IBKR Options History — October 2011

In October 2011, IBKR traded between $3.35 and $3.85. ATM implied volatility averaged 35.5%, placing in the 51.6% IV rank vs the trailing year. The 30-day expected move averaged 9.8%. IV traded above realized volatility by 6.3% (HV 20d: 29.1%). Max pain ranged from $3.50 to $3.50. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 13.74.

Notable Days

  • 2011-10-04: Highest Volume — 124,408 contracts
  • 2011-10-31: Largest IV spike — 32.5% change
  • 2011-10-03: Highest IV Rank — 72.4%
  • 2011-10-03: Largest Expected Move — 13.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.57$3.35$3.85$3.35$3.85
Max Pain$3.50$3.50$3.50$3.50$3.50
ATM IV35.5%22.9%45.5%45.5%30.4%
Expected Move9.8%6.6%13.1%13.1%8.7%
HV 20d29.1%24.0%32.0%26.8%24.0%
HV 60d40.4%39.5%41.3%39.5%40.9%
IV Rank51.6%25.7%72.4%72.4%41.1%
IV Percentile83.7%48.8%99.2%99.2%79.4%
Term Structure-1.7%-4.2%2.2%-4.2%-0.7%
VWIV34.3%22.9%44.7%44.4%31.0%
Skew 25d4.8%-5.3%13.7%-5.3%4.1%
Skew 10d4.9%-7.9%19.4%-3.0%14.2%
Call IV 25d31.1%14.1%45.3%45.3%28.4%
Put IV 25d36.0%20.1%48.4%40.0%32.5%
Bid-Ask Spread %63.5241.8376.6064.3841.83
Gamma HHI0.290.240.380.300.33
Net GEX-2.0M-2.5M-1.6M-1.6M-2.4M
Net DEX82.4M61.7M91.9M87.7M61.7M
Net VEX-294.0K-327.5K-255.5K-313.8K-287.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio13.740.1278.3620.080.51
Total Volume15,779.4291,416124,40844,27657,116
Total OI613,177.143576,972629,344576,972616,016

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-10-03$3.35$3.5045.5%13.1%26.8%72.4%44.4%-5.3%-4.2%-1.6M87.7M-313.8K20.0864.38N/AN/A2,10042,176128,056448,916
2011-10-04$3.40$3.5043.7%12.5%27.7%68.5%44.7%-0.3%0.0%-1.6M91.1M-325.0K58.8171.48N/AN/A2,080122,328129,400462,172
2011-10-05$3.46$3.5042.3%12.1%27.5%65.7%38.6%9.5%-3.8%-1.7M87.7M-324.9K2.2062.90N/AN/A5001,100131,216476,992
2011-10-06$3.50$3.5042.7%12.2%26.4%66.5%42.6%7.2%-4.1%-1.8M85.7M-327.5K2.9159.93N/AN/A2,5767,492131,388476,084
2011-10-07$3.40$3.5042.6%11.0%28.2%66.3%37.6%4.0%-1.2%-1.6M90.8M-306.9K2.3266.18N/AN/A1,6243,764133,364478,764
2011-10-10$3.46$3.5042.4%10.8%28.7%66.0%36.5%6.6%-3.7%-1.7M91.4M-291.3K0.3359.73N/AN/A2,416792133,908477,480
2011-10-11$3.44$3.5045.1%10.6%28.6%71.5%37.1%7.3%-3.4%-1.7M91.9M-293.5K1.8767.55N/AN/A1,5202,836135,784477,680
2011-10-12$3.49$3.5043.2%9.9%28.9%67.5%34.1%1.5%-0.7%-1.8M87.8M-300.5K8.5070.48N/AN/A4243,604136,968478,552
2011-10-13$3.58$3.5035.5%10.2%29.8%51.7%35.5%13.7%-2.2%-1.9M83.2M-306.4K5.5375.53N/AN/A1,5688,668137,020479,816
2011-10-14$3.60$3.5035.4%10.2%29.6%51.5%35.2%5.5%-3.6%-1.9M81.7M-308.5K3.7466.40N/AN/A5482,048137,908484,680
2011-10-17$3.54$3.5036.8%10.6%30.1%54.4%0.0%2.5%-3.9%-1.9M85.1M-298.4K8.9973.75N/AN/A2962,660138,432484,968
2011-10-18$3.55$3.5035.7%10.2%30.1%52.1%36.2%2.7%-3.9%-1.9M86.5M-289.3K69.8076.60N/AN/A201,396138,612486,292
2011-10-19$3.54$3.5035.8%10.3%30.0%52.2%40.0%4.5%-2.2%-1.9M87.1M-286.5K0.1470.98N/AN/A4,336620138,612486,260
2011-10-20$3.54$3.5035.5%10.2%30.0%51.7%38.2%7.2%-2.1%-1.9M86.4M-287.9K1.3075.25N/AN/A4,1605,400139,956485,832
2011-10-21$3.66$3.5025.3%7.3%32.0%30.6%26.6%2.4%1.2%-2.2M78.9M-273.4K0.4275.19N/AN/A8,8963,780141,408487,936
2011-10-24$3.70$3.5024.7%7.1%31.2%29.3%24.4%7.8%2.2%-2.4M76.7M-274.8K0.1252.10N/AN/A6,872816126,152479,052
2011-10-25$3.66$3.5026.5%7.6%31.4%33.0%29.6%-0.7%0.4%-2.3M80.0M-271.5K0.2950.36N/AN/A4,5801,308130,936478,792
2011-10-26$3.72$3.5028.0%8.0%30.2%36.1%27.2%9.6%0.5%-2.3M74.2M-271.7K5.3152.45N/AN/A2961,572135,152478,420
2011-10-27$3.81$3.5024.8%7.1%31.3%29.6%23.2%5.8%0.1%-2.4M66.8M-278.5K17.0749.37N/AN/A75212,836135,240477,916
2011-10-28$3.81$3.5022.9%6.6%29.1%25.7%22.9%6.0%0.0%-2.5M68.8M-255.5K78.3651.42N/AN/A443,448135,200479,388
2011-10-31$3.85$3.5030.4%8.7%24.0%41.1%31.0%4.1%-0.7%-2.4M61.7M-287.9K0.5141.83N/AN/A37,85219,264135,212480,804