IBKR Options History — November 2012

In November 2012, IBKR traded between $3.52 and $3.82. ATM implied volatility averaged 16.8%, placing in the 23.7% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded below realized volatility by 5.0% (HV 20d: 21.8%). Max pain ranged from $3.50 to $3.50. Net GEX was positive for 6 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 2.05.

Notable Days

  • 2012-11-27: Highest Volume — 18,892 contracts
  • 2012-11-14: Largest IV spike — 50.0% change
  • 2012-11-30: Highest IV Rank — 44.3%
  • 2012-11-30: Largest Expected Move — 6.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.66$3.52$3.82$3.59$3.82
Max Pain$3.50$3.50$3.50$3.50$3.50
ATM IV16.8%10.8%22.1%17.5%22.1%
Expected Move5.2%3.6%6.3%5.0%6.3%
HV 20d21.8%15.5%23.7%21.9%21.0%
HV 60d16.9%15.5%19.0%15.5%19.0%
IV Rank23.7%0.3%44.3%26.7%44.3%
IV Percentile22.7%0.4%64.7%18.7%64.7%
Term Structure0.2%-8.1%5.4%0.4%-1.0%
VWIV18.7%15.9%26.7%17.5%22.1%
Skew 25d-0.1%-6.2%8.5%6.0%8.5%
Skew 10d0.1%-8.0%7.6%7.6%4.4%
Call IV 25d16.5%11.6%20.9%11.6%12.1%
Put IV 25d16.4%10.3%20.6%17.6%20.6%
Bid-Ask Spread %30.6215.0665.8121.3437.06
Gamma HHI0.380.350.430.360.39
Net GEX-255.7K-726.8K312.4K-511.6K264.6K
Net DEX3.3M-6.1M11.5M7.3M-6.1M
Net VEX-86.7K-97.9K-70.6K-97.9K-70.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.050.0130.360.790.28
Total Volume3,063.6196418,8922081,948
Total OI182,133.524177,356185,980177,356181,120

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-11-01$3.59$3.5017.5%5.0%21.9%26.7%17.5%6.0%0.4%-511.6K7.3M-97.9K0.7921.34N/AN/A1169261,552115,804
2012-11-02$3.58$3.5012.5%3.6%21.9%7.0%0.0%-3.9%3.3%-568.2K7.6M-97.1K1.2520.05N/AN/A11214061,600115,828
2012-11-05$3.63$3.5010.8%4.5%22.3%0.3%15.9%1.4%-6.7%-332.0K4.8M-94.5K0.3218.58N/AN/A1,92461661,600115,864
2012-11-06$3.68$3.5013.8%4.7%22.7%12.2%17.3%-0.4%-6.7%-190.0K1.8M-92.7K0.2016.43N/AN/A1,33226063,344116,332
2012-11-07$3.69$3.5017.4%5.2%22.7%26.1%17.5%1.1%-8.1%-188.4K1.7M-93.5K1.9726.03N/AN/A1,2722,50464,352116,508
2012-11-08$3.65$3.5011.4%5.0%23.2%2.8%18.1%1.6%-5.3%-317.4K4.1M-95.6K1.3934.39N/AN/A7201,00464,784118,816
2012-11-09$3.61$3.5012.3%5.1%23.5%6.5%18.0%-1.8%4.0%-468.6K6.6M-95.2K1.4524.07N/AN/A46467265,156119,668
2012-11-12$3.58$3.5015.7%5.1%23.4%19.6%17.6%-1.8%2.9%-526.9K7.7M-92.6K1.6340.80N/AN/A32452865,384119,784
2012-11-13$3.57$3.5013.5%5.0%22.9%11.0%17.2%-1.6%4.9%-589.8K8.2M-91.4K1.5118.97N/AN/A6921,04865,604119,916
2012-11-14$3.52$3.5020.3%5.7%23.3%37.2%19.2%-2.9%1.9%-632.2K11.1M-91.0K30.3615.06N/AN/A441,33665,556119,960
2012-11-15$3.56$3.5018.9%5.4%23.7%32.0%18.8%-1.8%2.0%-615.1K8.3M-89.9K0.0726.38N/AN/A60465,216119,456
2012-11-16$3.52$3.5019.2%5.5%20.5%33.0%19.2%-4.5%2.4%-612.0K11.5M-88.8K0.3437.19N/AN/A1,28844065,272119,460
2012-11-19$3.56$3.5017.9%5.1%21.1%28.2%17.9%-1.4%3.6%-726.8K9.6M-87.8K0.1119.87N/AN/A7728461,892117,900
2012-11-20$3.58$3.5016.9%4.8%15.5%24.1%17.0%-1.9%5.4%-688.4K8.6M-86.8K0.0627.93N/AN/A2,20412862,340117,984
2012-11-21$3.73$3.5018.2%5.2%21.3%29.1%18.5%3.8%1.4%-45.2K-666.2K-85.1K0.1941.03N/AN/A6,1361,14064,380117,996
2012-11-23$3.78$3.5017.7%5.1%21.5%27.1%18.0%0.1%1.1%282.8K-5.1M-76.7K0.3445.99N/AN/A2,74493667,868118,112
2012-11-26$3.79$3.5018.5%5.3%21.4%30.5%18.9%-6.2%-0.2%233.7K-5.2M-74.4K0.1119.83N/AN/A5446066,360118,164
2012-11-27$3.77$3.5018.2%5.2%21.7%29.4%26.7%-0.5%0.5%312.4K-4.6M-74.8K0.0165.81N/AN/A18,68820466,328118,200
2012-11-28$3.79$3.5019.7%5.6%21.3%35.0%19.1%3.1%-1.3%276.3K-4.7M-71.5K0.6741.44N/AN/A1,9601,30861,304118,308
2012-11-29$3.77$3.5019.7%5.6%20.8%35.1%19.7%1.2%0.5%272.1K-4.0M-71.8K0.0744.71N/AN/A7,96852061,560118,172
2012-11-30$3.82$3.5022.1%6.3%21.0%44.3%22.1%8.5%-1.0%264.6K-6.1M-70.6K0.2837.06N/AN/A1,52042862,812118,308