IBKR Options History — March 2013

In March 2013, IBKR traded between $3.65 and $3.73. ATM implied volatility averaged 14.5%, placing in the 20.2% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded above realized volatility by 0.8% (HV 20d: 13.7%). Max pain ranged from $3.75 to $3.75. Net GEX was positive for 2 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 7.53.

Notable Days

  • 2013-03-13: Highest Volume — 21,976 contracts
  • 2013-03-13: Largest IV spike — 54.6% change
  • 2013-03-21: Highest IV Rank — 33.2%
  • 2013-03-21: Largest Expected Move — 5.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.71$3.65$3.73$3.65$3.73
Max Pain$3.75$3.75$3.75$3.75$3.75
ATM IV14.5%8.9%18.1%9.2%16.4%
Expected Move4.8%2.6%5.2%2.6%4.7%
HV 20d13.7%10.9%15.8%15.8%10.9%
HV 60d18.4%14.7%21.3%21.3%14.7%
IV Rank20.2%0.0%33.2%0.0%27.3%
IV Percentile22.8%0.0%44.0%0.0%29.0%
Term Structure1.1%-0.5%8.6%8.6%1.4%
VWIV16.4%10.9%18.1%10.9%16.4%
Skew 25d0.8%-2.8%6.4%4.6%0.6%
Skew 10d2.3%-1.3%7.7%3.1%1.5%
Call IV 25d13.5%8.3%15.4%8.3%14.2%
Put IV 25d14.3%11.8%19.9%12.9%14.8%
Bid-Ask Spread %10.117.5217.8317.8311.92
Gamma HHI0.290.240.500.500.24
Net GEX-99.6K-411.8K74.8K-411.8K-110.2K
Net DEX-743.6K-1.3M-76.3K-76.3K-469.8K
Net VEX-33.4K-36.5K-29.9K-36.5K-36.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio7.530.0633.882.120.06
Total Volume1,933.66821,976424136
Total OI96,28872,136129,528106,12881,212

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-03-01$3.65$3.759.2%2.6%15.8%0.0%10.9%4.6%8.6%-411.8K-76.3K-36.5K2.1217.83N/AN/A13628814,28091,848
2013-03-04$3.67$3.7511.2%4.7%14.0%7.1%17.5%5.1%1.9%-315.9K-348.8K-34.5K0.0611.70N/AN/A8604814,41691,816
2013-03-05$3.70$3.758.9%5.0%14.4%0.0%17.4%6.4%1.1%-92.0K-981.6K-33.6K5.5410.78N/AN/A2001,10815,25691,856
2013-03-06$3.73$3.7511.2%4.7%14.0%8.0%0.0%5.6%0.4%-150.0K-1.1M-33.9K0.2013.04N/AN/A1,09622415,37692,720
2013-03-07$3.71$3.759.4%4.8%14.1%1.6%0.0%0.2%1.3%-56.1K-1.0M-31.4K0.898.54N/AN/A363214,97692,812
2013-03-08$3.71$3.7512.1%4.6%14.1%11.4%16.1%-1.1%1.5%-93.3K-1.1M-30.7K1.417.83N/AN/A689614,99292,816
2013-03-11$3.73$3.7513.2%4.7%14.2%15.4%0.0%1.1%1.6%-45.2K-1.3M-31.2K1.098.26N/AN/A889615,04492,836
2013-03-12$3.70$3.7510.1%4.7%14.6%4.1%12.0%-0.5%1.3%-48.9K-963.2K-29.9K19.009.18N/AN/A47615,10892,920
2013-03-13$3.73$3.7515.6%5.2%14.9%24.1%0.0%0.2%0.3%-52.9K-831.9K-34.4K29.198.93N/AN/A72821,24815,11292,872
2013-03-14$3.73$3.7517.0%4.9%14.2%29.4%17.0%-0.2%1.2%45.8K-1.2M-31.0K0.348.91N/AN/A44415215,400113,672
2013-03-15$3.73$3.7516.4%4.7%14.0%27.1%16.4%-1.3%1.0%74.8K-1.1M-32.1K1.717.91N/AN/A33657615,788113,740
2013-03-18$3.69$3.7517.3%4.9%14.5%30.3%17.3%-2.8%-0.3%-64.0K-604.5K-32.5K6.259.77N/AN/A3220013,34458,792
2013-03-19$3.68$3.7517.5%5.0%14.1%31.1%17.5%-1.3%-0.5%-62.0K-688.4K-31.7K33.108.43N/AN/A1565,16413,36458,992
2013-03-20$3.73$3.7517.0%4.9%13.7%29.4%17.0%0.5%0.8%-77.8K-454.4K-36.1K3.088.33N/AN/A4814813,52063,708
2013-03-21$3.73$3.7518.1%5.2%13.6%33.2%18.1%1.9%-0.3%-67.1K-1.1M-32.0K4.7410.59N/AN/A16879613,54063,856
2013-03-22$3.72$3.7516.8%4.8%13.6%28.7%16.8%-0.1%0.3%-90.6K-535.0K-34.8K33.889.84N/AN/A642,16813,66464,540
2013-03-25$3.69$3.7518.0%5.2%11.9%32.9%0.0%-1.5%0.1%-127.5K-200.6K-36.0K3.259.85N/AN/A8026013,63666,616
2013-03-26$3.71$3.7517.4%5.0%11.7%30.9%17.4%-1.7%0.6%-127.8K-220.6K-35.1K4.397.52N/AN/A9240413,64866,796
2013-03-27$3.72$3.7517.5%5.0%11.2%31.2%17.5%-0.4%0.1%-118.3K-536.3K-33.8K0.2112.98N/AN/A67214413,67667,200
2013-03-28$3.73$3.7516.4%4.7%10.9%27.3%16.4%0.6%1.4%-110.2K-469.8K-36.2K0.0611.92N/AN/A128813,98867,224