IBKR Options History — September 2012

In September 2012, IBKR traded between $3.44 and $3.62. ATM implied volatility averaged 20.1%, placing in the 27.0% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 8.2% (HV 20d: 11.9%). Max pain ranged from $3.50 to $3.75. Net GEX was positive for 3 of 19 trading days. Term structure was in contango for 12 of 19 days. Put/call ratio averaged 7.16.

Notable Days

  • 2012-09-21: Highest Volume — 28,636 contracts
  • 2012-09-12: Largest IV spike — 41.8% change
  • 2012-09-28: Highest IV Rank — 39.8%
  • 2012-09-28: Largest Expected Move — 7.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.54$3.44$3.62$3.47$3.50
Max Pain$3.54$3.50$3.75$3.75$3.50
ATM IV20.1%12.2%24.6%19.9%24.6%
Expected Move6.1%5.6%7.0%5.7%7.0%
HV 20d11.9%9.0%13.5%9.0%13.5%
HV 60d19.9%19.5%20.3%19.5%19.7%
IV Rank27.0%4.4%39.8%26.5%39.8%
IV Percentile36.9%1.2%66.7%31.7%66.7%
Term Structure0.3%-3.5%3.0%3.0%-3.5%
VWIV20.6%16.8%24.5%16.8%24.5%
Skew 25d4.9%-2.7%57.6%0.5%1.3%
Skew 10d7.9%-2.4%92.7%1.8%2.2%
Call IV 25d17.6%11.3%21.7%17.3%18.0%
Put IV 25d22.5%17.1%74.5%17.8%19.3%
Bid-Ask Spread %31.5514.5846.6539.7819.59
Gamma HHI0.350.310.470.470.33
Net GEX-178.9K-480.8K179.3K100.9K-480.8K
Net DEX6.4M3.5M10.0M8.5M9.9M
Net VEX-84.2K-99.1K-70.9K-83.2K-99.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio7.160.0434.331.461.34
Total Volume6,513.05323628,63636813,188
Total OI201,052.632148,440230,112217,764152,064

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-09-04$3.47$3.7519.9%5.7%9.0%26.5%16.8%0.5%3.0%100.9K8.5M-83.2K0.0039.78N/AN/A0368113,936103,828
2012-09-05$3.44$3.7521.3%6.1%9.3%30.4%21.3%7.0%1.5%179.3K9.4M-83.8K1.4637.53N/AN/A96140113,936103,892
2012-09-06$3.51$3.7520.0%5.7%11.7%26.7%19.9%57.6%2.1%-55.5K6.5M-79.7K2.6036.39N/AN/A336872114,188103,916
2012-09-07$3.56$3.5018.9%6.5%12.1%23.6%0.0%7.2%1.1%-184.1K5.1M-80.3K0.1123.99N/AN/A44448114,128103,628
2012-09-10$3.56$3.5014.9%6.3%12.1%12.3%21.9%-2.7%0.3%-39.0K5.0M-75.7K1.1234.35N/AN/A208232114,076103,672
2012-09-11$3.58$3.5012.2%5.9%12.3%4.4%0.0%-0.9%2.6%-74.9K4.6M-76.9K14.3320.73N/AN/A24344114,016103,632
2012-09-12$3.58$3.5017.3%6.3%10.9%19.0%22.4%2.0%0.4%-120.6K4.3M-76.4K0.0442.88N/AN/A2,09276114,016103,536
2012-09-13$3.58$3.5020.9%6.0%10.9%29.3%17.6%0.9%1.4%-50.5K5.0M-73.9K0.3744.06N/AN/A332124112,376103,504
2012-09-14$3.62$3.5022.1%6.3%11.1%32.7%19.9%2.1%1.1%-190.5K3.5M-74.9K3.9346.12N/AN/A56220112,668103,432
2012-09-17$3.58$3.5022.4%6.4%12.3%33.7%22.4%2.3%-0.3%-62.2K4.3M-72.7K34.3330.87N/AN/A24824112,696103,632
2012-09-18$3.58$3.5021.7%6.2%12.2%31.7%0.0%2.2%0.6%24.6K4.5M-70.9K14.0246.65N/AN/A1,77224,844112,688104,284
2012-09-19$3.59$3.5022.7%6.5%12.2%34.5%22.7%2.5%-2.0%-69.6K4.3M-78.2K14.6924.07N/AN/A1,68424,740112,128111,856
2012-09-20$3.56$3.5022.4%6.4%12.5%33.6%0.0%0.8%-1.7%-261.8K6.2M-87.3K11.3742.24N/AN/A1,39615,872110,532119,580
2012-09-21$3.54$3.5020.4%5.8%12.5%27.9%18.7%-1.2%-0.5%-354.3K4.4M-92.4K3.5218.47N/AN/A6,33222,304108,540115,508
2012-09-24$3.54$3.5019.6%5.6%12.5%25.6%19.6%5.1%-0.8%-407.3K8.6M-98.3K6.7014.58N/AN/A2241,50049,05699,384
2012-09-25$3.50$3.5019.6%5.6%13.1%25.5%19.6%2.5%1.0%-434.4K9.3M-98.6K3.8719.14N/AN/A2801,08449,184100,380
2012-09-26$3.50$3.5020.9%6.0%13.1%29.5%20.9%2.1%0.3%-459.2K10.0M-98.7K1.5718.44N/AN/A30848449,404101,292
2012-09-27$3.53$3.5020.1%5.8%13.2%27.0%0.0%2.8%-0.0%-459.8K8.8M-99.1K13.6039.53N/AN/A6081649,652101,760
2012-09-28$3.50$3.5024.6%7.0%13.5%39.8%24.5%1.3%-3.5%-480.8K9.9M-99.1K1.3419.59N/AN/A5,6287,56049,692102,372