IBKR Options History — March 2012

In March 2012, IBKR traded between $3.95 and $4.35. ATM implied volatility averaged 17.2%, placing in the 13.7% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 1.3% (HV 20d: 15.9%). Max pain ranged from $4.00 to $4.25. Net GEX was positive for 17 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.26.

Notable Days

  • 2012-03-13: Highest Volume — 10,952 contracts
  • 2012-03-08: Largest IV drop — 47.5% change
  • 2012-03-07: Highest IV Rank — 20.3%
  • 2012-03-06: Largest Expected Move — 6.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.18$3.95$4.35$3.98$4.25
Max Pain$4.11$4.00$4.25$4.00$4.25
ATM IV17.2%10.7%20.3%18.5%18.0%
Expected Move5.4%4.6%6.3%5.3%5.2%
HV 20d15.9%14.5%18.5%14.9%18.2%
HV 60d17.7%16.7%18.8%18.3%17.5%
IV Rank13.7%0.3%20.3%16.5%15.2%
IV Percentile11.0%0.4%27.4%9.1%10.7%
Term Structure2.7%0.2%4.7%0.2%2.3%
VWIV19.2%16.1%24.1%18.2%17.7%
Skew 25d3.3%-2.1%8.4%8.4%0.5%
Skew 10d1.9%-6.9%13.2%13.2%0.6%
Call IV 25d16.1%11.5%20.1%16.0%14.6%
Put IV 25d19.4%15.0%24.3%24.3%15.0%
Bid-Ask Spread %65.2155.8578.0768.4760.13
Gamma HHI0.280.200.330.230.31
Net GEX339.6K-217.1K626.4K-179.1K626.4K
Net DEX-23.8M-33.1M-9.2M-10.1M-31.1M
Net VEX-100.0K-108.9K-91.8K-91.8K-107.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.260.011.110.040.06
Total Volume3,669.45543610,9521,104464
Total OI155,125.455130,248179,664154,528151,820

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-03-01$3.98$4.0018.5%5.3%14.9%16.5%18.2%8.4%0.2%-179.1K-10.1M-91.8K0.0468.47N/AN/A1,0604474,67679,852
2012-03-02$3.95$4.0018.3%5.3%14.8%16.1%19.8%7.1%1.7%-217.1K-9.2M-92.9K0.0666.52N/AN/A7,34441275,24479,852
2012-03-05$4.04$4.0017.7%5.7%15.9%14.8%19.3%4.2%2.7%-103.8K-14.1M-96.6K1.1164.17N/AN/A2,1682,41280,66880,092
2012-03-06$4.01$4.0020.1%6.3%15.6%19.9%20.7%3.2%1.5%-70.2K-13.6M-98.3K0.0766.28N/AN/A3,78427281,54878,472
2012-03-07$4.04$4.0020.3%6.0%15.6%20.3%22.7%2.8%2.1%-7.1K-15.2M-99.1K0.3067.63N/AN/A33610084,69678,532
2012-03-08$4.12$4.0010.7%5.9%16.3%0.3%20.0%2.3%2.4%179.8K-18.9M-95.6K0.1766.26N/AN/A3,21256084,75278,520
2012-03-09$4.14$4.0011.9%5.5%16.1%2.6%20.1%1.2%2.6%226.7K-20.2M-95.5K0.6266.87N/AN/A2,2761,41686,84878,232
2012-03-12$4.13$4.0014.2%5.2%15.1%7.2%24.1%0.2%3.9%251.1K-20.4M-95.6K0.0667.65N/AN/A1,5369287,65277,624
2012-03-13$4.20$4.0013.9%5.1%15.3%6.6%17.8%3.8%4.1%343.8K-21.9M-91.8K0.0272.28N/AN/A10,76019286,63277,708
2012-03-14$4.18$4.0013.6%5.4%15.3%6.0%19.0%2.9%2.3%412.2K-23.8M-99.7K0.2369.52N/AN/A2,13248094,26877,716
2012-03-15$4.18$4.2517.5%5.0%14.5%14.2%16.4%1.9%2.7%438.6K-24.6M-99.3K0.0171.74N/AN/A8,0369295,80878,012
2012-03-16$4.21$4.0017.4%5.0%14.6%14.0%17.4%1.9%2.6%481.7K-27.0M-102.1K0.1378.07N/AN/A1,528196101,63278,032
2012-03-19$4.30$4.0016.6%4.8%15.5%12.3%16.6%3.0%4.5%493.7K-28.2M-97.6K0.0857.55N/AN/A8,40470894,91635,332
2012-03-20$4.26$4.2516.1%4.6%15.7%11.2%16.1%6.8%4.7%544.0K-29.3M-100.5K0.5064.52N/AN/A1,580784101,05635,800
2012-03-21$4.28$4.2517.5%5.0%15.6%14.2%17.5%8.1%3.0%550.6K-29.6M-103.4K0.0764.98N/AN/A1,624112102,49236,424
2012-03-22$4.24$4.2518.6%5.3%15.8%16.5%19.5%6.3%3.5%554.6K-29.2M-105.1K0.4362.43N/AN/A1,112476104,02836,476
2012-03-23$4.24$4.2519.6%5.6%15.4%18.5%19.6%5.9%1.9%569.5K-29.1M-105.3K0.9063.45N/AN/A3,7843,400104,88436,552
2012-03-26$4.35$4.2518.8%5.4%17.4%16.8%19.0%-2.1%3.9%553.1K-32.4M-101.0K0.0555.85N/AN/A4,052216107,42038,588
2012-03-27$4.33$4.2520.2%5.8%17.2%19.8%20.5%-0.5%2.2%597.9K-33.1M-103.7K0.1566.25N/AN/A764116110,41638,548
2012-03-28$4.31$4.2520.0%5.7%17.4%19.4%20.0%4.4%1.9%599.3K-32.5M-107.7K0.3258.02N/AN/A1,184380111,06838,632
2012-03-29$4.25$4.2519.8%5.7%18.5%18.9%19.7%1.1%3.2%624.6K-31.0M-108.9K0.3856.03N/AN/A816312112,24438,996
2012-03-30$4.25$4.2518.0%5.2%18.2%15.2%17.7%0.5%2.3%626.4K-31.1M-107.6K0.0660.13N/AN/A43628112,68439,136