IBKR Options History — October 2012

In October 2012, IBKR traded between $3.50 and $3.69. ATM implied volatility averaged 22.8%, placing in the 39.7% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 8.0% (HV 20d: 14.9%). Max pain ranged from $3.50 to $3.75. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 8.02.

Notable Days

  • 2012-10-19: Highest Volume — 10,016 contracts
  • 2012-10-17: Largest IV drop — 38.5% change
  • 2012-10-10: Highest IV Rank — 70.3%
  • 2012-10-04: Largest Expected Move — 8.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.56$3.50$3.69$3.52$3.56
Max Pain$3.52$3.50$3.75$3.50$3.50
ATM IV22.8%15.7%34.9%25.2%16.9%
Expected Move6.0%4.5%8.1%7.2%4.8%
HV 20d14.9%9.6%21.9%13.5%21.9%
HV 60d16.4%13.4%19.7%19.6%15.5%
IV Rank39.7%19.5%70.3%41.7%24.2%
IV Percentile48.2%6.0%95.2%69.8%13.9%
Term Structure-2.1%-7.6%1.8%-4.2%1.8%
VWIV19.6%9.0%28.4%25.8%16.7%
Skew 25d4.3%-1.8%23.1%3.4%23.1%
Skew 10d6.8%-0.4%66.6%2.7%66.6%
Call IV 25d16.3%10.7%21.1%18.1%13.3%
Put IV 25d20.6%12.0%36.4%21.5%36.4%
Bid-Ask Spread %30.6810.6355.6529.6521.48
Gamma HHI0.360.320.520.330.36
Net GEX-576.7K-1.4M-230.5K-476.9K-591.4K
Net DEX8.0M-423.0K12.0M8.8M9.1M
Net VEX-100.4K-108.1K-92.4K-101.5K-96.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio8.020.0489.3612.030.04
Total Volume2,762.286010,0163,2841,240
Total OI176,180.19163,916187,180163,916176,736

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-10-01$3.52$3.5025.2%7.2%13.5%41.7%25.8%3.4%-4.2%-476.9K8.8M-101.5K12.0329.65N/AN/A2523,03255,216108,700
2012-10-02$3.55$3.5025.2%7.2%13.6%41.6%19.5%5.9%-4.7%-446.3K8.1M-101.9K1.6822.44N/AN/A28848455,340109,732
2012-10-03$3.54$3.5027.2%7.8%13.2%48.0%27.2%4.0%-6.6%-454.5K8.1M-101.9K0.2120.38N/AN/A6,2201,32055,584110,020
2012-10-04$3.56$3.5028.4%8.1%11.5%51.4%28.4%9.3%-7.6%-374.1K6.9M-108.1K13.2519.91N/AN/A4863661,676109,840
2012-10-05$3.57$3.7527.8%5.9%10.1%49.8%20.5%1.2%-1.1%-406.2K6.4M-106.0K89.3629.73N/AN/A565,00461,676110,336
2012-10-08$3.57$3.7532.0%6.4%10.0%62.0%22.3%9.9%-1.9%-494.0K6.9M-104.2K8.1435.36N/AN/A3963,22461,684115,292
2012-10-09$3.56$3.5033.1%6.4%9.6%65.1%0.0%2.3%-2.6%-564.4K8.1M-105.7K0.0039.20N/AN/A06061,896117,436
2012-10-10$3.55$3.5034.9%6.5%9.7%70.3%0.0%0.7%-2.6%-573.0K8.4M-103.7K0.0027.42N/AN/A0061,896117,496
2012-10-11$3.58$3.5023.0%6.6%10.4%37.8%19.2%2.8%-3.3%-544.0K7.5M-103.4K1.9439.36N/AN/A14027261,896117,496
2012-10-12$3.54$3.5023.8%6.8%10.7%50.4%21.4%-0.8%-4.1%-595.2K8.8M-102.8K1.3037.80N/AN/A58876461,968117,768
2012-10-15$3.56$3.5024.3%7.0%10.2%52.3%24.4%2.7%-3.6%-562.2K8.0M-103.1K6.2754.76N/AN/A2641,65662,512118,180
2012-10-16$3.57$3.5025.5%7.3%10.2%56.9%23.0%1.7%-5.2%-603.9K7.8M-100.3K1.0931.60N/AN/A2,4202,64862,692119,368
2012-10-17$3.69$3.5015.7%4.5%15.8%19.5%15.3%-1.8%0.4%-230.5K-423.0K-93.1K0.8034.74N/AN/A2,1881,74463,884119,872
2012-10-18$3.67$3.5016.6%4.8%15.6%23.1%17.0%4.5%-1.0%-261.2K-114.4K-92.4K0.8622.55N/AN/A2,9562,53264,352120,020
2012-10-19$3.52$3.5018.1%5.2%21.4%28.7%17.8%3.9%0.6%-1.4M8.5M-94.6K4.1639.03N/AN/A1,9408,07666,152121,028
2012-10-22$3.53$3.5016.4%4.7%21.4%22.4%16.4%4.9%-0.1%-677.6K10.8M-97.7K4.6632.84N/AN/A18887659,448113,956
2012-10-23$3.51$3.5016.1%4.6%21.1%21.2%9.0%3.8%0.2%-713.1K11.4M-97.8K2.5218.26N/AN/A12431259,468114,408
2012-10-24$3.51$3.5016.5%4.7%21.1%22.7%16.5%2.6%-0.2%-741.2K11.9M-97.4K2.4621.37N/AN/A28068859,520114,588
2012-10-25$3.53$3.5016.4%4.7%20.9%22.4%16.5%4.0%0.7%-687.4K10.8M-98.5K0.9210.63N/AN/A1,2321,12859,600115,024
2012-10-26$3.50$3.5016.4%4.7%21.0%22.3%16.4%2.2%1.6%-675.3K12.0M-97.4K0.6855.65N/AN/A1,6281,10460,224115,804
2012-10-31$3.56$3.5016.9%4.8%21.9%24.2%16.7%23.1%1.8%-591.4K9.1M-96.1K0.0421.48N/AN/A1,1964460,952115,784