IBKR Options History — May 2011

In May 2011, IBKR traded between $4.13 and $4.41. ATM implied volatility averaged 20.1%, placing in the 31.5% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded below realized volatility by 0.6% (HV 20d: 20.8%). Max pain ranged from $4.00 to $4.05. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 2.85.

Notable Days

  • 2011-05-11: Highest Volume — 7,160 contracts
  • 2011-05-12: Largest IV spike — 40.6% change
  • 2011-05-16: Highest IV Rank — 40.1%
  • 2011-05-16: Largest Expected Move — 6.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.27$4.13$4.41$4.38$4.29
Max Pain$4.04$4.00$4.05$4.00$4.05
ATM IV20.1%15.7%22.8%19.6%18.0%
Expected Move5.9%5.1%6.5%5.6%5.2%
HV 20d20.8%15.4%24.1%20.1%18.5%
HV 60d18.2%17.3%19.0%17.5%17.5%
IV Rank31.5%16.8%40.1%29.7%24.5%
IV Percentile28.1%3.6%58.3%17.5%9.5%
Term Structure1.6%-1.2%5.0%2.3%1.1%
VWIV20.3%14.1%23.5%19.8%18.1%
Skew 25d1.1%-2.4%8.6%1.0%-0.1%
Skew 10d0.2%-10.1%5.9%-2.6%-0.1%
Call IV 25d18.9%12.6%22.3%19.1%17.1%
Put IV 25d20.0%14.0%22.4%20.1%17.0%
Bid-Ask Spread %92.1673.78118.9773.78118.97
Gamma HHI0.300.230.370.350.28
Net GEX-1.3M-1.5M-1.1M-1.1M-1.4M
Net DEX19.7M11.4M30.0M11.4M21.2M
Net VEX-317.0K-357.5K-275.7K-280.0K-337.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.850.0612.001.400.06
Total Volume2,737.3337647,1602,984988
Total OI381,418.667366,172394,764366,172389,796

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-05-02$4.38$4.0019.6%5.6%20.1%29.7%19.8%1.0%2.3%-1.1M11.4M-280.0K1.4073.78N/AN/A1,2441,74066,668299,504
2011-05-03$4.35$4.0020.2%5.8%20.4%31.7%20.1%-0.4%0.1%-1.3M16.6M-338.5K2.8280.62N/AN/A4481,26467,028300,328
2011-05-04$4.32$4.0019.8%5.7%20.4%30.2%19.5%5.1%1.9%-1.1M13.4M-275.7K6.2495.26N/AN/A1961,22467,260301,472
2011-05-05$4.37$4.0021.7%6.2%20.6%36.6%0.0%8.6%0.3%-1.2M13.0M-281.4K2.0582.71N/AN/A8041,65267,376302,636
2011-05-06$4.30$4.0519.7%6.1%21.5%29.9%20.5%-0.8%2.4%-1.2M14.8M-284.1K7.5290.52N/AN/A2001,50467,312304,280
2011-05-09$4.35$4.0519.8%6.4%21.3%30.4%23.5%0.5%1.3%-1.2M14.1M-281.8K12.0081.58N/AN/A6072067,356305,568
2011-05-10$4.41$4.0519.1%6.1%21.4%28.2%22.1%1.6%1.1%-1.1M11.8M-278.4K0.5590.59N/AN/A2,7641,51267,368306,192
2011-05-11$4.33$4.0515.7%5.9%22.7%16.8%20.8%-0.3%4.0%-1.2M13.5M-280.6K0.6083.91N/AN/A4,4722,68869,800307,552
2011-05-12$4.36$4.0522.0%6.3%22.5%37.6%14.1%-0.0%0.3%-1.1M13.5M-286.9K1.2695.99N/AN/A1,2081,52072,820308,048
2011-05-13$4.30$4.0521.9%6.3%23.5%37.2%22.5%-0.4%1.5%-1.1M14.3M-286.3K0.7788.42N/AN/A3,6842,82073,964309,312
2011-05-16$4.28$4.0522.8%6.5%23.7%40.1%23.2%0.1%0.5%-1.3M22.5M-357.5K0.0093.57N/AN/A04,26076,600311,004
2011-05-17$4.21$4.0521.4%6.1%24.1%35.6%21.6%3.6%2.4%-1.1M19.9M-289.4K3.04109.44N/AN/A1,2523,80476,600314,576
2011-05-18$4.24$4.0520.7%5.9%23.6%33.4%21.2%4.4%2.0%-1.3M24.3M-354.9K2.8387.67N/AN/A6121,73277,424316,792
2011-05-19$4.22$4.0521.5%6.2%22.7%36.0%20.7%1.9%1.8%-1.3M24.4M-355.8K1.13114.46N/AN/A68878076,960317,736
2011-05-20$4.19$4.0519.7%5.6%20.6%29.8%20.7%1.7%5.0%-1.4M25.7M-350.0K10.32103.55N/AN/A1001,03276,408318,356
2011-05-23$4.13$4.0521.3%6.1%20.9%35.2%19.2%0.2%-1.2%-1.5M28.5M-339.7K1.2681.71N/AN/A44856470,980312,408
2011-05-24$4.13$4.0521.8%6.3%16.4%36.9%22.6%0.6%-0.4%-1.5M30.0M-351.7K0.2591.04N/AN/A1,72042471,400312,892
2011-05-25$4.13$4.0520.3%5.8%15.4%31.9%20.6%-1.2%1.3%-1.4M28.7M-352.6K1.3577.81N/AN/A41255670,608313,300
2011-05-26$4.20$4.0518.5%5.3%17.2%26.0%18.4%-0.3%2.8%-1.4M28.1M-347.3K1.3189.95N/AN/A2,4323,19270,988313,808
2011-05-27$4.28$4.0517.7%5.1%18.4%23.3%16.1%-2.4%3.0%-1.4M23.6M-346.6K0.26103.83N/AN/A60815672,440316,872
2011-05-31$4.29$4.0518.0%5.2%18.5%24.5%18.1%-0.1%1.1%-1.4M21.2M-337.3K0.06118.97N/AN/A9286072,768317,028