IBKR Options History — January 2012

In January 2012, IBKR traded between $3.75 and $4.01. ATM implied volatility averaged 25.2%, placing in the 30.5% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 7.3% (HV 20d: 17.9%). Max pain ranged from $3.75 to $4.55. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 1.71.

Notable Days

  • 2012-01-20: Highest Volume — 63,068 contracts
  • 2012-01-05: Largest IV spike — 37.9% change
  • 2012-01-10: Highest IV Rank — 46.0%
  • 2012-01-19: Largest Expected Move — 8.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.82$3.75$4.01$3.79$3.78
Max Pain$3.87$3.75$4.55$4.55$3.75
ATM IV25.2%19.2%32.8%23.8%22.2%
Expected Move7.0%5.5%8.3%6.8%6.4%
HV 20d17.9%12.3%21.0%20.4%20.3%
HV 60d21.9%20.9%23.6%23.6%20.9%
IV Rank30.5%17.9%46.0%27.5%24.2%
IV Percentile52.1%10.3%79.0%50.8%41.3%
Term Structure0.1%-3.3%4.9%3.9%-0.0%
VWIV24.8%20.4%29.0%23.8%22.2%
Skew 25d3.8%-1.3%10.9%-1.3%5.4%
Skew 10d6.7%0.0%19.7%1.7%5.0%
Call IV 25d21.7%12.3%28.1%23.8%14.5%
Put IV 25d25.5%16.0%33.0%22.6%19.9%
Bid-Ask Spread %63.9554.3785.6165.4963.13
Gamma HHI0.590.170.960.790.22
Net GEX-3.1M-15.9M-163.5K-3.9M-279.2K
Net DEX47.5M-1.9M79.3M74.1M3.6M
Net VEX-88.7K-111.1K-69.2K-111.1K-73.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.710.0017.071.010.18
Total Volume8,114.44863,0687,4802,156
Total OI429,306.4118,612602,216584,712128,896

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-01-03$3.79$4.5523.8%6.8%20.4%27.5%23.8%-1.3%3.9%-3.9M74.1M-111.1K1.0165.49N/AN/A3,7283,752104,976479,736
2012-01-04$3.75$4.5519.2%5.5%20.8%17.9%20.4%-0.3%4.9%-3.4M78.1M-98.2K1.7861.11N/AN/A3,1125,532105,108476,660
2012-01-05$3.78$4.5526.5%7.6%21.0%32.9%26.7%0.5%-0.6%-3.5M73.0M-107.5K0.8559.13N/AN/A3,3402,852107,680477,560
2012-01-06$3.79$3.7525.8%7.9%20.8%31.6%27.7%4.5%-1.9%-3.7M72.9M-110.0K0.0085.61N/AN/A520110,068479,948
2012-01-09$3.79$3.7530.4%7.5%19.6%41.1%0.0%3.6%-0.5%-3.8M70.6M-105.2K0.0064.01N/AN/A480110,068479,948
2012-01-10$3.81$3.7532.8%7.4%18.7%46.0%27.1%1.8%-0.0%-3.8M68.4M-105.3K0.0463.61N/AN/A5,012188110,040479,948
2012-01-11$3.80$3.7532.3%7.1%17.5%45.0%24.4%3.6%-0.8%-3.8M69.4M-102.4K0.0866.02N/AN/A7,864624113,560479,932
2012-01-12$3.81$3.7526.1%7.5%17.5%32.2%26.0%4.8%0.0%-4.3M69.2M-102.6K5.7969.40N/AN/A3762,176119,420480,468
2012-01-13$3.81$3.7526.7%7.6%15.0%33.4%26.9%6.2%-1.4%-4.1M69.9M-103.4K0.1467.13N/AN/A2,192304119,584482,632
2012-01-17$3.77$3.7528.8%8.3%15.4%37.8%28.7%4.9%-3.3%-3.3M75.0M-88.5K17.0761.38N/AN/A2323,960118,448482,716
2012-01-18$3.80$3.7527.3%7.8%14.9%34.7%27.5%4.3%-0.7%-3.9M69.7M-85.3K2.4062.21N/AN/A9162,200118,576479,780
2012-01-19$3.82$3.7529.0%8.3%13.4%38.3%29.0%4.9%-2.4%-3.8M69.5M-80.7K0.1765.78N/AN/A9,5161,624119,400481,860
2012-01-20$3.90$3.7523.5%6.7%12.3%26.8%24.9%9.1%1.0%-15.9M79.3M-70.9K2.6161.36N/AN/A17,45245,616117,136481,940
2012-01-23$4.01$3.7521.9%6.3%15.3%23.6%21.9%10.9%-0.7%-170.2K-1.9M-69.4K0.3059.29N/AN/A6,7042,02042,74875,864
2012-01-24$3.98$3.7519.9%5.7%15.7%19.5%24.4%1.5%1.1%-163.5K-1.7M-69.2K0.1154.37N/AN/A4,93253244,97677,200
2012-01-25$3.86$3.7522.1%6.3%19.7%23.9%22.2%-1.1%0.5%-175.0K441.6K-75.0K0.6757.39N/AN/A9,1366,16049,08877,240
2012-01-26$3.83$3.7521.5%6.2%20.0%22.7%21.7%-0.9%1.5%-271.8K2.7M-71.1K0.7360.66N/AN/A1,33297644,19678,076
2012-01-27$3.83$3.7522.1%6.3%20.0%23.9%22.1%6.4%1.5%-283.1K2.8M-72.0K0.1371.27N/AN/A1,92424845,43278,964
2012-01-30$3.79$3.7523.2%6.7%20.3%26.3%23.0%6.7%-0.1%-292.2K3.8M-73.2K0.1860.58N/AN/A2,97252847,28878,968
2012-01-31$3.78$3.7522.2%6.4%20.3%24.2%22.2%5.4%-0.0%-279.2K3.6M-73.0K0.1863.13N/AN/A1,82433249,82079,076