IBKR Options History — December 2011

In December 2011, IBKR traded between $3.62 and $3.79. ATM implied volatility averaged 22.8%, placing in the 25.5% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 0.8% (HV 20d: 22.0%). Max pain ranged from $3.75 to $4.55. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 3.58.

Notable Days

  • 2011-12-15: Highest Volume — 19,000 contracts
  • 2011-12-29: Largest IV spike — 112.3% change
  • 2011-12-19: Highest IV Rank — 39.6%
  • 2011-12-19: Largest Expected Move — 8.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.73$3.62$3.79$3.69$3.73
Max Pain$4.48$3.75$4.55$3.75$4.55
ATM IV22.8%11.1%29.7%27.7%24.4%
Expected Move6.4%3.2%8.5%7.9%7.0%
HV 20d22.0%20.5%23.3%22.4%20.9%
HV 60d25.6%23.5%26.7%25.8%23.5%
IV Rank25.5%1.1%39.6%35.4%28.7%
IV Percentile39.9%0.4%71.0%61.5%50.8%
Term Structure6.4%-1.7%17.6%-0.9%3.3%
VWIV23.4%10.6%30.8%27.7%24.4%
Skew 25d3.7%-6.6%14.0%4.3%-3.8%
Skew 10d9.1%-8.8%44.6%12.7%-0.7%
Call IV 25d22.0%11.9%28.5%24.2%24.4%
Put IV 25d25.7%15.7%31.9%28.5%20.6%
Bid-Ask Spread %51.316.9871.1456.246.98
Gamma HHI0.580.410.780.410.73
Net GEX-3.0M-3.6M-2.3M-2.7M-3.4M
Net DEX78.7M69.3M89.3M76.8M76.8M
Net VEX-144.6K-196.4K-81.6K-196.4K-118.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.580.3320.380.8120.38
Total Volume3,408.76252419,0002,3444,448
Total OI621,983.619583,832665,528650,944587,828

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-12-01$3.69$3.7527.7%7.9%22.4%35.4%27.7%4.3%-0.9%-2.7M76.8M-196.4K0.8156.24N/AN/A1,2961,048143,000507,944
2011-12-02$3.77$3.7526.6%7.6%23.1%33.3%26.6%-6.6%-1.7%-2.8M69.7M-191.5K0.5849.73N/AN/A2,8001,628142,444507,624
2011-12-05$3.77$4.5527.3%7.4%22.7%34.7%25.7%5.9%4.3%-2.9M69.3M-179.1K1.5355.73N/AN/A8081,236142,736508,556
2011-12-06$3.77$4.5526.3%7.2%22.0%32.6%25.3%4.1%4.4%-3.0M74.9M-174.8K1.3053.17N/AN/A532692130,608509,568
2011-12-07$3.79$4.5525.3%7.0%21.8%30.6%24.2%10.3%5.8%-3.0M71.3M-176.2K1.0152.95N/AN/A676680130,896509,840
2011-12-08$3.73$4.5526.3%7.3%20.7%32.7%28.3%7.8%4.0%-2.9M78.1M-171.2K3.2148.92N/AN/A4361,400130,964510,228
2011-12-09$3.79$4.5523.0%6.9%20.5%25.7%24.0%8.3%5.4%-3.0M72.5M-163.5K2.5550.68N/AN/A8402,140131,220511,380
2011-12-12$3.72$4.5525.8%6.9%21.3%31.6%30.8%6.3%4.2%-2.9M79.8M-153.9K18.2747.08N/AN/A62011,328131,360512,336
2011-12-13$3.73$4.5522.8%6.3%21.2%25.5%22.0%7.9%6.8%-2.8M79.6M-139.8K2.7654.76N/AN/A5481,512131,552518,084
2011-12-14$3.65$4.5523.1%6.1%22.7%26.1%24.5%5.8%6.1%-2.7M88.1M-129.4K0.5454.56N/AN/A2,7081,468131,856519,024
2011-12-15$3.62$4.5524.5%7.0%22.1%28.9%26.2%4.7%7.8%-2.8M89.3M-138.9K0.5754.32N/AN/A12,1166,884131,932519,060
2011-12-16$3.67$4.5515.8%4.5%22.1%11.0%21.8%14.0%17.6%-2.6M85.1M-130.3K0.7060.42N/AN/A580404142,768522,760
2011-12-19$3.62$4.5529.7%8.5%22.2%39.6%26.0%1.9%4.7%-2.4M85.9M-130.7K1.9159.81N/AN/A412788102,220481,612
2011-12-20$3.71$4.5518.3%5.2%23.3%16.0%15.7%5.9%7.1%-2.9M81.1M-128.1K0.3371.14N/AN/A3,0321,008102,480482,276
2011-12-21$3.75$4.5521.6%6.2%23.2%22.9%21.4%-2.2%6.6%-3.3M77.6M-126.3K3.1964.32N/AN/A272868104,880482,760
2011-12-22$3.75$4.5516.0%4.6%23.0%11.3%20.0%7.8%16.4%-3.3M78.4M-129.2K3.5254.14N/AN/A132464104,852483,128
2011-12-23$3.76$4.5516.9%4.8%23.0%13.2%18.6%-1.7%8.8%-3.6M76.3M-129.8K1.3467.84N/AN/A224300104,888483,524
2011-12-27$3.74$4.5523.7%6.8%21.9%27.2%23.5%-1.8%3.8%-3.3M77.6M-125.4K8.8363.61N/AN/A2322,048105,108483,668
2011-12-28$3.73$4.5511.1%3.2%21.7%1.1%10.6%2.6%16.0%-2.3M87.4M-81.6K0.5542.73N/AN/A488268105,156482,268
2011-12-29$3.75$4.5523.5%6.7%21.1%26.8%23.4%-3.5%3.4%-3.4M76.7M-122.4K1.248.29N/AN/A9921,228104,804482,464
2011-12-30$3.73$4.5524.4%7.0%20.9%28.7%24.4%-3.8%3.3%-3.4M76.8M-118.4K20.386.98N/AN/A2084,240104,932482,896