IBKR Options History — May 2013

In May 2013, IBKR traded between $3.75 and $3.96. ATM implied volatility averaged 13.0%, placing in the 15.6% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded below realized volatility by 7.0% (HV 20d: 20.0%). Max pain ranged from $3.50 to $3.75. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 1.71.

Notable Days

  • 2013-05-02: Highest Volume — 5,316 contracts
  • 2013-05-06: Largest IV spike — 45.7% change
  • 2013-05-17: Highest IV Rank — 28.9%
  • 2013-05-17: Largest Expected Move — 4.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.92$3.75$3.96$3.75$3.94
Max Pain$3.53$3.50$3.75$3.50$3.75
ATM IV13.0%9.4%16.4%13.4%11.7%
Expected Move4.1%2.7%4.7%3.8%3.4%
HV 20d20.0%11.4%23.5%16.9%11.4%
HV 60d16.4%14.1%17.0%14.1%16.2%
IV Rank15.6%1.9%28.9%17.0%10.7%
IV Percentile13.4%1.2%34.9%8.3%6.3%
Term Structure3.7%0.4%10.9%1.0%10.9%
VWIV14.8%8.4%18.8%13.3%8.4%
Skew 25d-0.7%-6.0%7.3%0.9%2.7%
Skew 10d2.0%-3.6%31.7%1.5%-1.5%
Call IV 25d12.6%8.4%15.9%12.7%10.3%
Put IV 25d11.9%9.5%17.0%13.7%13.0%
Bid-Ask Spread %10.797.1016.2313.018.05
Gamma HHI0.460.280.670.280.40
Net GEX155.8K22.3K288.0K68.0K58.1K
Net DEX-4.1M-5.3M-2.2M-3.1M-2.7M
Net VEX-27.4K-37.7K-24.1K-27.3K-35.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.710.0023.600.260.16
Total Volume861.63645,316408236
Total OI98,246.18295,352100,70895,70098,336

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-05-01$3.75$3.5013.4%3.8%16.9%17.0%13.3%0.9%1.0%68.0K-3.1M-27.3K0.2613.01N/AN/A3248421,84073,860
2013-05-02$3.93$3.5014.8%4.3%23.1%22.8%14.9%-2.8%1.2%109.0K-4.7M-25.9K0.1713.27N/AN/A4,53678021,64873,828
2013-05-03$3.92$3.509.4%2.7%23.0%1.9%8.8%1.4%6.8%203.7K-4.8M-27.7K0.2611.33N/AN/A96425224,44474,508
2013-05-06$3.95$3.5013.8%4.5%23.1%18.5%15.5%4.3%1.0%223.1K-4.9M-26.0K0.0014.10N/AN/A168023,41674,408
2013-05-07$3.92$3.509.7%4.4%23.5%2.9%17.2%3.6%1.5%129.0K-3.8M-37.4K1.9911.39N/AN/A29258023,47674,408
2013-05-08$3.93$3.5013.1%4.5%23.5%16.2%15.4%2.0%1.3%198.3K-4.6M-26.1K0.0214.82N/AN/A440823,52474,988
2013-05-09$3.92$3.5010.8%4.4%23.5%7.3%0.0%1.5%2.7%201.9K-4.5M-25.7K0.0016.23N/AN/A400023,60074,996
2013-05-10$3.94$3.509.5%4.3%22.7%2.2%15.0%3.8%1.9%237.6K-4.7M-25.8K0.0014.20N/AN/A72024,00074,996
2013-05-13$3.93$3.5013.0%4.2%19.8%15.5%0.0%-3.9%2.0%218.8K-4.5M-24.8K0.0010.94N/AN/A40024,04474,996
2013-05-14$3.96$3.5012.1%4.3%19.8%12.3%15.5%-2.5%1.9%288.0K-4.8M-24.8K1.678.53N/AN/A244024,07274,996
2013-05-15$3.94$3.5013.0%4.6%18.9%15.7%16.0%-4.7%1.1%245.4K-4.7M-25.1K0.008.78N/AN/A2,452024,06875,036
2013-05-16$3.90$3.5016.1%4.6%19.2%27.7%16.1%-6.0%1.4%163.6K-5.0M-24.6K0.079.84N/AN/A1801225,73274,976
2013-05-17$3.94$3.5016.4%4.7%19.3%28.9%17.4%-4.8%0.4%242.6K-5.3M-24.5K0.008.37N/AN/A56025,67274,980
2013-05-20$3.94$3.5016.3%4.7%19.4%28.3%16.3%-5.1%0.8%121.9K-4.1M-24.1K0.427.37N/AN/A50020820,76074,592
2013-05-21$3.94$3.5015.5%4.5%18.8%25.4%15.5%-4.9%2.2%130.8K-4.2M-24.3K0.0011.44N/AN/A0421,21674,800
2013-05-22$3.93$3.5016.2%4.6%18.7%28.0%16.2%-5.8%2.0%126.3K-4.0M-24.3K5.0910.16N/AN/A6003,05621,21674,800
2013-05-23$3.90$3.5011.1%3.2%19.2%8.3%14.6%1.6%10.2%132.5K-3.8M-24.9K0.717.61N/AN/A20414421,28077,820
2013-05-24$3.90$3.5011.9%3.4%18.9%11.5%9.4%7.3%10.3%128.5K-3.7M-24.4K23.6012.13N/AN/A4094421,36077,956
2013-05-28$3.92$3.5015.9%4.6%18.9%27.0%16.9%-5.8%2.5%145.4K-3.9M-25.7K0.1011.48N/AN/A8808821,40078,896
2013-05-29$3.88$3.7511.7%3.4%19.2%10.7%0.0%1.3%9.8%22.3K-2.2M-37.7K1.147.10N/AN/A14016019,27278,912
2013-05-30$3.88$3.7510.2%2.9%19.2%5.0%18.8%0.5%8.8%32.9K-2.2M-36.8K0.207.26N/AN/A40819,25679,032
2013-05-31$3.94$3.7511.7%3.4%11.4%10.7%8.4%2.7%10.9%58.1K-2.7M-35.4K0.168.05N/AN/A2043219,29679,040