IBKR Options History — December 2012

In December 2012, IBKR traded between $3.39 and $3.79. ATM implied volatility averaged 17.3%, placing in the 25.6% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded below realized volatility by 8.4% (HV 20d: 25.7%). Max pain ranged from $3.05 to $3.93. Net GEX was positive for 13 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 2.96.

Notable Days

  • 2012-12-19: Highest Volume — 15,016 contracts
  • 2012-12-19: Largest IV spike — 38.4% change
  • 2012-12-04: Highest IV Rank — 45.0%
  • 2012-12-04: Largest Expected Move — 6.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.62$3.39$3.79$3.75$3.42
Max Pain$3.40$3.05$3.93$3.50$3.05
ATM IV17.3%13.5%22.3%21.9%14.1%
Expected Move5.0%3.9%6.4%6.3%4.1%
HV 20d25.7%21.5%32.8%22.6%28.3%
HV 60d21.5%18.8%24.3%19.4%24.3%
IV Rank25.6%10.9%45.0%43.7%13.4%
IV Percentile26.2%3.6%67.1%63.1%6.7%
Term Structure5.0%-0.9%10.7%0.1%8.6%
VWIV18.6%10.1%22.2%21.9%14.9%
Skew 25d2.2%-4.6%7.5%-1.1%2.7%
Skew 10d2.1%-3.6%8.2%-2.2%4.6%
Call IV 25d15.4%9.3%21.5%17.6%15.3%
Put IV 25d17.6%14.6%25.7%16.4%18.0%
Bid-Ask Spread %26.154.8146.3418.886.46
Gamma HHI0.480.300.740.390.31
Net GEX320.8K-2.6M2.4M187.8K-708.7K
Net DEX1.2M-6.3M13.9M-2.4M7.0M
Net VEX-68.1K-72.4K-61.9K-72.4K-70.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.960.0413.720.060.49
Total Volume3,527.826815,016572424
Total OI179,634.6143,472212,184181,048150,692

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-12-03$3.75$3.5021.9%6.3%22.6%43.7%21.9%-1.1%0.1%187.8K-2.4M-72.4K0.0618.88N/AN/A5403262,516118,532
2012-12-04$3.77$3.5022.3%6.4%22.3%45.0%22.2%1.4%-0.6%263.8K-3.7M-69.8K0.3418.33N/AN/A80026862,520118,560
2012-12-05$3.77$3.5021.0%6.0%21.9%40.0%20.5%1.0%-0.9%378.4K-4.3M-68.2K0.0429.10N/AN/A1,4525263,032118,724
2012-12-06$3.79$3.5021.1%6.1%22.0%40.7%21.1%2.3%-0.7%410.2K-5.4M-66.5K2.1940.36N/AN/A26858862,868118,776
2012-12-07$3.79$3.9320.7%5.7%21.5%38.8%17.0%-0.5%3.2%502.6K-5.5M-65.5K0.1630.53N/AN/A2323662,900119,024
2012-12-10$3.67$3.9319.4%6.2%24.5%33.7%21.4%4.2%-0.8%-73.0K2.8M-67.4K0.4628.97N/AN/A5,0122,31262,900119,036
2012-12-11$3.71$3.9315.5%5.6%24.5%18.6%19.7%-4.6%-0.0%986.4K-120.2K-61.9K0.2527.61N/AN/A3,27280863,572119,868
2012-12-12$3.73$3.9317.2%5.3%24.5%25.4%18.5%-1.6%0.3%934.5K-2.3M-63.3K2.7024.99N/AN/A1,2963,50065,144120,528
2012-12-13$3.71$3.9314.5%4.2%24.0%15.0%10.1%6.1%9.1%1.0M-351.2K-64.1K3.6914.94N/AN/A8763,23265,800123,688
2012-12-14$3.68$3.3014.9%4.3%23.9%16.4%17.8%2.7%8.2%331.4K1.3M-68.7K13.7227.02N/AN/A3004,11666,596125,064
2012-12-17$3.76$3.3014.3%4.1%24.1%14.1%19.5%7.5%10.2%1.4M-3.7M-67.1K4.6026.42N/AN/A1,1365,22466,600128,552
2012-12-18$3.74$3.3014.3%4.1%24.0%14.1%18.7%5.7%10.4%1.9M-382.8K-68.1K4.5126.88N/AN/A1,2485,62864,084133,580
2012-12-19$3.52$3.0519.8%5.7%32.8%35.4%0.0%-1.7%2.1%-2.6M13.9M-66.1K2.8730.85N/AN/A3,88411,13264,528138,116
2012-12-20$3.54$3.0514.9%4.3%28.9%16.6%18.9%7.4%10.7%1.7M-6.3M-69.0K5.6531.07N/AN/A3001,69664,320147,300
2012-12-21$3.47$3.0517.4%5.0%28.6%26.1%21.0%2.7%7.4%2.4M3.6M-71.2K1.3039.85N/AN/A9641,25264,408147,776
2012-12-24$3.44$3.0515.5%4.5%28.6%18.9%16.8%2.8%8.1%-602.2K6.3M-70.1K0.664.81N/AN/A24816432,388111,084
2012-12-26$3.40$3.0513.5%3.9%28.8%10.9%14.3%1.6%7.5%-654.0K7.1M-68.7K6.5933.01N/AN/A5163,40032,596111,168
2012-12-27$3.40$3.0516.6%4.7%28.7%22.8%20.3%3.3%8.9%-694.7K7.5M-71.4K5.5116.60N/AN/A3882,13632,756113,960
2012-12-28$3.39$3.0516.3%4.7%28.7%21.9%0.0%2.2%8.3%-726.7K8.1M-72.2K3.4746.34N/AN/A4081,41633,116116,020
2012-12-31$3.42$3.0514.1%4.1%28.3%13.4%14.9%2.7%8.6%-708.7K7.0M-70.9K0.496.46N/AN/A28414033,504117,188