3.3% (HV 20d: 18.0%). Max pain ranged from $3.75 to $4.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 22 of 23 days. Put/call ratio averaged 9.42.

Notable Days

2011-03-18: Highest Volume — 22,144 contracts
2011-03-10: Largest IV spike — 106.8% change
2011-03-16: Highest IV Rank — 56.9%
2011-03-16: Largest Expected Move — 8.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$3.93	$3.85	$4.01	$3.85	$3.97
Max Pain	$3.80	$3.75	$4.00	$3.80	$3.75
ATM IV	21.4%	10.5%	27.9%	21.3%	22.3%
Expected Move	6.4%	5.4%	8.0%	6.1%	6.4%
HV 20d	18.0%	12.1%	20.0%	12.5%	12.1%
HV 60d	20.9%	19.5%	27.8%	27.8%	19.5%
IV Rank	34.4%	0.0%	56.9%	31.2%	38.4%
IV Percentile	40.7%	0.0%	82.1%	32.5%	46.4%
Term Structure	2.6%	-1.6%	5.3%	0.4%	2.9%
VWIV	22.3%	16.8%	27.0%	20.9%	20.3%
Skew 25d	-0.2%	-4.4%	7.1%	7.1%	-1.5%
Skew 10d	0.2%	-10.6%	16.1%	6.2%	0.9%
Call IV 25d	20.7%	12.9%	25.7%	12.9%	19.1%
Put IV 25d	20.6%	14.4%	25.3%	20.1%	17.6%
Bid-Ask Spread %	82.82	42.49	121.30	93.16	90.79
Gamma HHI	0.23	0.21	0.26	0.22	0.25
Net GEX	-1.5M	-1.8M	-1.2M	-1.6M	-1.3M
Net DEX	30.0M	25.2M	34.5M	32.7M	29.2M
Net VEX	-333.4K	-350.8K	-307.0K	-307.0K	-336.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	9.42	0.10	92.70	1.98	12.28
Total Volume	5,570.609	1,488	22,144	5,444	4,144
Total OI	374,059.13	319,952	419,952	384,024	328,780

Daily Data (23 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
2011-03-01	$3.85	$3.80	21.3%	6.1%	12.5%	31.2%	20.9%	7.1%	0.4%	-1.6M	32.7M	-307.0K	1.98	93.16	N/A	N/A	1,824	3,620	62,432	321,592
2011-03-02	$4.01	$3.80	18.9%	5.4%	18.6%	23.0%	19.2%	6.2%	4.3%	-1.5M	25.2M	-314.5K	1.72	93.77	N/A	N/A	3,796	6,536	64,052	323,992
2011-03-03	$3.98	$3.80	20.2%	5.8%	18.3%	27.3%	20.3%	-4.4%	0.2%	-1.5M	26.1M	-319.8K	7.13	95.78	N/A	N/A	640	4,560	67,164	330,000
2011-03-04	$3.94	$3.75	19.7%	6.2%	18.4%	25.8%	21.9%	2.3%	3.4%	-1.6M	29.0M	-325.2K	0.65	48.80	N/A	N/A	1,836	1,192	67,412	333,396
2011-03-07	$3.92	$3.75	21.8%	6.4%	18.5%	33.0%	22.2%	1.1%	2.8%	-1.6M	30.0M	-322.2K	4.05	42.49	N/A	N/A	1,412	5,720	68,808	334,052
2011-03-08	$3.92	$4.00	13.8%	6.5%	18.5%	5.1%	21.8%	0.3%	2.0%	-1.6M	30.7M	-321.1K	5.21	52.91	N/A	N/A	964	5,020	69,600	335,460
2011-03-09	$3.93	$4.00	10.5%	6.1%	18.5%	0.0%	21.8%	1.7%	2.8%	-1.6M	29.7M	-327.9K	8.77	56.07	N/A	N/A	228	2,000	70,304	337,968
2011-03-10	$3.88	$4.00	21.8%	6.2%	19.1%	36.7%	23.2%	2.4%	3.8%	-1.6M	33.2M	-330.2K	92.70	55.01	N/A	N/A	40	3,708	70,392	338,860
2011-03-11	$3.89	$4.00	22.5%	6.4%	19.1%	39.1%	25.2%	-0.1%	3.8%	-1.7M	33.1M	-327.7K	1.59	75.57	N/A	N/A	884	1,404	70,400	340,536
2011-03-14	$3.88	$3.75	25.2%	7.2%	19.0%	47.9%	25.6%	-2.5%	1.4%	-1.7M	33.6M	-324.5K	3.34	56.73	N/A	N/A	616	2,060	70,832	341,628
2011-03-15	$3.88	$3.75	25.5%	7.3%	18.9%	49.0%	24.8%	-2.6%	0.1%	-1.7M	34.5M	-330.8K	1.77	57.53	N/A	N/A	3,708	6,552	71,384	343,064
2011-03-16	$3.86	$3.75	27.9%	8.0%	18.3%	56.9%	27.0%	-3.1%	-1.6%	-1.8M	33.8M	-337.1K	9.14	87.07	N/A	N/A	312	2,852	73,512	344,284
2011-03-17	$3.89	$3.75	23.4%	6.7%	18.7%	42.0%	22.6%	-2.5%	3.5%	-1.6M	32.8M	-333.2K	0.19	116.86	N/A	N/A	14,800	2,836	73,428	345,548
2011-03-18	$3.94	$3.75	21.9%	6.3%	19.3%	37.1%	22.0%	1.8%	2.8%	-1.4M	31.2M	-345.8K	0.10	81.50	N/A	N/A	20,144	2,000	73,528	346,424
2011-03-21	$4.00	$3.75	22.7%	6.5%	20.0%	39.9%	22.6%	-4.1%	3.0%	-1.2M	27.9M	-347.9K	0.86	99.35	N/A	N/A	1,352	1,160	55,384	264,568
2011-03-22	$3.96	$3.75	23.0%	6.6%	19.4%	40.7%	23.1%	0.5%	2.8%	-1.3M	28.8M	-350.8K	2.17	96.37	N/A	N/A	1,720	3,736	55,644	265,360
2011-03-23	$3.95	$3.75	20.9%	6.0%	19.3%	34.0%	16.8%	-0.7%	5.3%	-1.2M	28.7M	-350.4K	7.32	98.98	N/A	N/A	328	2,400	55,520	266,000
2011-03-24	$3.98	$3.75	21.7%	6.2%	19.2%	36.7%	0.0%	0.0%	4.7%	-1.2M	28.1M	-343.6K	2.15	91.65	N/A	N/A	472	1,016	55,844	265,372
2011-03-25	$3.99	$3.75	22.3%	6.4%	19.0%	38.5%	0.0%	-1.0%	2.4%	-1.2M	27.4M	-345.1K	9.22	95.73	N/A	N/A	268	2,472	56,308	266,092
2011-03-28	$3.96	$3.75	22.0%	6.3%	19.1%	37.5%	22.0%	-2.9%	2.8%	-1.2M	27.5M	-339.2K	6.67	105.86	N/A	N/A	460	3,068	56,524	267,064
2011-03-29	$3.96	$3.75	22.6%	6.5%	19.0%	39.4%	0.0%	-0.9%	2.1%	-1.3M	28.7M	-343.2K	29.11	121.30	N/A	N/A	76	2,212	56,948	269,540
2011-03-30	$3.96	$3.75	20.2%	5.8%	12.4%	31.8%	20.3%	-0.9%	4.6%	-1.3M	29.1M	-344.0K	8.50	91.52	N/A	N/A	208	1,768	57,016	271,344
2011-03-31	$3.97	$3.75	22.3%	6.4%	12.1%	38.4%	0.0%	-1.5%	2.9%	-1.3M	29.2M	-336.6K	12.28	90.79	N/A	N/A	312	3,832	56,964	271,816