IBKR Options History — May 2012

In May 2012, IBKR traded between $3.52 and $3.74. ATM implied volatility averaged 20.8%, placing in the 20.9% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded below realized volatility by 7.3% (HV 20d: 28.0%). Max pain ranged from $3.75 to $4.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 1.34.

Notable Days

  • 2012-05-14: Highest Volume — 13,108 contracts
  • 2012-05-09: Largest IV spike — 43.3% change
  • 2012-05-17: Highest IV Rank — 29.0%
  • 2012-05-17: Largest Expected Move — 7.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.61$3.52$3.74$3.73$3.56
Max Pain$3.78$3.75$4.00$4.00$3.75
ATM IV20.8%13.9%24.6%13.9%21.5%
Expected Move6.1%4.0%7.1%4.0%6.2%
HV 20d28.0%14.0%37.8%37.6%17.0%
HV 60d26.6%26.0%27.1%26.8%26.8%
IV Rank20.9%6.7%29.0%6.7%22.5%
IV Percentile32.6%2.0%53.2%2.0%34.1%
Term Structure1.8%-1.4%4.3%4.2%4.3%
VWIV20.4%13.9%26.0%13.9%21.5%
Skew 25d1.9%-4.0%9.4%1.7%9.4%
Skew 10d2.7%-4.8%12.5%2.1%12.5%
Call IV 25d19.4%13.9%25.2%15.0%13.9%
Put IV 25d21.3%16.5%26.2%16.6%23.3%
Bid-Ask Spread %76.9770.8681.5477.7478.52
Gamma HHI0.260.220.320.320.28
Net GEX346.7K183.5K604.7K604.7K195.5K
Net DEX-2.9M-10.4M603.3K-10.4M-493.8K
Net VEX-116.3K-122.1K-109.9K-117.5K-115.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.340.057.650.692.08
Total Volume4,319.8186813,1085,7641,280
Total OI186,331.273170,316196,904171,044196,880

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-05-01$3.73$4.0013.9%4.0%37.6%6.7%13.9%1.7%4.2%604.7K-10.4M-117.5K0.6977.74N/AN/A3,4122,352116,85254,192
2012-05-02$3.74$4.0017.4%5.0%37.8%13.9%17.4%-0.0%0.1%588.9K-9.8M-116.5K2.4479.28N/AN/A300732114,64855,668
2012-05-03$3.70$4.0018.1%5.2%37.2%15.4%18.1%-0.4%-0.0%536.8K-8.3M-112.8K0.4979.72N/AN/A1,004488114,56856,212
2012-05-04$3.63$3.7515.3%5.4%37.0%9.7%20.4%3.4%1.9%484.4K-5.5M-110.2K1.1573.37N/AN/A3,8964,480114,63656,280
2012-05-07$3.61$3.7518.6%6.0%36.8%16.4%20.0%2.0%0.9%407.6K-3.2M-110.8K0.4970.86N/AN/A1,216596113,47260,292
2012-05-08$3.63$3.7514.0%5.5%37.0%6.8%15.3%3.5%1.8%430.7K-3.4M-109.9K1.5474.35N/AN/A2,8444,368113,67660,684
2012-05-09$3.62$3.7520.0%6.1%36.2%19.4%20.8%3.3%0.0%388.5K-3.0M-118.3K0.5876.67N/AN/A5,1403,000115,63664,472
2012-05-10$3.62$3.7520.4%5.8%35.5%20.2%0.0%3.3%0.6%362.2K-1.9M-116.3K0.0575.41N/AN/A5,324260115,51666,312
2012-05-11$3.60$3.7520.5%5.9%35.1%20.4%0.0%2.4%1.5%369.1K-1.6M-117.4K0.0874.94N/AN/A8,900712117,14866,572
2012-05-14$3.59$3.7522.4%6.4%34.9%24.3%19.2%2.7%-1.4%377.0K-2.0M-117.5K0.1775.20N/AN/A11,1721,936119,71667,044
2012-05-15$3.60$3.7521.8%6.2%35.0%23.0%19.7%2.6%0.6%349.0K-2.5M-116.0K0.4580.73N/AN/A3,7761,704119,73668,852
2012-05-16$3.57$3.7521.9%6.3%35.0%23.4%21.7%0.8%0.4%327.1K-1.4M-116.5K1.2078.58N/AN/A2,4522,936119,64470,256
2012-05-17$3.54$3.7524.6%7.1%34.8%29.0%24.3%0.7%-0.6%284.0K-793.9K-116.4K0.5081.54N/AN/A3,8481,940121,10071,860
2012-05-18$3.52$3.7524.5%7.0%14.0%28.7%24.4%-4.0%0.4%259.0K148.8K-118.6K1.2076.83N/AN/A688828123,10873,796
2012-05-21$3.62$3.7524.2%7.0%17.4%28.1%17.8%5.4%0.2%320.0K-3.6M-122.1K1.3772.85N/AN/A1,4521,984120,83672,676
2012-05-22$3.60$3.7522.8%6.5%17.0%25.2%19.2%3.5%3.9%273.2K-2.4M-120.8K0.6279.71N/AN/A3,1721,968120,32474,652
2012-05-23$3.58$3.7523.5%6.7%15.4%26.6%23.4%0.6%4.1%202.6K-359.6K-119.1K0.4474.23N/AN/A1,800788118,26476,612
2012-05-24$3.54$3.7523.0%6.6%15.5%25.6%0.0%-2.5%3.4%183.5K603.3K-117.1K1.8375.89N/AN/A2444119,72076,956
2012-05-25$3.60$3.7522.1%6.3%17.0%23.7%22.4%1.0%4.2%235.2K-1.5M-118.9K2.9178.73N/AN/A44128119,70476,996
2012-05-29$3.61$3.7522.5%6.4%16.7%24.5%22.4%0.9%4.2%251.4K-1.9M-118.0K1.6178.46N/AN/A560900119,73677,116
2012-05-30$3.54$3.7523.6%6.8%16.8%26.8%26.0%1.0%3.8%195.8K-519.9K-112.1K7.6579.74N/AN/A68520119,23677,632
2012-05-31$3.56$3.7521.5%6.2%17.0%22.5%21.5%9.4%4.3%195.5K-493.8K-115.0K2.0878.52N/AN/A416864119,16877,712