IBKR Options History — April 2012

In April 2012, IBKR traded between $3.74 and $4.36. ATM implied volatility averaged 24.4%, placing in the 28.4% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded below realized volatility by 3.3% (HV 20d: 27.7%). Max pain ranged from $4.00 to $4.25. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 1.12.

Notable Days

  • 2012-04-05: Highest Volume — 16,728 contracts
  • 2012-04-12: Largest IV drop — 27.3% change
  • 2012-04-10: Highest IV Rank — 53.4%
  • 2012-04-13: Largest Expected Move — 8.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.07$3.74$4.36$4.36$3.79
Max Pain$4.17$4.00$4.25$4.25$4.00
ATM IV24.4%16.6%36.4%19.3%17.1%
Expected Move6.7%4.8%8.3%5.5%4.9%
HV 20d27.7%18.7%39.5%18.8%39.2%
HV 60d21.9%18.1%26.7%18.1%26.7%
IV Rank28.4%12.3%53.4%18.0%13.4%
IV Percentile45.3%4.0%89.7%19.8%6.0%
Term Structure-0.0%-4.9%4.0%3.9%3.7%
VWIV21.9%16.6%28.7%20.4%17.1%
Skew 25d1.9%-3.5%9.2%-1.7%5.1%
Skew 10d1.4%-8.1%11.1%-4.7%7.4%
Call IV 25d20.7%11.1%27.3%20.9%12.3%
Put IV 25d22.6%16.5%27.9%19.2%17.4%
Bid-Ask Spread %73.9458.00115.1358.0079.47
Gamma HHI0.320.270.420.280.32
Net GEX778.3K605.5K915.7K605.5K664.3K
Net DEX-25.9M-34.7M-13.1M-34.1M-13.1M
Net VEX-117.8K-127.5K-103.9K-103.9K-121.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.120.006.870.070.44
Total Volume4,23827216,7284,1001,892
Total OI168,737.8151,860181,980151,860170,924

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-04-02$4.36$4.2519.3%5.5%18.8%18.0%20.4%-1.7%3.9%605.5K-34.1M-103.9K0.0758.00N/AN/A3,816284112,73239,128
2012-04-03$4.34$4.2522.5%6.5%18.7%24.5%20.3%0.4%1.0%652.6K-34.7M-105.1K0.3468.67N/AN/A848292116,09639,400
2012-04-04$4.23$4.2521.3%6.1%21.3%22.0%21.3%0.6%0.7%643.1K-31.1M-111.4K0.5062.77N/AN/A1,324668116,46439,612
2012-04-05$4.26$4.2526.3%7.5%20.3%32.4%26.5%0.6%-2.7%646.4K-32.1M-112.7K0.3062.37N/AN/A12,9003,828117,52040,048
2012-04-09$4.18$4.2531.3%7.5%21.6%42.8%0.0%1.6%-2.3%853.6K-30.6M-118.7K0.2268.22N/AN/A668148128,65242,452
2012-04-10$4.13$4.2536.4%7.9%21.9%53.4%25.2%-0.7%-3.1%813.2K-28.9M-120.3K0.4070.82N/AN/A1,244496129,30842,576
2012-04-11$4.20$4.2535.0%7.8%21.7%50.5%0.0%2.4%-3.4%841.9K-31.2M-121.1K0.0073.87N/AN/A2720130,16443,052
2012-04-12$4.25$4.2525.5%7.3%22.1%30.7%0.0%1.4%-1.0%860.3K-33.4M-118.9K3.1471.50N/AN/A4081,280130,38443,052
2012-04-13$4.15$4.2528.9%8.3%23.7%37.9%0.0%-1.3%-4.9%836.5K-30.0M-121.0K0.3284.16N/AN/A516164130,62443,644
2012-04-16$4.16$4.2525.8%7.4%23.6%31.4%25.5%-0.1%-1.3%845.5K-30.3M-116.8K0.05115.13N/AN/A94848131,09643,752
2012-04-17$4.17$4.2526.9%7.7%22.4%33.6%28.7%-1.4%-0.8%838.9K-30.3M-116.7K0.0775.39N/AN/A6,176440131,50443,788
2012-04-18$4.14$4.2527.7%7.9%22.3%35.2%0.0%3.5%-3.7%892.3K-30.4M-122.0K0.0774.79N/AN/A1,14480136,31643,720
2012-04-19$4.16$4.2528.3%8.1%22.2%36.6%28.4%1.1%-3.0%915.7K-31.4M-118.0K0.7675.41N/AN/A1,6881,284137,01243,720
2012-04-20$3.79$4.2520.9%6.0%39.5%21.3%20.8%-3.5%1.0%805.2K-14.9M-119.4K0.2967.53N/AN/A5,5161,624138,32043,660
2012-04-23$3.74$4.0021.1%6.0%39.5%21.6%21.1%9.2%1.9%804.5K-15.7M-114.5K5.6669.30N/AN/A1,1926,752122,42034,192
2012-04-24$3.77$4.0019.8%5.7%38.1%18.9%19.8%4.9%1.9%794.4K-15.6M-120.1K1.5374.03N/AN/A3,0444,668122,46840,344
2012-04-25$3.84$4.0018.6%5.3%39.0%16.3%18.9%2.1%4.0%779.9K-17.1M-122.5K6.8776.68N/AN/A1,0727,368120,85644,860
2012-04-26$3.84$4.0017.8%5.1%39.1%14.8%17.9%7.6%3.8%721.4K-16.4M-127.5K0.3275.14N/AN/A3,1881,032120,62851,048
2012-04-27$3.85$4.0016.6%4.8%39.1%12.3%16.6%5.6%3.9%751.5K-16.2M-123.6K1.0175.51N/AN/A3,2123,236118,82050,400
2012-04-30$3.79$4.0017.1%4.9%39.2%13.4%17.1%5.1%3.7%664.3K-13.1M-121.2K0.4479.47N/AN/A1,316576117,30853,616