IBKR Options History — April 2011

In April 2011, IBKR traded between $3.91 and $4.38. ATM implied volatility averaged 20.8%, placing in the 33.5% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 6.4% (HV 20d: 14.4%). Max pain ranged from $3.75 to $4.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 15.38.

Notable Days

  • 2011-04-25: Highest Volume — 20,664 contracts
  • 2011-04-14: Largest IV spike — 112.7% change
  • 2011-04-14: Highest IV Rank — 53.7%
  • 2011-04-14: Largest Expected Move — 7.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.08$3.91$4.38$4.04$4.38
Max Pain$3.98$3.75$4.00$3.75$4.00
ATM IV20.8%12.7%27.0%19.7%19.6%
Expected Move6.6%4.2%7.7%5.6%5.6%
HV 20d14.4%10.7%20.5%13.0%20.5%
HV 60d18.3%15.7%19.8%19.8%17.5%
IV Rank33.5%7.0%53.7%30.0%29.6%
IV Percentile34.2%0.8%80.6%16.3%17.1%
Term Structure-0.6%-4.1%7.2%4.2%-0.2%
VWIV22.5%13.9%27.6%19.7%17.4%
Skew 25d1.4%-2.9%11.5%2.9%-0.1%
Skew 10d-0.9%-10.3%6.8%3.8%-2.0%
Call IV 25d22.0%10.6%27.4%16.2%19.7%
Put IV 25d23.4%15.9%28.1%19.1%19.5%
Bid-Ask Spread %83.5559.89115.8993.8379.21
Gamma HHI0.260.210.350.240.34
Net GEX-1.4M-1.7M-1.1M-1.3M-1.1M
Net DEX25.9M11.2M35.1M26.5M11.2M
Net VEX-322.2K-342.1K-276.0K-336.1K-278.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio15.380.34101.4712.382.43
Total Volume4,932.283220,6645,7282,604
Total OI346,698.2330,652364,524330,652364,524

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-04-01$4.04$3.7519.7%5.6%13.0%30.0%19.7%2.9%4.2%-1.3M26.5M-336.1K12.3893.83N/AN/A4285,30056,908273,744
2011-04-04$4.04$3.7522.1%7.4%12.6%37.8%25.1%0.8%-1.8%-1.4M26.0M-331.8K9.0381.91N/AN/A1481,33657,312277,340
2011-04-05$4.00$4.0022.5%7.3%13.1%39.2%26.2%-1.6%-1.1%-1.4M28.8M-342.1K101.4776.25N/AN/A606,08857,380278,216
2011-04-06$4.02$4.0022.6%7.3%13.1%39.6%24.9%-0.3%-1.7%-1.4M27.3M-336.0K11.8278.38N/AN/A2643,12057,436283,276
2011-04-07$4.05$4.0021.2%7.0%11.9%34.9%25.7%-1.5%-1.4%-1.4M25.6M-326.4K3.2479.81N/AN/A4801,55657,372283,856
2011-04-08$4.02$4.0020.6%6.8%12.4%32.9%0.0%0.6%-0.2%-1.4M27.1M-334.7K94.8687.17N/AN/A282,65657,412284,488
2011-04-11$4.01$4.0015.9%7.1%12.4%17.7%0.0%-0.1%-1.8%-1.4M28.7M-335.2K2.1059.89N/AN/A26856457,432285,148
2011-04-12$3.99$4.0018.3%7.2%12.5%25.4%25.2%0.4%-2.0%-1.4M29.4M-334.2K1.6470.72N/AN/A6521,07257,312285,296
2011-04-13$3.98$4.0012.7%7.1%12.5%7.0%24.9%-0.4%-2.4%-1.4M29.3M-325.9K3.9187.18N/AN/A8003,12857,144285,728
2011-04-14$3.98$4.0027.0%7.7%12.2%53.7%27.6%2.2%-3.0%-1.5M31.6M-335.6K43.3270.53N/AN/A1124,85257,768288,324
2011-04-15$4.00$4.0026.1%7.5%11.4%51.0%26.4%-0.0%-0.9%-1.4M30.6M-336.2K0.9393.50N/AN/A1,5801,47257,832291,544
2011-04-18$3.94$4.0024.5%7.0%11.1%45.8%24.9%3.0%-1.9%-1.6M33.4M-333.2K7.6985.52N/AN/A1401,07654,636290,732
2011-04-19$3.91$4.0025.0%7.2%10.7%47.4%25.3%1.7%-4.1%-1.7M35.1M-333.9K0.7672.70N/AN/A1,8441,39654,692291,652
2011-04-20$4.00$4.0025.4%7.3%13.5%48.8%25.5%11.5%-2.9%-1.7M32.4M-334.4K3.89110.49N/AN/A1,0804,19656,276292,240
2011-04-21$4.12$4.0014.5%4.2%16.9%13.2%14.6%-2.9%7.2%-1.7M29.6M-338.2K1.06115.89N/AN/A8,0288,53257,172294,848
2011-04-25$4.17$4.0019.6%5.6%17.2%29.7%20.9%5.2%1.0%-1.5M27.5M-318.9K0.3481.85N/AN/A15,3685,29653,208291,584
2011-04-26$4.31$4.0020.2%5.8%20.2%31.7%19.1%-0.1%-0.3%-1.2M13.3M-279.7K0.6281.88N/AN/A5,1363,16066,524293,348
2011-04-27$4.37$4.0018.8%5.4%20.4%27.2%17.9%7.7%1.3%-1.1M11.7M-276.0K1.3679.68N/AN/A1,1201,52065,792295,528
2011-04-28$4.36$4.0019.0%5.5%20.5%27.8%13.9%-0.8%0.8%-1.1M12.3M-276.3K4.8184.64N/AN/A3761,80866,020296,920
2011-04-29$4.38$4.0019.6%5.6%20.5%29.6%17.4%-0.1%-0.2%-1.1M11.2M-278.4K2.4379.21N/AN/A7601,84466,216298,308