IBKR Options History — July 2011

In July 2011, IBKR traded between $3.75 and $4.00. ATM implied volatility averaged 23.1%, placing in the 41.1% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded below realized volatility by 0.1% (HV 20d: 23.1%). Max pain ranged from $4.00 to $4.25. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 6.03.

Notable Days

  • 2011-07-22: Highest Volume — 17,800 contracts
  • 2011-07-14: Largest IV spike — 65.2% change
  • 2011-07-14: Highest IV Rank — 57.7%
  • 2011-07-14: Largest Expected Move — 8.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.86$3.75$4.00$3.98$3.79
Max Pain$4.01$4.00$4.25$4.25$4.00
ATM IV23.1%17.1%28.2%19.1%21.6%
Expected Move7.1%5.5%8.1%5.5%6.2%
HV 20d23.1%18.2%25.6%25.3%18.2%
HV 60d22.1%20.5%23.0%22.6%21.2%
IV Rank41.1%21.4%57.7%27.9%36.3%
IV Percentile57.9%6.7%88.9%14.7%50.4%
Term Structure-1.5%-5.9%4.9%4.9%-0.5%
VWIV23.9%16.5%27.8%18.0%21.5%
Skew 25d-0.3%-5.9%7.9%0.7%-3.5%
Skew 10d1.2%-7.0%7.8%1.8%-4.0%
Call IV 25d22.7%15.4%26.7%16.4%22.4%
Put IV 25d22.4%17.1%28.1%17.1%18.9%
Bid-Ask Spread %64.2447.6180.8180.8151.80
Gamma HHI0.260.250.280.260.25
Net GEX-2.4M-2.6M-2.2M-2.3M-2.6M
Net DEX54.1M43.6M61.6M45.4M60.5M
Net VEX-358.0K-367.3K-346.0K-366.4K-358.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.030.6233.945.323.48
Total Volume6,643.635617,8006,4242,168
Total OI456,560.8426,072504,232426,072504,232

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-07-01$3.98$4.2519.1%5.5%25.3%27.9%18.0%0.7%4.9%-2.3M45.4M-366.4K5.3280.81N/AN/A1,0165,40879,820346,252
2011-07-05$4.00$4.0021.3%7.0%25.3%35.4%24.2%1.6%-0.9%-2.4M44.9M-367.3K11.3677.39N/AN/A2442,77280,412351,540
2011-07-06$3.98$4.0023.4%7.7%25.2%42.0%0.0%3.8%-3.0%-2.4M43.6M-364.5K17.6877.98N/AN/A1001,76880,624354,272
2011-07-07$3.95$4.0021.9%7.1%25.4%37.1%24.7%0.6%-1.2%-2.5M48.5M-359.1K10.5776.11N/AN/A6366,72480,624355,688
2011-07-08$3.93$4.0022.9%7.1%24.7%40.5%24.4%-0.7%-1.2%-2.6M51.6M-365.2K33.9476.05N/AN/A722,44481,076361,768
2011-07-11$3.85$4.0023.6%8.0%24.7%42.8%26.9%-2.9%-5.9%-2.4M57.3M-354.0K1.3279.22N/AN/A44859281,052364,212
2011-07-12$3.88$4.0019.3%7.4%24.5%28.7%25.3%-0.8%-1.7%-2.5M54.7M-358.9K7.0980.76N/AN/A4431281,408364,588
2011-07-13$3.87$4.0017.1%7.5%24.3%21.4%26.3%-0.4%-2.8%-2.3M55.8M-361.0K1.1971.10N/AN/A53664081,436363,068
2011-07-14$3.83$4.0028.2%8.1%24.3%57.7%27.8%1.6%-4.2%-2.2M57.2M-346.0K2.0072.34N/AN/A3,9567,91281,864363,320
2011-07-15$3.83$4.0027.1%7.8%24.3%54.2%27.0%1.8%-2.4%-2.2M57.6M-359.7K11.3970.58N/AN/A2162,46085,832370,112
2011-07-18$3.81$4.0027.0%7.7%23.7%53.8%26.3%-2.1%-0.9%-2.2M56.3M-348.8K1.3857.62N/AN/A2,4923,44082,856360,032
2011-07-19$3.88$4.0028.1%8.0%23.8%57.4%27.2%-0.1%-2.9%-2.3M51.4M-357.4K0.8956.55N/AN/A5,1324,56485,240362,684
2011-07-20$3.90$4.0026.6%7.6%24.0%52.4%26.9%7.9%-3.1%-2.4M50.7M-362.7K0.6555.91N/AN/A74448087,264366,116
2011-07-21$3.92$4.0027.5%7.9%24.1%55.6%27.6%1.4%-3.5%-2.4M49.3M-364.6K0.6250.54N/AN/A6,7084,16487,900366,472
2011-07-22$3.81$4.0020.5%5.9%25.6%32.7%21.0%-3.6%1.4%-2.4M57.7M-350.9K0.9049.36N/AN/A9,3688,43293,180370,188
2011-07-25$3.79$4.0021.1%6.1%19.5%34.7%21.5%-3.3%-0.1%-2.4M58.9M-350.3K1.1353.32N/AN/A8,2409,34897,064375,740
2011-07-26$3.75$4.0021.4%6.1%19.1%35.7%19.3%1.7%-0.5%-2.4M59.9M-354.4K3.0450.09N/AN/A4,30413,068104,920384,508
2011-07-27$3.75$4.0021.9%6.3%18.6%37.3%16.5%-5.9%-1.3%-2.4M61.6M-352.0K2.4547.61N/AN/A1,7764,356107,372386,600
2011-07-28$3.78$4.0022.1%6.3%18.3%37.8%22.1%-3.6%-0.3%-2.5M58.7M-358.6K4.1549.59N/AN/A1,1244,664109,108390,772
2011-07-29$3.79$4.0021.6%6.2%18.2%36.3%21.5%-3.5%-0.5%-2.6M60.5M-358.0K3.4851.80N/AN/A4841,684110,184394,048