IBKR Options History — August 2012

In August 2012, IBKR traded between $3.35 and $3.48. ATM implied volatility averaged 18.0%, placing in the 18.9% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded below realized volatility by 2.8% (HV 20d: 20.8%). Max pain ranged from $3.50 to $3.75. Net GEX was positive for 20 of 23 trading days. Term structure was in contango for 22 of 23 days. Put/call ratio averaged 21.79.

Notable Days

  • 2012-08-22: Highest Volume — 54,668 contracts
  • 2012-08-14: Largest IV spike — 34.5% change
  • 2012-08-15: Highest IV Rank — 31.1%
  • 2012-08-02: Largest Expected Move — 6.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.43$3.35$3.48$3.42$3.46
Max Pain$3.72$3.50$3.75$3.50$3.75
ATM IV18.0%13.5%22.8%21.3%18.7%
Expected Move5.3%4.7%6.5%6.1%5.4%
HV 20d20.8%9.3%30.2%28.1%9.3%
HV 60d20.9%19.5%21.7%20.7%19.5%
IV Rank18.9%6.7%31.1%22.0%22.9%
IV Percentile17.4%1.2%42.9%33.7%24.2%
Term Structure3.4%-0.5%6.4%0.2%4.2%
VWIV18.8%14.3%21.8%21.3%19.3%
Skew 25d4.0%-4.7%8.4%-4.7%7.9%
Skew 10d5.6%-3.0%20.6%-0.5%12.3%
Call IV 25d16.6%14.7%20.4%20.4%16.2%
Put IV 25d20.6%15.7%24.1%15.7%24.1%
Bid-Ask Spread %52.8613.0593.0870.6718.63
Gamma HHI0.370.290.530.340.40
Net GEX96.1K-53.7K219.2K-16.7K75.0K
Net DEX9.3M7.2M11.2M10.5M8.2M
Net VEX-62.0K-90.8K-45.5K-58.3K-86.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio21.790.00281.0058.963.73
Total Volume3,985.0432854,66813,672568
Total OI179,392.87159,688218,928164,948217,852

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-08-01$3.42$3.5021.3%6.1%28.1%22.0%21.3%-4.7%0.2%-16.7K10.5M-58.3K58.9670.67N/AN/A22813,44485,72879,220
2012-08-02$3.35$3.5022.8%6.5%28.7%25.2%20.8%8.4%0.4%71.8K11.2M-55.2K12.1166.02N/AN/A4645,62085,76076,244
2012-08-03$3.42$3.5020.6%5.9%30.1%20.6%20.6%-4.0%-0.5%25.3K8.6M-56.8K0.3773.20N/AN/A34412886,13673,904
2012-08-06$3.45$3.7515.2%5.5%30.2%9.3%19.6%4.3%3.4%8.2K8.0M-54.2K2.9693.08N/AN/A21664085,92073,768
2012-08-07$3.47$3.7518.6%5.7%27.3%16.5%14.3%5.1%1.6%-43.7K7.2M-54.9K6.0073.59N/AN/A3802,28086,08473,944
2012-08-08$3.48$3.7518.5%5.2%27.0%16.2%16.5%5.8%3.0%-53.7K7.7M-53.7K24.6572.01N/AN/A681,67686,32075,456
2012-08-09$3.44$3.7513.9%5.2%27.1%6.7%0.0%4.7%3.4%8.4K9.4M-51.3K24.2278.72N/AN/A3687286,32076,972
2012-08-10$3.43$3.7513.5%5.2%26.5%8.0%18.3%4.1%2.8%20.2K9.5M-51.3K0.1278.24N/AN/A4926086,32877,212
2012-08-13$3.43$3.7514.8%5.2%26.5%11.9%20.7%3.9%3.6%48.6K9.8M-49.0K2.0076.67N/AN/A285686,64877,192
2012-08-14$3.38$3.7519.9%5.0%24.5%26.6%15.9%2.9%5.6%162.5K11.1M-46.2K0.0074.92N/AN/A232086,66477,068
2012-08-15$3.40$3.7521.5%5.3%19.0%31.1%0.0%0.3%3.5%133.2K10.7M-47.3K0.0075.69N/AN/A02886,83277,068
2012-08-16$3.40$3.7519.7%5.7%18.8%26.0%19.7%0.4%3.7%130.7K9.8M-47.4K0.0169.12N/AN/A3,1163286,38875,684
2012-08-17$3.41$3.7516.6%4.8%18.2%17.0%21.8%5.9%6.1%175.4K9.3M-48.7K3.2566.71N/AN/A165289,25675,664
2012-08-20$3.43$3.7517.0%4.9%17.3%18.0%17.2%5.8%3.9%159.4K8.5M-46.8K0.1313.05N/AN/A5366887,34873,932
2012-08-21$3.44$3.7516.8%4.8%17.3%17.6%19.8%4.6%2.5%162.3K8.2M-46.8K1.1717.81N/AN/A45252887,71673,880
2012-08-22$3.42$3.7516.4%4.7%16.1%16.4%18.7%5.0%5.3%219.2K9.2M-45.5K1.0824.65N/AN/A26,24028,42887,96074,048
2012-08-23$3.44$3.7516.6%4.8%15.4%17.1%21.4%5.5%6.4%183.5K9.7M-88.8K281.0021.09N/AN/A82,248114,068102,348
2012-08-24$3.46$3.7516.3%4.7%15.3%16.1%16.7%5.5%5.5%148.6K9.4M-89.3K1.4236.56N/AN/A364516114,076104,240
2012-08-27$3.44$3.7518.5%5.3%14.7%22.5%18.3%6.3%3.5%144.3K9.4M-90.8K0.0823.59N/AN/A484114,104104,700
2012-08-28$3.45$3.7518.2%5.2%14.5%21.6%18.4%5.1%4.1%134.5K9.7M-86.3K34.7541.16N/AN/A16556114,084104,704
2012-08-29$3.44$3.7518.5%5.3%14.0%22.5%18.4%4.7%3.0%158.8K9.9M-84.9K6.4132.79N/AN/A68436113,868105,060
2012-08-30$3.43$3.7519.0%5.5%11.6%24.0%16.9%4.9%3.9%153.6K9.2M-86.4K15.0017.87N/AN/A460113,936104,332
2012-08-31$3.46$3.7518.7%5.4%9.3%22.9%19.3%7.9%4.2%75.0K8.2M-86.8K3.7318.63N/AN/A120448113,936103,916