IBKR Options History — February 2012

In February 2012, IBKR traded between $3.78 and $4.01. ATM implied volatility averaged 19.3%, placing in the 18.2% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded below realized volatility by 0.1% (HV 20d: 19.4%). Max pain ranged from $3.75 to $4.00. Net GEX was positive for 1 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.70.

Notable Days

  • 2012-02-13: Highest Volume — 12,100 contracts
  • 2012-02-15: Largest IV drop — 23.0% change
  • 2012-02-14: Highest IV Rank — 23.9%
  • 2012-02-14: Largest Expected Move — 6.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.91$3.78$4.01$3.82$3.96
Max Pain$3.98$3.75$4.00$3.75$4.00
ATM IV19.3%17.0%22.1%21.5%17.7%
Expected Move5.7%4.9%6.3%6.2%5.1%
HV 20d19.4%15.2%22.4%19.9%15.3%
HV 60d19.7%18.7%20.8%20.8%18.7%
IV Rank18.2%13.4%23.9%22.7%14.8%
IV Percentile14.8%4.0%40.1%30.2%5.2%
Term Structure2.1%0.7%4.6%0.8%1.2%
VWIV20.6%14.4%25.7%21.5%14.4%
Skew 25d3.7%-4.2%8.4%4.7%7.4%
Skew 10d4.2%-4.9%13.4%2.1%11.6%
Call IV 25d17.1%14.5%20.8%15.0%15.8%
Put IV 25d20.9%15.6%23.7%19.8%23.2%
Bid-Ask Spread %71.6860.1476.8660.1464.74
Gamma HHI0.220.150.320.220.23
Net GEX-139.5K-314.3K52.6K-267.8K-184.6K
Net DEX-5.1M-11.4M2.6M2.3M-9.4M
Net VEX-86.4K-95.7K-72.6K-76.3K-92.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.700.004.340.350.81
Total Volume3,178.240812,1002,0841,444
Total OI148,643.8130,428164,880130,428153,552

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-02-01$3.82$3.7521.5%6.2%19.9%22.7%21.5%4.7%0.8%-267.8K2.3M-76.3K0.3560.14N/AN/A1,54454051,16479,264
2012-02-02$3.79$3.7520.0%5.7%19.7%19.7%20.0%2.2%3.4%-249.0K2.6M-76.1K0.3460.94N/AN/A1,42448052,59679,088
2012-02-03$3.84$4.0020.6%6.2%19.9%20.8%20.3%-1.8%1.6%-225.0K850.0K-76.0K0.4375.38N/AN/A1,64470453,87678,916
2012-02-06$3.81$4.0019.1%6.2%20.2%17.7%21.4%-4.2%1.1%-258.3K1.9M-74.3K0.2373.66N/AN/A1,46033654,77679,316
2012-02-07$3.81$4.0017.9%6.1%20.2%15.3%21.2%4.0%1.5%-251.2K1.6M-72.6K1.1976.25N/AN/A1,7082,02855,28079,652
2012-02-08$3.78$4.0018.1%6.1%20.3%15.7%20.2%3.8%2.3%-314.3K2.6M-75.6K0.0176.86N/AN/A5,4167256,92881,672
2012-02-09$3.83$4.0021.4%6.1%20.8%22.6%21.6%2.9%0.7%-274.5K-262.0K-79.9K0.0175.19N/AN/A4,2364061,50081,744
2012-02-10$3.90$4.0020.5%5.9%21.9%20.6%20.9%3.4%3.6%-145.0K-4.1M-84.7K0.3874.11N/AN/A2,56096465,60481,724
2012-02-13$3.96$4.0020.3%5.8%22.4%20.2%20.9%6.6%3.2%-4.3K-6.9M-82.6K0.1171.46N/AN/A10,8681,23267,63281,452
2012-02-14$3.95$4.0022.1%6.3%22.0%23.9%22.1%5.4%2.3%52.6K-8.5M-94.3K0.1971.10N/AN/A4688877,19682,388
2012-02-15$3.91$4.0017.0%4.9%22.3%13.4%20.7%4.7%2.6%-54.6K-7.5M-93.1K0.1373.23N/AN/A7008877,02082,392
2012-02-16$3.92$4.0019.0%5.4%22.3%17.5%19.1%5.1%4.6%-50.4K-7.3M-93.1K0.0072.15N/AN/A5,100077,58882,448
2012-02-17$3.92$4.0019.4%5.6%21.1%18.4%20.9%4.1%3.7%-10.7K-8.8M-95.7K1.3273.67N/AN/A17623282,43282,448
2012-02-21$3.98$4.0020.3%5.8%19.1%20.1%22.8%0.3%1.6%-72.0K-9.2M-93.5K0.0171.12N/AN/A844875,61677,180
2012-02-22$3.97$4.0019.1%5.5%19.0%17.7%21.5%3.5%1.5%-51.4K-9.6M-92.9K0.0176.56N/AN/A5,6368475,66877,184
2012-02-23$4.01$4.0018.6%5.3%15.6%16.8%18.7%6.6%1.7%-29.2K-11.4M-93.0K2.3971.48N/AN/A1,4163,38076,82077,232
2012-02-24$3.98$4.0017.1%4.9%15.5%13.7%20.7%6.9%2.3%-121.2K-10.4M-93.7K0.1072.89N/AN/A2,45224477,40080,608
2012-02-27$4.00$4.0017.9%5.1%15.5%15.3%17.6%0.7%1.8%-100.8K-11.3M-94.8K1.6270.39N/AN/A1,0521,70079,24880,820
2012-02-28$3.98$4.0018.4%5.3%15.2%16.3%25.7%8.4%0.8%-178.0K-9.6M-93.0K4.3472.35N/AN/A22497274,30881,144
2012-02-29$3.96$4.0017.7%5.1%15.3%14.8%14.4%7.4%1.2%-184.6K-9.4M-92.2K0.8164.74N/AN/A80064474,34479,208