IBKR Options History — November 2011

In November 2011, IBKR traded between $3.54 and $3.82. ATM implied volatility averaged 32.0%, placing in the 44.5% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded above realized volatility by 6.1% (HV 20d: 26.0%). Max pain ranged from $3.75 to $3.75. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 4.51.

Notable Days

  • 2011-11-03: Highest Volume — 39,596 contracts
  • 2011-11-17: Largest IV spike — 18.0% change
  • 2011-11-01: Highest IV Rank — 52.1%
  • 2011-11-01: Largest Expected Move — 10.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.68$3.54$3.82$3.72$3.72
Max Pain$3.75$3.75$3.75$3.75$3.75
ATM IV32.0%28.8%35.7%35.7%28.8%
Expected Move9.2%8.2%10.2%10.2%8.2%
HV 20d26.0%22.8%27.8%27.5%22.8%
HV 60d27.1%25.9%36.0%36.0%26.1%
IV Rank44.5%37.7%52.1%52.1%37.7%
IV Percentile78.1%67.1%87.7%87.7%67.1%
Term Structure-1.7%-4.3%3.3%-2.2%-0.9%
VWIV31.3%24.0%37.9%33.9%28.6%
Skew 25d5.1%-10.9%11.0%3.5%8.0%
Skew 10d6.4%-10.4%21.0%4.4%14.7%
Call IV 25d29.3%22.3%33.1%33.1%22.3%
Put IV 25d34.4%22.2%38.9%36.6%30.3%
Bid-Ask Spread %61.0549.3780.9653.0558.33
Gamma HHI0.320.290.410.310.41
Net GEX-2.5M-2.7M-2.4M-2.4M-2.7M
Net DEX80.5M70.3M91.4M73.2M73.9M
Net VEX-253.9K-304.8K-202.8K-294.7K-205.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.510.2031.350.722.23
Total Volume4,703.61962839,59610,2924,408
Total OI647,484.762626,248662,704627,964649,004

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-11-01$3.72$3.7535.7%10.2%27.5%52.1%33.9%3.5%-2.2%-2.4M73.2M-294.7K0.7253.05N/AN/A5,9804,312140,668487,296
2011-11-02$3.77$3.7533.7%9.7%27.3%47.9%32.9%-10.9%-3.0%-2.4M70.8M-291.3K1.6950.49N/AN/A6961,176138,728488,592
2011-11-03$3.82$3.7534.3%9.8%27.3%49.1%37.9%6.6%-1.3%-2.4M70.3M-304.8K14.3252.23N/AN/A2,58437,012137,824488,424
2011-11-04$3.77$3.7533.8%9.6%25.2%48.1%34.5%8.4%-3.3%-2.4M73.8M-301.8K5.1675.58N/AN/A2241,156139,260513,232
2011-11-07$3.71$3.7533.1%9.5%25.9%46.8%37.0%8.1%-3.2%-2.4M78.7M-287.6K12.0876.81N/AN/A48580139,164513,908
2011-11-08$3.75$3.7528.9%9.0%25.7%37.9%31.1%7.2%-1.0%-2.5M77.0M-285.4K31.3576.06N/AN/A802,508139,168514,044
2011-11-09$3.65$3.7532.1%9.4%27.5%44.6%34.8%9.5%-1.9%-2.4M83.6M-276.7K0.4479.89N/AN/A2,4041,056139,120514,640
2011-11-10$3.72$3.7531.9%9.2%27.0%44.3%30.2%5.4%-2.1%-2.5M80.1M-274.2K1.7280.96N/AN/A464800139,144514,648
2011-11-11$3.76$3.7531.2%8.9%27.1%42.7%28.9%4.0%-0.5%-2.4M76.6M-282.1K2.3456.33N/AN/A232544139,584514,396
2011-11-14$3.74$3.7531.8%9.1%26.3%44.1%24.0%5.3%-2.5%-2.5M77.5M-263.3K5.6156.04N/AN/A144808139,800514,068
2011-11-15$3.72$3.7530.1%8.6%26.5%40.5%27.5%4.2%0.2%-2.5M78.7M-265.4K0.7458.79N/AN/A608452139,936514,012
2011-11-16$3.66$3.7530.2%8.7%27.2%40.8%31.9%0.7%-2.2%-2.5M83.4M-253.8K1.5958.14N/AN/A6521,036140,184513,668
2011-11-17$3.60$3.7535.7%10.2%27.8%52.0%33.7%11.0%-1.3%-2.5M89.5M-239.2K0.2157.41N/AN/A7,8561,620140,676514,196
2011-11-18$3.66$3.7531.4%9.0%25.8%43.2%29.0%5.1%-2.3%-2.5M83.8M-244.7K8.6561.16N/AN/A104900147,784514,920
2011-11-21$3.60$3.7534.6%9.9%25.9%49.7%31.1%6.9%-4.3%-2.5M86.1M-216.0K0.4257.23N/AN/A516216134,172506,224
2011-11-22$3.57$3.7531.6%9.1%25.8%43.7%28.6%5.8%-0.7%-2.5M89.0M-215.8K1.3258.37N/AN/A696920134,376506,272
2011-11-23$3.55$3.7530.8%8.8%25.0%42.0%29.9%6.3%3.3%-2.4M91.4M-208.9K0.8455.51N/AN/A4,9924,196134,916507,076
2011-11-25$3.54$3.7531.7%9.1%22.9%43.8%31.8%5.3%0.3%-2.4M90.0M-209.9K0.2058.61N/AN/A3,468708139,520506,432
2011-11-28$3.62$3.7532.5%9.3%24.7%45.5%29.8%0.6%-3.2%-2.5M84.4M-208.4K0.4951.65N/AN/A540264142,860506,792
2011-11-29$3.66$3.7529.0%8.3%24.7%38.2%30.0%6.4%-2.6%-2.6M79.4M-202.8K2.6649.37N/AN/A4961,320141,656506,796
2011-11-30$3.72$3.7528.8%8.2%22.8%37.7%28.6%8.0%-0.9%-2.7M73.9M-205.4K2.2358.33N/AN/A1,3643,044141,984507,020