IBKR Options History — September 2011

In September 2011, IBKR traded between $3.48 and $3.67. ATM implied volatility averaged 35.0%, placing in the 50.7% IV rank vs the trailing year. The 30-day expected move averaged 10.5%. IV traded above realized volatility by 5.7% (HV 20d: 29.3%). Max pain ranged from $3.50 to $4.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 5.42.

Notable Days

  • 2011-09-12: Highest Volume — 32,364 contracts
  • 2011-09-14: Largest IV drop — 20.2% change
  • 2011-09-23: Highest IV Rank — 62.5%
  • 2011-09-23: Largest Expected Move — 11.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.60$3.48$3.67$3.66$3.48
Max Pain$3.67$3.50$4.00$4.00$3.50
ATM IV35.0%28.0%40.8%28.0%39.2%
Expected Move10.5%8.0%11.7%8.0%11.2%
HV 20d29.3%21.8%61.3%61.3%23.8%
HV 60d38.8%37.9%39.4%39.1%38.8%
IV Rank50.7%36.1%62.5%36.1%59.3%
IV Percentile93.2%82.9%98.4%82.9%96.8%
Term Structure-2.4%-7.7%5.9%5.9%-1.9%
VWIV34.9%24.7%41.7%25.8%41.7%
Skew 25d3.0%-8.9%7.0%-6.5%2.1%
Skew 10d6.7%-4.9%24.4%10.6%13.3%
Call IV 25d33.6%23.7%39.9%23.7%39.9%
Put IV 25d36.6%17.2%43.6%17.2%42.0%
Bid-Ask Spread %70.6159.9384.7876.5059.95
Gamma HHI0.260.220.310.220.30
Net GEX-2.2M-2.8M-1.8M-2.5M-1.8M
Net DEX78.3M68.6M87.5M74.6M80.3M
Net VEX-368.1K-399.4K-333.5K-399.4K-333.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.420.3917.560.755.81
Total Volume8,106.8572,54832,3642,7442,996
Total OI592,996.952548,124637,580606,800574,204

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-09-01$3.66$4.0028.0%8.0%61.3%36.1%25.8%-6.5%5.9%-2.5M74.6M-399.4K0.7576.50N/AN/A1,5721,172132,232474,568
2011-09-02$3.60$4.0029.8%8.6%61.1%39.9%24.7%3.5%5.7%-2.4M80.9M-387.3K1.9869.02N/AN/A1,4242,824133,212474,464
2011-09-06$3.59$4.0035.3%11.2%49.0%51.2%38.2%4.1%-4.7%-2.3M81.7M-383.7K17.5667.83N/AN/A1,68029,496133,672473,952
2011-09-07$3.66$3.7531.5%10.7%29.4%43.3%36.8%5.7%-4.3%-2.6M76.7M-389.2K4.2671.00N/AN/A1,4126,012135,152479,748
2011-09-08$3.56$3.7528.8%10.7%29.7%37.7%37.2%0.7%-3.5%-2.5M84.7M-369.5K3.9169.65N/AN/A1,6366,400135,612484,128
2011-09-09$3.57$3.7533.8%11.1%25.1%48.2%38.6%3.5%-4.4%-2.6M83.5M-375.9K16.1384.78N/AN/A6089,804136,192485,772
2011-09-12$3.60$3.7539.9%11.5%25.2%60.8%39.4%5.1%-7.7%-2.8M87.5M-361.0K8.8378.87N/AN/A3,29229,072136,524490,252
2011-09-13$3.56$3.5036.8%11.5%24.3%54.2%37.4%4.8%-6.7%-2.5M86.6M-373.6K10.9572.19N/AN/A4965,432138,232494,664
2011-09-14$3.61$3.5029.3%11.0%24.8%38.9%35.5%6.1%-6.0%-2.5M86.1M-370.0K2.5179.60N/AN/A1,5283,836138,248494,748
2011-09-15$3.66$3.5033.4%9.6%25.5%47.4%33.6%3.5%-1.6%-2.5M84.1M-371.7K5.2077.58N/AN/A5482,852139,284496,044
2011-09-16$3.62$3.5037.9%10.9%25.5%56.6%32.7%6.3%-5.6%-2.2M86.1M-368.2K0.9672.61N/AN/A2,0041,924139,676497,904
2011-09-19$3.59$3.5034.6%9.9%25.0%49.8%31.2%6.0%-1.3%-2.0M72.0M-359.8K1.7674.94N/AN/A1,9723,464116,668431,456
2011-09-20$3.60$3.7534.3%9.8%24.5%49.1%31.7%5.8%-1.5%-2.0M69.8M-355.7K1.5860.81N/AN/A1,0961,732118,088433,428
2011-09-21$3.56$3.7537.0%10.6%24.1%54.8%36.9%7.0%-4.3%-2.0M72.4M-358.4K10.4668.81N/AN/A8208,580118,668434,772
2011-09-22$3.58$3.7538.7%11.1%23.7%58.2%35.5%6.7%-3.7%-2.0M75.2M-356.1K2.1967.88N/AN/A1,7003,720118,916437,760
2011-09-23$3.55$3.7540.8%11.7%21.8%62.5%37.2%6.4%-3.8%-2.0M73.7M-372.1K8.4766.44N/AN/A6605,588119,676438,472
2011-09-26$3.63$3.5037.0%10.6%23.5%54.7%37.0%5.3%-0.6%-2.1M71.4M-374.7K0.7469.99N/AN/A4,9403,668119,864439,732
2011-09-27$3.67$3.5034.4%9.9%22.0%49.3%34.0%1.5%-0.6%-2.0M68.6M-363.4K0.3970.35N/AN/A4,5681,784123,672441,308
2011-09-28$3.57$3.5038.3%11.0%23.6%57.5%30.9%-8.9%-2.8%-1.9M73.2M-355.2K2.8164.01N/AN/A6681,880126,944442,944
2011-09-29$3.58$3.5037.0%10.6%23.3%54.7%36.6%-5.4%1.9%-1.9M76.0M-352.2K6.6059.93N/AN/A7084,676127,344444,740
2011-09-30$3.48$3.5039.2%11.2%23.8%59.3%41.7%2.1%-1.9%-1.8M80.3M-333.5K5.8159.95N/AN/A4402,556127,776446,428