IBKR Options History — June 2011

In June 2011, IBKR traded between $3.79 and $4.17. ATM implied volatility averaged 21.7%, placing in the 36.7% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 0.1% (HV 20d: 21.7%). Max pain ranged from $4.00 to $4.25. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 7.40.

Notable Days

  • 2011-06-27: Highest Volume — 22,972 contracts
  • 2011-06-28: Largest IV drop — 32.4% change
  • 2011-06-24: Highest IV Rank — 54.7%
  • 2011-06-24: Largest Expected Move — 7.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.99$3.79$4.17$4.17$3.91
Max Pain$4.22$4.00$4.25$4.05$4.25
ATM IV21.7%18.0%27.3%21.2%23.3%
Expected Move6.3%5.2%7.8%6.1%6.7%
HV 20d21.7%18.9%25.9%21.0%24.8%
HV 60d19.9%18.5%22.3%18.5%22.3%
IV Rank36.7%24.6%54.7%34.8%41.8%
IV Percentile46.4%9.9%85.7%38.1%69.8%
Term Structure2.3%-5.5%15.7%-2.9%1.4%
VWIV21.8%18.2%25.9%18.9%23.3%
Skew 25d1.3%-6.3%12.4%-2.9%-6.1%
Skew 10d4.4%-1.6%13.3%5.9%8.2%
Call IV 25d18.7%12.4%24.3%22.3%20.4%
Put IV 25d20.1%14.3%27.1%19.4%14.3%
Bid-Ask Spread %100.5675.55137.0596.3881.96
Gamma HHI0.280.250.300.280.26
Net GEX-1.8M-2.2M-1.4M-1.4M-2.2M
Net DEX40.6M26.3M51.6M26.3M46.5M
Net VEX-343.9K-371.5K-329.4K-344.3K-359.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio7.400.3147.301.912.40
Total Volume5,494.72772022,9721,2323,520
Total OI396,872.364366,760423,680390,552423,680

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-06-01$4.17$4.0521.2%6.1%21.0%34.8%18.9%-2.9%-2.9%-1.4M26.3M-344.3K1.9196.38N/AN/A42480873,476317,076
2011-06-02$4.12$4.0519.3%5.5%21.1%28.6%19.8%-0.8%-5.5%-1.5M31.2M-371.5K0.31118.30N/AN/A4,5361,42473,820317,488
2011-06-03$4.06$4.2519.3%6.2%20.9%28.8%21.0%-0.7%0.1%-1.6M31.4M-337.4K2.98137.05N/AN/A8482,52875,076318,832
2011-06-06$4.03$4.2524.4%6.8%20.6%45.4%23.2%-3.8%1.0%-1.6M32.6M-335.5K2.7996.23N/AN/A1,9125,33676,116320,932
2011-06-07$4.00$4.2520.2%6.3%19.9%31.6%22.1%-5.3%2.7%-1.6M36.2M-340.6K0.7096.81N/AN/A4,0922,88077,144324,632
2011-06-08$4.00$4.2522.1%5.9%18.9%38.0%20.6%-6.1%2.7%-1.8M39.4M-341.0K4.9292.57N/AN/A7083,48073,168326,788
2011-06-09$4.06$4.2523.0%6.6%19.5%40.7%0.0%-0.5%-2.3%-1.9M36.4M-329.4K0.00112.08N/AN/A02,12473,840330,052
2011-06-10$3.97$4.2523.1%6.6%20.2%40.9%21.5%-6.3%0.6%-1.8M41.4M-337.2K17.6896.27N/AN/A2604,59673,840332,048
2011-06-13$3.92$4.2522.9%6.6%20.1%40.4%0.0%6.7%3.5%-1.9M44.4M-345.8K8.6793.01N/AN/A2922,53273,820335,636
2011-06-14$3.95$4.2520.2%5.8%20.6%31.8%0.0%5.8%4.9%-1.9M43.3M-330.6K26.1794.76N/AN/A481,25673,788335,536
2011-06-15$3.98$4.2521.5%6.2%20.4%35.8%0.0%8.9%1.3%-1.9M42.8M-335.8K5.3597.85N/AN/A13672873,820336,080
2011-06-16$3.96$4.2521.8%6.2%20.1%36.7%21.8%2.9%2.8%-1.9M43.4M-340.1K2.47129.29N/AN/A9522,34872,724336,336
2011-06-17$4.02$4.2520.0%5.7%20.9%31.0%20.0%4.3%4.9%-2.0M40.4M-342.2K7.25101.28N/AN/A6164,46472,860338,300
2011-06-20$4.08$4.0021.2%6.1%21.7%35.0%21.4%-1.9%3.7%-1.9M39.1M-344.4K1.20101.75N/AN/A3,5364,25259,208307,552
2011-06-21$4.07$4.2519.4%5.6%21.2%29.1%0.0%6.5%5.9%-1.9M39.8M-348.5K2.55134.19N/AN/A5601,42861,764311,512
2011-06-22$4.04$4.2519.4%5.6%21.4%29.0%18.2%6.3%4.8%-1.9M41.0M-342.3K2.2197.71N/AN/A22449661,536312,936
2011-06-23$3.97$4.2521.7%6.2%22.0%36.7%21.1%3.2%2.5%-1.9M43.9M-340.6K9.00104.75N/AN/A1641,47661,656313,392
2011-06-24$3.79$4.2527.3%7.8%25.7%54.7%25.9%-0.9%-0.1%-1.8M49.6M-335.0K5.7084.60N/AN/A2,40013,66861,792314,776
2011-06-27$3.85$4.2526.7%7.6%25.4%52.8%24.2%2.8%-0.2%-1.9M51.6M-344.7K0.4889.59N/AN/A15,5247,44864,020323,092
2011-06-28$3.89$4.2518.0%5.2%25.9%24.6%24.7%12.4%15.7%-2.0M46.5M-358.7K3.2775.55N/AN/A1,4164,62478,252329,580
2011-06-29$3.94$4.2522.6%6.5%24.9%39.4%22.8%5.1%2.6%-2.1M45.3M-361.0K47.3080.35N/AN/A22410,59679,492333,724
2011-06-30$3.91$4.2523.3%6.7%24.8%41.8%23.3%-6.1%1.4%-2.2M46.5M-359.4K2.4081.96N/AN/A1,0362,48479,712343,968