IBKR Options History — April 2013

In April 2013, IBKR traded between $3.52 and $3.77. ATM implied volatility averaged 18.6%, placing in the 36.0% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded above realized volatility by 5.1% (HV 20d: 13.5%). Max pain ranged from $3.50 to $3.75. Net GEX was positive for 2 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 1.66.

Notable Days

  • 2013-04-15: Highest Volume — 8,768 contracts
  • 2013-04-11: Largest IV drop — 20.1% change
  • 2013-04-09: Highest IV Rank — 55.1%
  • 2013-04-16: Largest Expected Move — 6.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.65$3.52$3.77$3.71$3.77
Max Pain$3.58$3.50$3.75$3.75$3.50
ATM IV18.6%12.7%24.1%18.6%13.0%
Expected Move5.1%3.6%6.2%5.3%3.7%
HV 20d13.5%9.5%17.3%10.8%17.1%
HV 60d14.5%13.9%15.9%14.5%14.1%
IV Rank36.0%14.5%55.1%35.1%15.7%
IV Percentile48.8%5.6%84.1%50.8%6.3%
Term Structure-0.6%-3.6%2.4%-1.3%1.2%
VWIV17.8%12.9%22.1%18.6%13.0%
Skew 25d3.3%-6.7%38.8%-0.8%35.6%
Skew 10d8.1%-4.1%62.7%0.0%62.7%
Call IV 25d16.3%10.1%22.0%16.5%12.4%
Put IV 25d19.7%12.0%51.2%15.7%48.0%
Bid-Ask Spread %12.518.4418.1911.6513.29
Gamma HHI0.230.210.280.260.28
Net GEX-113.2K-219.6K68.1K-130.6K68.1K
Net DEX-26.3K-3.1M2.3M-510.9K-3.1M
Net VEX-41.2K-49.2K-27.3K-32.5K-27.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.660.0013.2413.240.00
Total Volume1,371.636288,768968876
Total OI91,861.09181,324101,20881,32495,908

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-04-01$3.71$3.7518.6%5.3%10.8%35.1%18.6%-0.8%-1.3%-130.6K-510.9K-32.5K13.2411.65N/AN/A6890014,09267,232
2013-04-02$3.68$3.7520.7%5.9%11.1%42.9%20.7%-4.1%-2.6%-153.2K-70.9K-35.4K0.0612.68N/AN/A3,38020014,09667,972
2013-04-03$3.65$3.7521.1%6.1%10.9%44.4%21.1%-6.0%-3.6%-107.6K229.6K-37.3K5.3612.35N/AN/A2561,37215,64867,996
2013-04-04$3.65$3.7520.4%5.8%10.5%41.6%0.0%-6.7%-2.6%-125.3K467.5K-37.8K0.0012.82N/AN/A036415,50468,956
2013-04-05$3.63$3.7522.2%5.1%10.6%48.2%0.0%2.9%-0.7%-140.5K673.2K-39.1K2.018.44N/AN/A1,1402,29615,50469,312
2013-04-08$3.63$3.7523.1%5.4%10.6%51.4%0.0%2.0%-0.9%-146.0K752.9K-41.8K2.6011.04N/AN/A24062416,54471,204
2013-04-09$3.65$3.7524.1%5.4%10.4%55.1%20.1%4.0%-2.1%-137.9K510.7K-40.6K0.1911.99N/AN/A2084016,68471,720
2013-04-10$3.66$3.5023.6%5.2%10.0%53.3%18.1%4.0%-1.8%-125.0K250.4K-40.0K0.1910.96N/AN/A1,25223616,77671,720
2013-04-11$3.66$3.5018.8%5.4%9.5%36.0%20.7%4.9%-2.4%-97.4K135.4K-40.0K0.3813.65N/AN/A843217,96871,900
2013-04-12$3.61$3.5019.8%5.7%10.4%39.5%19.8%0.5%-1.7%-151.7K935.6K-39.6K4.9115.25N/AN/A8843218,04871,928
2013-04-15$3.52$3.5021.3%6.1%13.6%47.2%22.1%-4.9%-2.6%-219.6K2.3M-43.2K0.4414.44N/AN/A6,0882,68018,13672,096
2013-04-16$3.52$3.5021.5%6.2%13.4%48.4%21.1%-4.2%-1.4%-189.8K1.9M-49.2K0.6915.97N/AN/A1,5001,03224,16073,812
2013-04-17$3.60$3.5017.9%5.1%16.1%34.4%17.9%-0.0%0.4%-130.9K480.6K-49.1K0.1318.19N/AN/A1,53219625,44474,724
2013-04-18$3.58$3.5017.9%5.1%15.1%34.4%18.0%0.4%1.8%-170.2K877.1K-48.2K1.7210.89N/AN/A21236426,24074,448
2013-04-19$3.60$3.5017.9%5.1%15.4%34.8%0.0%1.8%0.9%-144.5K271.8K-47.0K0.008.73N/AN/A28026,40074,808
2013-04-22$3.62$3.5017.3%5.0%15.6%32.3%17.3%7.1%0.0%-148.0K648.0K-49.0K0.4414.47N/AN/A56825221,64473,764
2013-04-23$3.68$3.5014.2%4.1%16.7%20.2%12.9%-2.2%0.1%-100.4K-885.7K-44.0K0.2812.66N/AN/A70420021,67673,796
2013-04-24$3.72$3.5015.2%4.3%17.0%24.0%14.2%0.3%0.3%-74.4K-1.1M-47.0K0.109.00N/AN/A80821,80473,852
2013-04-25$3.73$3.5013.0%3.7%17.0%15.6%13.0%38.8%2.4%-54.6K-1.4M-44.9K0.0411.11N/AN/A3801621,81273,844
2013-04-26$3.71$3.5014.8%4.2%17.2%22.4%14.8%0.2%0.5%-63.2K-1.2M-46.0K0.1312.50N/AN/A1882422,01273,852
2013-04-29$3.74$3.5012.7%3.6%17.3%14.5%0.0%-0.1%1.8%52.2K-2.8M-28.0K2.0013.21N/AN/A122422,05273,856
2013-04-30$3.77$3.5013.0%3.7%17.1%15.7%13.0%35.6%1.2%68.1K-3.1M-27.3K0.0013.29N/AN/A872422,05273,856