IBKR Options History — June 2013

In June 2013, IBKR traded between $3.89 and $4.15. ATM implied volatility averaged 21.0%, placing in the 46.5% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded below realized volatility by 2.9% (HV 20d: 23.9%). Max pain ranged from $3.75 to $4.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 1.21.

Notable Days

  • 2013-06-07: Highest Volume — 8,336 contracts
  • 2013-06-06: Largest IV spike — 52.9% change
  • 2013-06-20: Highest IV Rank — 70.1%
  • 2013-06-20: Largest Expected Move — 7.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.02$3.89$4.15$3.92$3.99
Max Pain$3.95$3.75$4.00$3.75$4.00
ATM IV21.0%10.0%27.1%14.9%25.5%
Expected Move6.3%2.9%7.8%4.3%7.3%
HV 20d23.9%11.5%32.7%11.5%32.7%
HV 60d20.2%16.2%23.8%16.2%23.8%
IV Rank46.5%4.2%70.1%22.9%63.8%
IV Percentile69.3%2.8%96.8%25.0%94.4%
Term Structure-0.5%-4.2%11.7%4.2%-2.2%
VWIV22.3%14.3%26.9%14.3%19.3%
Skew 25d0.1%-6.7%4.3%-2.3%-6.7%
Skew 10d0.2%-9.3%9.5%-4.0%-3.8%
Call IV 25d21.3%10.4%26.3%15.2%25.8%
Put IV 25d21.4%11.4%28.4%12.9%19.0%
Bid-Ask Spread %13.888.0244.1911.4114.47
Gamma HHI0.360.270.430.400.27
Net GEX136.2K28.9K212.9K54.9K129.8K
Net DEX-3.6M-5.5M-2.3M-2.3M-2.9M
Net VEX-48.0K-60.5K-35.4K-37.8K-60.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.210.006.846.290.73
Total Volume2,290.83408,3362,7121,220
Total OI110,408.898,452125,05298,452105,672

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-06-03$3.92$3.7514.9%4.3%11.5%22.9%14.3%-2.3%4.2%54.9K-2.3M-37.8K6.2911.41N/AN/A3722,34019,38079,072
2013-06-04$3.96$3.7515.3%4.4%11.8%24.5%15.2%-1.1%4.6%69.9K-2.9M-35.4K0.6110.77N/AN/A1,9401,18019,37281,292
2013-06-05$3.89$3.7510.0%2.9%13.2%4.2%0.0%1.0%11.7%28.9K-2.4M-39.9K1.398.02N/AN/A41658020,91282,164
2013-06-06$4.03$3.7515.3%4.4%18.0%24.7%15.4%0.3%5.5%89.1K-3.5M-40.4K0.0011.75N/AN/A1,732421,30082,460
2013-06-07$4.15$4.0018.2%6.1%20.6%35.8%21.3%4.3%-0.9%96.5K-5.0M-38.7K0.528.28N/AN/A5,4682,86822,70482,464
2013-06-10$4.05$4.0014.0%6.7%22.7%19.4%22.9%-5.2%-2.9%152.0K-3.9M-43.9K0.459.25N/AN/A1,47265627,35285,160
2013-06-11$4.01$4.0018.4%6.8%23.0%36.3%22.4%2.4%-2.2%153.3K-3.6M-45.0K0.9011.44N/AN/A30827627,58485,816
2013-06-12$3.94$4.0019.4%6.7%23.8%40.3%23.8%1.9%-2.1%126.8K-2.4M-47.4K6.8415.79N/AN/A3922,68027,82086,052
2013-06-13$3.99$4.0022.7%6.5%24.1%53.2%23.1%1.0%-1.1%158.3K-3.1M-45.2K0.0214.92N/AN/A8242028,01688,580
2013-06-14$3.94$4.0022.6%6.5%24.3%52.6%22.8%-0.1%-1.3%139.4K-2.4M-45.6K0.5514.19N/AN/A22012028,54088,584
2013-06-17$4.07$4.0023.9%6.9%26.7%57.9%24.0%2.3%-2.1%192.1K-4.2M-45.1K0.0416.18N/AN/A3,77214428,62888,704
2013-06-18$4.12$4.0022.6%6.5%27.0%52.6%23.7%0.3%-0.9%199.6K-5.5M-46.7K0.299.34N/AN/A2,51273231,22088,820
2013-06-19$4.11$4.0023.7%6.8%27.0%56.9%22.6%1.2%-2.4%201.4K-5.4M-50.2K0.5710.84N/AN/A1,15665632,42489,356
2013-06-20$4.06$4.0027.1%7.8%27.4%70.1%26.9%3.7%-4.2%212.9K-4.7M-53.8K0.7844.19N/AN/A2,2201,72433,12889,864
2013-06-21$4.07$4.0025.5%7.3%27.1%63.9%25.9%1.9%-2.1%200.3K-4.7M-55.7K0.0813.16N/AN/A7726434,16090,892
2013-06-24$3.96$4.0026.2%7.5%29.2%66.6%26.6%0.6%-2.1%109.7K-2.6M-55.1K0.9616.34N/AN/A70067231,26869,460
2013-06-25$3.98$4.0025.4%7.3%29.2%63.5%25.6%2.3%-3.2%128.6K-2.9M-57.0K3.0814.76N/AN/A6802,09231,91670,092
2013-06-26$4.03$4.0024.9%7.1%29.2%61.6%0.0%-3.4%-2.9%133.0K-3.1M-58.3K0.0113.45N/AN/A628831,88471,908
2013-06-27$4.13$4.0024.5%7.0%30.3%59.8%25.4%-1.6%-2.7%148.1K-4.5M-59.1K0.109.07N/AN/A1,99620032,24871,908
2013-06-28$3.99$4.0025.5%7.3%32.7%63.8%19.3%-6.7%-2.2%129.8K-2.9M-60.5K0.7314.47N/AN/A70451633,57272,100