IBKR Options History — June 2012 In June 2012, IBKR traded between $3.52 and $3.68. ATM implied volatility averaged 21.6%, placing in the 22.6% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 4.5% (HV 20d: 17.1%). Max pain ranged from $3.50 to $3.75. Net GEX was positive for 9 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.98.
Notable Days 2012-06-13 : Highest Volume — 6,952 contracts2012-06-21 : Largest IV spike — 41.7% change2012-06-04 : Highest IV Rank — 33.8%2012-06-13 : Largest Expected Move — 7.7%Monthly Statistics Metric Avg Min Max Open Close Price $3.60 $3.52 $3.68 $3.52 $3.68 Max Pain $3.64 $3.50 $3.75 $3.75 $3.75 ATM IV 21.6% 16.5% 27.0% 26.1% 21.8% Expected Move 6.8% 5.2% 7.7% 7.5% 6.3% HV 20d 17.1% 14.4% 18.8% 17.2% 14.4% HV 60d 26.3% 25.3% 27.0% 26.9% 25.3% IV Rank 22.6% 12.2% 33.8% 32.0% 23.1% IV Percentile 33.2% 4.8% 61.1% 56.3% 36.1% Term Structure -0.4% -2.8% 4.2% 0.4% -0.3% VWIV 22.7% 18.1% 26.1% 26.1% 21.9% Skew 25d 4.2% -6.9% 10.9% 10.9% -6.9% Skew 10d 4.6% -6.4% 13.5% 13.5% -6.4% Call IV 25d 21.3% 17.2% 25.5% 17.2% 22.6% Put IV 25d 25.5% 15.7% 29.7% 28.1% 15.7% Bid-Ask Spread % 70.40 59.22 82.51 82.51 69.64 Gamma HHI 0.29 0.23 0.33 0.30 0.32 Net GEX 9.9K -117.8K 243.9K 155.9K -82.4K Net DEX -288.5K -3.3M 1.8M 1.2M -1.8M Net VEX -100.8K -113.4K -89.7K -112.4K -94.2K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.98 0.03 2.85 2.85 0.47 Total Volume 1,492.571 4 6,952 1,464 2,252 Total OI 174,802.857 150,468 197,964 197,724 150,800
Daily Data (21 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2012-06-01 $3.52 $3.75 26.1% 7.5% 17.2% 32.0% 26.1% 10.9% 0.4% 155.9K 1.2M -112.4K 2.85 82.51 N/A N/A 380 1,084 119,152 78,572 2012-06-04 $3.52 $3.50 27.0% 7.7% 16.2% 33.8% 0.0% 2.5% -2.8% 149.3K 1.2M -110.5K 0.77 71.23 N/A N/A 120 92 119,216 78,700 2012-06-05 $3.54 $3.50 24.1% 7.5% 16.5% 27.8% 0.0% 4.4% -2.1% 154.7K 40.6K -109.5K 1.71 62.95 N/A N/A 56 96 119,224 78,740 2012-06-06 $3.62 $3.50 16.9% 7.4% 18.3% 12.9% 22.3% 7.4% -2.3% 243.9K -3.3M -113.4K 0.10 71.69 N/A N/A 2,204 224 119,192 78,416 2012-06-07 $3.58 $3.50 16.8% 7.4% 18.6% 12.7% 26.0% 0.8% -2.1% 141.2K -1.1M -108.6K 0.47 73.08 N/A N/A 3,044 1,440 118,064 78,616 2012-06-08 $3.60 $3.50 16.5% 7.0% 18.8% 12.2% 0.0% 6.1% -0.2% 125.9K -1.4M -108.5K 0.18 70.41 N/A N/A 976 172 117,540 79,600 2012-06-11 $3.59 $3.50 19.9% 7.0% 18.8% 19.1% 0.0% 6.7% -1.8% 69.2K -1.0M -106.4K 0.28 67.72 N/A N/A 2,176 616 117,156 79,748 2012-06-12 $3.58 $3.50 17.4% 7.3% 18.7% 14.0% 22.8% 5.9% -1.5% 26.3K -490.6K -105.2K 0.80 68.64 N/A N/A 540 432 116,212 80,276 2012-06-13 $3.59 $3.50 19.4% 7.7% 18.7% 18.2% 24.0% 7.9% -1.9% 24.0K -594.5K -104.3K 0.83 70.68 N/A N/A 3,804 3,148 116,332 80,620 2012-06-14 $3.59 $3.50 26.0% 7.5% 18.4% 31.8% 21.2% 8.2% -2.4% -86.3K 1.2M -99.3K 0.91 74.85 N/A N/A 316 288 108,020 83,252 2012-06-15 $3.59 $3.75 24.1% 6.9% 18.1% 27.8% 25.1% 4.4% 1.4% -85.3K 897.7K -99.0K 2.65 73.72 N/A N/A 308 816 108,052 83,464 2012-06-18 $3.60 $3.75 23.5% 6.7% 18.0% 26.5% 22.7% 5.5% 1.4% -11.0K 225.8K -99.4K 1.39 72.40 N/A N/A 184 256 85,880 66,700 2012-06-19 $3.65 $3.75 18.2% 5.2% 16.0% 15.6% 18.1% 5.7% 4.2% -44.9K -922.1K -91.5K 0.21 70.06 N/A N/A 2,016 416 86,048 66,912 2012-06-20 $3.67 $3.75 18.1% 5.2% 15.9% 15.3% 0.0% 4.0% 3.7% -40.1K -1.8M -100.1K 0.03 67.54 N/A N/A 2,936 80 85,100 67,168 2012-06-21 $3.60 $3.75 25.6% 7.3% 17.3% 30.9% 0.0% 2.1% -2.8% -55.9K -26.4K -94.2K 0.00 65.93 N/A N/A 0 4 83,836 67,248 2012-06-22 $3.62 $3.75 21.4% 6.1% 16.8% 22.3% 0.0% 1.1% 1.2% -100.3K 651.9K -93.0K 1.53 69.89 N/A N/A 60 92 83,288 67,180 2012-06-25 $3.60 $3.75 24.6% 7.1% 16.1% 28.9% 21.4% 1.8% -0.2% -110.7K 1.8M -90.2K 0.32 59.22 N/A N/A 76 24 83,272 67,240 2012-06-26 $3.60 $3.75 24.6% 7.1% 16.0% 28.9% 0.0% 3.0% -1.5% -117.8K 1.6M -89.7K 2.50 72.03 N/A N/A 40 100 83,348 67,264 2012-06-27 $3.65 $3.75 21.2% 6.1% 15.2% 21.8% 0.0% 3.3% -1.0% -79.9K -918.9K -92.7K 0.26 71.54 N/A N/A 152 40 83,308 67,364 2012-06-28 $3.68 $3.75 20.0% 5.7% 15.4% 19.4% 20.5% 3.0% 1.8% -68.6K -1.4M -95.4K 1.29 72.75 N/A N/A 124 160 83,336 67,404 2012-06-29 $3.68 $3.75 21.8% 6.3% 14.4% 23.1% 21.9% -6.9% -0.3% -82.4K -1.8M -94.2K 0.47 69.64 N/A N/A 1,532 720 83,328 67,472
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