IBKR Options History — February 2013

In February 2013, IBKR traded between $3.64 and $3.79. ATM implied volatility averaged 14.0%, placing in the 13.2% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded below realized volatility by 2.4% (HV 20d: 16.4%). Max pain ranged from $3.50 to $3.75. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 4.23.

Notable Days

2013-02-22: Highest Volume — 3,284 contracts
2013-02-27: Largest IV drop — 30.4% change
2013-02-25: Highest IV Rank — 18.5%
2013-02-04: Largest Expected Move — 4.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$3.71	$3.64	$3.79	$3.65	$3.68
Max Pain	$3.53	$3.50	$3.75	$3.50	$3.75
ATM IV	14.0%	9.9%	15.4%	13.7%	12.1%
Expected Move	4.1%	2.8%	4.5%	3.5%	3.5%
HV 20d	16.4%	14.6%	18.1%	18.0%	16.0%
HV 60d	22.5%	21.3%	23.4%	23.4%	21.6%
IV Rank	13.2%	0.0%	18.5%	11.9%	8.4%
IV Percentile	9.3%	0.0%	18.7%	5.2%	2.0%
Term Structure	3.8%	0.4%	10.0%	10.0%	8.5%
VWIV	15.3%	10.8%	23.2%	15.1%	15.5%
Skew 25d	0.5%	-8.8%	8.6%	8.6%	2.9%
Skew 10d	0.6%	-4.4%	5.0%	4.0%	-2.1%
Call IV 25d	12.7%	8.5%	17.7%	8.5%	9.4%
Put IV 25d	13.2%	8.9%	17.3%	17.1%	12.3%
Bid-Ask Spread %	16.85	10.13	47.12	13.77	13.93
Gamma HHI	0.39	0.29	0.56	0.36	0.56
Net GEX	-307.8K	-550.7K	-12.2K	-447.9K	-492.0K
Net DEX	-3.3M	-6.3M	146.2K	-1.5M	146.2K
Net VEX	-39.5K	-52.4K	-23.5K	-52.4K	-37.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	4.23	0.00	53.73	0.99	0.64
Total Volume	646.737	68	3,284	1,644	480
Total OI	113,354.316	105,856	116,608	114,000	105,888

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2013-02-01	$3.65	$3.50	13.7%	3.5%	18.0%	11.9%	15.1%	8.6%	10.0%	-447.9K	-1.5M	-52.4K	0.99	13.77	N/A	N/A	828	816	25,736	88,264
2013-02-04	$3.66	$3.50	13.4%	4.5%	16.9%	10.5%	18.6%	3.0%	2.8%	-462.0K	-1.4M	-51.0K	0.42	20.14	N/A	N/A	48	20	25,792	88,340
2013-02-05	$3.70	$3.50	13.2%	4.3%	16.8%	9.8%	16.1%	3.7%	3.2%	-353.9K	-3.1M	-44.8K	0.53	15.05	N/A	N/A	288	152	25,772	88,328
2013-02-06	$3.71	$3.50	14.1%	4.1%	16.8%	13.4%	17.0%	4.0%	4.1%	-367.7K	-3.0M	-45.4K	1.59	10.41	N/A	N/A	156	248	25,700	88,456
2013-02-07	$3.71	$3.50	14.6%	4.2%	16.6%	15.4%	15.9%	4.0%	4.4%	-377.3K	-3.0M	-44.7K	0.57	13.78	N/A	N/A	92	52	25,544	88,432
2013-02-08	$3.73	$3.50	14.8%	4.3%	16.6%	16.2%	13.9%	-0.9%	3.1%	-303.5K	-3.9M	-42.4K	0.66	47.12	N/A	N/A	332	220	25,476	88,420
2013-02-11	$3.73	$3.50	14.1%	4.0%	16.6%	13.1%	14.5%	-0.6%	3.3%	-235.4K	-4.3M	-39.4K	9.81	10.13	N/A	N/A	64	628	25,560	88,420
2013-02-12	$3.73	$3.50	15.2%	4.3%	16.5%	17.4%	15.1%	-0.4%	2.4%	-238.8K	-4.2M	-40.6K	2.33	11.07	N/A	N/A	48	112	25,600	88,932
2013-02-13	$3.78	$3.50	14.2%	4.1%	16.6%	13.8%	15.1%	1.9%	3.3%	-108.2K	-6.3M	-23.5K	1.06	15.89	N/A	N/A	384	408	25,628	88,908
2013-02-14	$3.76	$3.50	13.7%	3.9%	16.5%	11.8%	23.2%	0.9%	4.2%	-96.0K	-5.0M	-37.2K	0.00	15.95	N/A	N/A	216	0	25,220	88,976
2013-02-15	$3.75	$3.50	15.4%	4.4%	16.5%	18.4%	15.4%	0.9%	2.1%	-12.2K	-5.4M	-26.0K	0.34	17.14	N/A	N/A	540	184	25,228	88,976
2013-02-19	$3.79	$3.50	13.9%	4.0%	16.6%	12.6%	14.0%	1.9%	3.5%	-150.5K	-5.4M	-32.8K	0.00	15.80	N/A	N/A	268	0	24,304	88,388
2013-02-20	$3.71	$3.50	15.3%	4.4%	18.1%	17.9%	15.2%	-2.7%	2.0%	-295.3K	-4.1M	-37.1K	1.51	16.85	N/A	N/A	552	832	24,392	88,388
2013-02-21	$3.70	$3.50	14.4%	4.1%	14.6%	14.6%	14.3%	-3.7%	2.0%	-352.2K	-3.5M	-39.8K	1.17	18.57	N/A	N/A	96	112	24,668	89,132
2013-02-22	$3.71	$3.50	14.0%	4.0%	14.6%	12.9%	13.9%	-3.2%	3.7%	-337.9K	-3.9M	-37.2K	53.73	17.95	N/A	N/A	60	3,224	24,700	89,136
2013-02-25	$3.64	$3.50	15.4%	4.4%	15.5%	18.5%	13.3%	-8.8%	0.7%	-550.7K	-1.6M	-44.4K	0.87	15.89	N/A	N/A	60	52	24,708	91,900
2013-02-26	$3.67	$3.50	14.2%	4.1%	15.7%	13.6%	14.3%	-4.2%	0.4%	-469.7K	-2.6M	-40.6K	1.20	16.83	N/A	N/A	40	48	24,700	91,864
2013-02-27	$3.71	$3.75	9.9%	2.8%	15.7%	0.0%	10.8%	1.6%	8.1%	-197.7K	-707.8K	-34.0K	2.92	13.86	N/A	N/A	160	468	13,948	91,908
2013-02-28	$3.68	$3.75	12.1%	3.5%	16.0%	8.4%	15.5%	2.9%	8.5%	-492.0K	146.2K	-37.8K	0.64	13.93	N/A	N/A	292	188	14,052	91,836