IBKR Options History — July 2012

In July 2012, IBKR traded between $3.35 and $3.68. ATM implied volatility averaged 22.6%, placing in the 24.8% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 0.5% (HV 20d: 22.1%). Max pain ranged from $3.50 to $3.75. Net GEX was positive for 5 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 9.77.

Notable Days

  • 2012-07-31: Highest Volume — 8,256 contracts
  • 2012-07-10: Largest IV spike — 38.6% change
  • 2012-07-11: Highest IV Rank — 42.4%
  • 2012-07-16: Largest Expected Move — 7.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.53$3.35$3.68$3.65$3.46
Max Pain$3.54$3.50$3.75$3.75$3.50
ATM IV22.6%18.2%31.1%22.6%19.8%
Expected Move6.3%5.2%7.8%6.5%5.7%
HV 20d22.1%12.8%28.4%14.9%28.3%
HV 60d22.7%18.6%25.8%25.3%20.6%
IV Rank24.8%15.7%42.4%24.8%18.9%
IV Percentile38.5%14.3%74.6%42.1%23.8%
Term Structure-0.6%-3.5%2.0%-0.7%-0.3%
VWIV21.2%16.3%26.7%21.8%18.5%
Skew 25d2.1%-9.0%11.7%-9.0%0.7%
Skew 10d3.9%-8.4%24.2%-8.4%1.7%
Call IV 25d19.4%11.2%27.3%23.7%17.1%
Put IV 25d21.5%14.7%30.3%14.7%17.8%
Bid-Ask Spread %69.4859.4677.7773.3571.15
Gamma HHI0.320.290.370.320.33
Net GEX-69.6K-211.3K69.0K-81.1K-68.5K
Net DEX4.6M-2.5M12.4M-1.2M7.9M
Net VEX-74.4K-93.1K-55.7K-89.9K-62.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio9.770.05146.430.05146.43
Total Volume1,876.9521128,2561,5928,256
Total OI157,856.381151,892162,688151,892161,472

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-07-02$3.65$3.7522.6%6.5%14.9%24.8%0.0%-9.0%-0.7%-81.1K-1.2M-89.9K0.0573.35N/AN/A1,5128083,90067,992
2012-07-03$3.68$3.7520.0%5.7%15.0%19.3%0.0%-2.9%1.8%-88.9K-2.5M-93.1K7.0075.66N/AN/A2014084,84468,072
2012-07-05$3.68$3.7521.8%6.2%13.0%23.1%0.0%-3.8%-0.3%-61.4K-2.2M-90.3K0.0077.77N/AN/A062084,86468,212
2012-07-06$3.65$3.5018.4%5.9%12.8%16.0%21.8%4.8%-2.3%-90.4K-606.2K-89.4K0.6261.77N/AN/A27216884,86468,628
2012-07-09$3.67$3.5022.0%6.2%12.8%23.5%0.0%3.3%-1.5%-67.2K-1.7M-89.4K0.2567.25N/AN/A2205684,96068,752
2012-07-10$3.53$3.5030.5%7.0%18.8%41.1%23.4%-5.2%-2.0%-35.3K3.5M-82.7K14.9362.82N/AN/A3405,07685,00068,808
2012-07-11$3.57$3.5031.1%6.9%19.3%42.4%0.0%-0.1%-1.3%-122.2K3.2M-81.6K0.4272.18N/AN/A52422085,18072,124
2012-07-12$3.57$3.5024.1%6.9%19.3%27.8%0.0%0.9%-1.5%-115.0K2.4M-82.7K1.5569.93N/AN/A446885,63672,136
2012-07-13$3.62$3.5024.7%7.1%19.9%29.1%21.6%5.2%-1.3%-133.3K809.8K-84.5K1.3770.98N/AN/A12016485,63672,192
2012-07-16$3.62$3.5027.1%7.8%19.9%34.0%26.7%3.7%-3.5%-116.3K613.1K-83.5K2.3473.01N/AN/A5201,21685,55672,268
2012-07-17$3.50$3.5026.3%7.5%23.1%32.3%26.3%3.0%-2.7%-133.3K5.8M-75.7K1.1067.71N/AN/A1,0921,20085,82873,244
2012-07-18$3.36$3.5024.3%7.0%26.6%28.2%21.9%4.0%1.3%39.0K11.3M-60.4K1.3567.70N/AN/A3,4004,58486,16073,884
2012-07-19$3.39$3.5020.6%5.9%26.7%20.7%22.0%4.0%-0.7%2.4K10.9M-62.6K2.0774.76N/AN/A38078885,50876,328
2012-07-20$3.35$3.5025.1%7.2%26.3%30.0%16.3%11.7%-2.0%69.0K12.4M-57.1K4.4567.80N/AN/A8035685,76876,920
2012-07-23$3.40$3.5018.2%5.2%27.2%15.7%20.2%3.6%2.0%13.7K9.4M-62.6K1.4765.86N/AN/A1,1081,62484,15673,752
2012-07-24$3.40$3.5019.9%5.7%27.2%19.2%0.0%4.9%0.0%25.9K9.3M-63.2K5.5267.85N/AN/A11664084,94074,844
2012-07-25$3.46$3.5018.8%5.4%28.2%16.8%19.3%7.0%1.0%-61.2K7.8M-63.8K0.7774.01N/AN/A88868085,05275,212
2012-07-26$3.51$3.5019.5%5.6%28.2%18.3%18.9%3.2%1.6%-119.8K6.4M-68.2K2.2570.50N/AN/A26860485,20475,340
2012-07-27$3.54$3.5019.4%5.6%28.1%18.1%19.3%3.3%-0.4%-211.3K5.9M-64.3K1.0059.46N/AN/A25625685,18475,688
2012-07-30$3.49$3.5020.6%5.9%28.4%20.5%20.5%1.9%-0.7%-107.0K7.2M-55.7K0.5167.58N/AN/A96449685,26875,608
2012-07-31$3.46$3.5019.8%5.7%28.3%18.9%18.5%0.7%-0.3%-68.5K7.9M-62.5K146.4371.15N/AN/A568,20085,69275,780