IBKR Options History — August 2011

In August 2011, IBKR traded between $3.27 and $3.81. ATM implied volatility averaged 33.2%, placing in the 52.7% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded below realized volatility by 16.5% (HV 20d: 49.7%). Max pain ranged from $4.00 to $4.50. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 14 of 23 days. Put/call ratio averaged 3.90.

Notable Days

2011-08-05: Highest Volume — 116,828 contracts
2011-08-10: Largest IV spike — 39.1% change
2011-08-08: Highest IV Rank — 100.0%
2011-08-10: Largest Expected Move — 12.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$3.70	$3.27	$3.81	$3.77	$3.75
Max Pain	$4.22	$4.00	$4.50	$4.00	$4.00
ATM IV	33.2%	20.1%	58.9%	21.7%	28.0%
Expected Move	9.1%	5.8%	12.7%	6.2%	8.0%
HV 20d	49.7%	16.6%	61.2%	16.8%	61.2%
HV 60d	34.2%	20.8%	38.8%	21.0%	38.8%
IV Rank	52.7%	31.4%	100.0%	36.5%	36.1%
IV Percentile	86.6%	27.8%	100.0%	51.6%	83.3%
Term Structure	1.6%	-8.2%	10.1%	0.3%	6.2%
VWIV	31.6%	19.8%	42.3%	25.9%	19.8%
Skew 25d	-0.0%	-8.1%	5.6%	-5.2%	-8.1%
Skew 10d	-1.3%	-14.5%	13.1%	-6.3%	4.7%
Call IV 25d	31.5%	15.4%	43.2%	24.3%	28.7%
Put IV 25d	31.5%	16.4%	43.7%	19.1%	20.6%
Bid-Ask Spread %	69.90	26.93	80.99	60.21	80.97
Gamma HHI	0.23	0.21	0.25	0.25	0.22
Net GEX	-2.4M	-2.7M	-1.4M	-2.6M	-2.7M
Net DEX	72.4M	62.3M	89.7M	62.3M	69.5M
Net VEX	-407.0K	-451.1K	-338.8K	-350.8K	-400.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.90	0.43	9.80	1.64	0.54
Total Volume	15,098.435	976	116,828	18,048	3,820
Total OI	584,473.913	505,428	613,304	505,428	605,584

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
2011-08-01	$3.77	$4.00	21.7%	6.2%	16.8%	36.5%	25.9%	-5.2%	0.3%	-2.6M	62.3M	-350.8K	1.64	60.21	N/A	N/A	6,836	11,212	110,360	395,068
2011-08-02	$3.75	$4.00	22.3%	6.4%	16.6%	38.5%	22.1%	2.1%	1.1%	-2.6M	65.2M	-362.7K	7.26	71.01	N/A	N/A	468	3,400	116,172	403,712
2011-08-03	$3.77	$4.00	20.1%	5.8%	16.9%	31.4%	20.1%	3.3%	1.9%	-2.7M	66.8M	-363.9K	4.49	69.83	N/A	N/A	312	1,400	116,420	406,372
2011-08-04	$3.68	$4.00	27.7%	7.9%	18.4%	56.3%	27.2%	-7.7%	-3.1%	-2.4M	71.4M	-356.4K	4.28	62.15	N/A	N/A	4,532	19,412	116,444	407,024
2011-08-05	$3.61	$4.50	36.4%	9.8%	19.3%	84.7%	30.3%	-0.1%	-5.7%	-2.2M	81.1M	-362.9K	8.85	26.93	N/A	N/A	11,864	104,964	119,744	425,160
2011-08-08	$3.27	$4.50	47.5%	11.0%	38.3%	100.0%	38.7%	-7.4%	-4.5%	-1.4M	89.7M	-338.8K	6.50	77.63	N/A	N/A	6,376	41,444	124,960	436,116
2011-08-09	$3.65	$4.50	42.3%	10.1%	57.0%	86.0%	41.3%	5.3%	-0.0%	-2.4M	83.4M	-421.0K	3.39	79.81	N/A	N/A	5,344	18,092	129,260	468,484
2011-08-10	$3.56	$4.25	58.9%	12.7%	57.6%	100.0%	42.3%	2.3%	-8.2%	-2.1M	81.9M	-429.2K	0.43	73.49	N/A	N/A	4,160	1,792	131,064	479,300
2011-08-11	$3.72	$4.25	39.3%	11.3%	59.8%	59.4%	39.7%	3.5%	-2.8%	-2.4M	74.3M	-447.4K	4.07	67.27	N/A	N/A	3,860	15,720	134,176	479,128
2011-08-12	$3.75	$4.25	36.4%	10.4%	59.9%	53.5%	36.3%	3.9%	-0.4%	-2.3M	71.8M	-451.1K	1.04	67.78	N/A	N/A	1,668	1,736	134,576	476,024
2011-08-15	$3.81	$4.25	34.3%	9.8%	60.2%	49.2%	34.4%	2.5%	0.7%	-2.4M	65.7M	-450.7K	4.14	68.10	N/A	N/A	1,104	4,568	135,844	475,520
2011-08-16	$3.77	$4.25	33.0%	9.5%	59.9%	46.4%	34.0%	-0.6%	0.7%	-2.5M	70.1M	-440.1K	1.67	70.09	N/A	N/A	2,412	4,024	136,656	476,336
2011-08-17	$3.76	$4.25	34.2%	9.8%	59.9%	49.0%	34.3%	-0.1%	1.1%	-2.5M	69.7M	-434.5K	0.79	69.66	N/A	N/A	1,636	1,288	136,452	474,352
2011-08-18	$3.71	$4.25	37.7%	10.8%	59.9%	56.2%	37.2%	-0.2%	-1.0%	-2.4M	72.4M	-429.4K	6.06	73.41	N/A	N/A	1,404	8,508	135,864	473,136
2011-08-19	$3.66	$4.25	36.9%	10.6%	59.3%	54.5%	37.5%	-3.8%	-0.4%	-2.2M	74.8M	-429.8K	3.99	73.64	N/A	N/A	2,820	11,240	135,360	473,564
2011-08-22	$3.71	$4.25	35.7%	10.2%	59.5%	52.0%	35.7%	0.1%	1.2%	-2.1M	69.9M	-425.4K	1.93	64.75	N/A	N/A	2,308	4,456	126,928	458,416
2011-08-23	$3.75	$4.25	27.9%	8.0%	59.5%	35.8%	28.0%	0.7%	10.1%	-2.2M	67.4M	-422.9K	2.09	64.80	N/A	N/A	3,496	7,300	127,260	458,524
2011-08-24	$3.79	$4.25	29.1%	8.3%	59.6%	38.3%	28.9%	2.3%	6.4%	-2.3M	65.0M	-423.9K	7.72	74.42	N/A	N/A	504	3,892	129,696	464,664
2011-08-25	$3.69	$4.25	29.0%	8.3%	60.4%	38.2%	29.1%	1.1%	9.4%	-2.3M	72.8M	-412.1K	9.80	76.31	N/A	N/A	580	5,684	129,836	466,820
2011-08-26	$3.66	$4.25	31.2%	8.9%	60.5%	42.7%	30.6%	5.6%	6.8%	-2.3M	77.3M	-404.3K	5.95	80.99	N/A	N/A	680	4,044	129,984	471,476
2011-08-29	$3.75	$4.25	27.2%	7.8%	61.1%	34.5%	27.1%	-1.4%	7.5%	-2.6M	72.3M	-404.6K	1.99	78.32	N/A	N/A	1,984	3,944	130,176	474,996
2011-08-30	$3.72	$4.00	26.2%	7.5%	61.1%	32.4%	26.3%	1.4%	9.1%	-2.6M	71.2M	-400.1K	1.05	76.25	N/A	N/A	476	500	130,452	475,440
2011-08-31	$3.75	$4.00	28.0%	8.0%	61.2%	36.1%	19.8%	-8.1%	6.2%	-2.7M	69.5M	-400.4K	0.54	80.97	N/A	N/A	2,476	1,344	130,616	474,968