IBKR Options History — January 2013

In January 2013, IBKR traded between $3.40 and $3.58. ATM implied volatility averaged 16.6%, placing in the 23.0% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded below realized volatility by 6.5% (HV 20d: 23.1%). Max pain ranged from $3.05 to $3.50. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 3.33.

Notable Days

  • 2013-01-03: Highest Volume — 31,856 contracts
  • 2013-01-16: Largest IV drop — 20.7% change
  • 2013-01-15: Highest IV Rank — 41.3%
  • 2013-01-15: Largest Expected Move — 6.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.51$3.40$3.58$3.47$3.58
Max Pain$3.45$3.05$3.50$3.05$3.50
ATM IV16.6%13.0%21.3%13.0%15.9%
Expected Move5.0%3.7%6.1%3.7%4.6%
HV 20d23.1%14.9%30.0%28.7%17.0%
HV 60d23.9%22.3%25.0%24.5%23.2%
IV Rank23.0%9.1%41.3%9.1%20.3%
IV Percentile23.7%2.8%66.7%2.8%16.3%
Term Structure0.6%-2.4%7.7%7.7%0.6%
VWIV17.8%14.2%24.1%24.1%16.1%
Skew 25d3.8%-4.6%37.0%5.3%6.3%
Skew 10d7.8%-4.4%71.2%8.5%62.2%
Call IV 25d14.2%10.8%20.1%14.6%12.6%
Put IV 25d18.1%10.2%51.0%20.0%18.8%
Bid-Ask Spread %31.0312.5557.2923.3220.27
Gamma HHI0.340.290.390.310.39
Net GEX-612.8K-788.1K-491.3K-665.7K-618.5K
Net DEX3.6M1.5M7.5M5.0M1.5M
Net VEX-62.3K-69.9K-58.2K-66.7K-58.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.330.0219.424.910.17
Total Volume2,63215631,8561,372220
Total OI126,758.286107,812152,056150,880113,992

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-01-02$3.47$3.0513.0%3.7%28.7%9.1%24.1%5.3%7.7%-665.7K5.0M-66.7K4.9123.32N/AN/A2321,14033,584117,296
2013-01-03$3.45$3.0515.0%4.3%28.3%16.8%16.8%4.5%6.5%-701.5K6.1M-69.9K19.4246.64N/AN/A1,56030,29633,636118,420
2013-01-04$3.52$3.2513.1%5.7%29.6%9.3%19.9%4.2%-1.0%-569.9K3.4M-66.4K4.2557.29N/AN/A8034035,136109,576
2013-01-07$3.56$3.5015.6%6.1%30.0%18.9%16.5%7.0%-1.5%-497.9K2.4M-64.0K0.3649.45N/AN/A28810435,192103,528
2013-01-08$3.56$3.5018.3%5.9%30.0%29.4%20.4%5.1%-1.0%-491.3K2.1M-62.3K4.1845.19N/AN/A15263635,31694,564
2013-01-09$3.54$3.5017.4%6.0%27.8%26.0%20.9%-1.7%-2.4%-516.1K2.5M-62.2K1.7132.38N/AN/A27647235,38095,076
2013-01-10$3.56$3.5020.1%5.8%27.5%36.6%20.1%6.4%-0.4%-506.4K2.2M-61.5K0.4134.05N/AN/A36014835,45695,212
2013-01-11$3.55$3.5020.7%5.9%27.4%39.0%20.0%-1.7%-1.5%-497.9K2.4M-61.5K1.0635.71N/AN/A14014835,72895,248
2013-01-14$3.54$3.5021.2%6.1%27.4%40.7%21.2%4.0%-1.7%-513.3K2.6M-60.5K2.4433.26N/AN/A16440035,77695,244
2013-01-15$3.52$3.5021.3%6.1%27.4%41.3%15.7%3.7%-1.7%-518.6K2.3M-60.9K0.4747.30N/AN/A1,75683235,80095,620
2013-01-16$3.50$3.5016.9%4.8%26.1%24.1%16.9%0.7%0.2%-607.2K3.5M-60.1K6.0322.55N/AN/A12877236,99296,012
2013-01-17$3.50$3.5015.6%4.5%26.1%19.2%15.6%0.6%1.1%-616.8K3.7M-60.4K1.6919.31N/AN/A7761,30836,73694,868
2013-01-18$3.52$3.5015.6%4.5%15.0%18.9%15.6%1.9%2.4%-611.9K3.5M-61.6K0.0218.93N/AN/A3,7487637,14096,072
2013-01-22$3.50$3.5016.2%4.7%14.9%21.5%16.2%0.1%0.7%-648.8K4.0M-61.5K0.2116.59N/AN/A4609624,18483,628
2013-01-23$3.40$3.5014.6%4.2%16.5%15.1%14.2%-4.6%0.9%-759.9K7.5M-61.4K4.3812.55N/AN/A6562,87624,57683,640
2013-01-24$3.42$3.5015.5%4.4%16.3%18.6%15.5%-1.8%-0.9%-788.1K7.1M-63.3K0.2020.57N/AN/A84817224,76486,340
2013-01-25$3.50$3.5014.5%4.2%17.2%15.0%0.0%0.5%1.6%-693.5K4.1M-62.6K5.0850.94N/AN/A3001,52425,22886,496
2013-01-28$3.50$3.5015.7%4.5%17.2%19.5%15.7%0.5%-0.2%-724.3K4.2M-60.8K1.0027.33N/AN/A28828825,36087,648
2013-01-29$3.54$3.5016.5%4.7%17.4%22.6%16.5%2.4%1.8%-650.4K3.1M-61.7K10.4817.44N/AN/A9296425,60487,936
2013-01-30$3.53$3.5016.1%4.6%17.2%21.0%16.1%37.0%0.3%-671.2K3.0M-60.1K1.4420.53N/AN/A649225,67688,244
2013-01-31$3.58$3.5015.9%4.6%17.0%20.3%0.0%6.3%0.6%-618.5K1.5M-58.2K0.1720.27N/AN/A1883225,74088,252