IBKR Options History — July 2013

In July 2013, IBKR traded between $4.04 and $4.21. ATM implied volatility averaged 24.2%, placing in the 58.7% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded below realized volatility by 3.9% (HV 20d: 28.1%). Max pain ranged from $4.00 to $4.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 1.54.

Notable Days

  • 2013-07-18: Highest Volume — 9,296 contracts
  • 2013-07-11: Largest IV drop — 26.6% change
  • 2013-07-10: Highest IV Rank — 84.5%
  • 2013-07-02: Largest Expected Move — 8.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.12$4.04$4.21$4.13$4.05
Max Pain$4.00$4.00$4.00$4.00$4.00
ATM IV24.2%20.1%30.8%26.4%20.8%
Expected Move6.7%5.8%8.0%7.6%6.0%
HV 20d28.1%17.1%34.8%34.7%17.1%
HV 60d24.5%23.1%25.2%24.6%23.1%
IV Rank58.7%42.9%84.5%67.3%45.7%
IV Percentile86.1%69.4%98.4%96.0%72.2%
Term Structure-0.5%-3.8%1.1%-3.8%-0.0%
VWIV23.3%15.3%28.2%26.3%20.8%
Skew 25d1.0%-3.2%8.1%2.3%3.2%
Skew 10d0.6%-7.5%12.1%2.2%1.0%
Call IV 25d21.6%14.7%27.4%23.4%14.9%
Put IV 25d22.6%18.1%28.6%25.7%18.1%
Bid-Ask Spread %12.887.2037.5110.828.60
Gamma HHI0.250.170.410.270.19
Net GEX150.2K32.7K310.1K160.4K92.6K
Net DEX-4.5M-7.0M-2.3M-4.6M-3.0M
Net VEX-57.6K-64.4K-49.3K-59.3K-56.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.540.0311.531.630.55
Total Volume1,952.5451009,2962,544260
Total OI112,308.909105,864119,344105,864118,880

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-07-01$4.13$4.0026.4%7.6%34.7%67.3%26.3%2.3%-3.8%160.4K-4.6M-59.3K1.6310.82N/AN/A9681,57633,58872,276
2013-07-02$4.08$4.0027.9%8.0%34.8%73.3%27.5%-1.3%-3.4%154.7K-4.0M-60.9K0.7812.60N/AN/A41232034,10073,096
2013-07-03$4.11$4.0026.1%7.5%34.0%66.1%28.2%-3.2%-1.0%159.8K-4.2M-61.6K0.0811.42N/AN/A6165234,43673,416
2013-07-05$4.19$4.0026.4%6.5%32.7%67.1%0.0%0.3%-0.1%173.7K-5.4M-61.0K0.2610.41N/AN/A59615234,32073,468
2013-07-08$4.14$4.0029.4%7.0%31.2%78.9%24.6%-2.0%-0.9%172.3K-4.9M-61.0K0.0310.35N/AN/A1,5884434,74073,520
2013-07-09$4.19$4.0027.2%6.6%30.1%70.3%27.4%4.2%-0.0%183.2K-5.5M-59.6K5.6714.10N/AN/A2921,65634,51673,556
2013-07-10$4.17$4.0030.8%6.9%29.9%84.5%24.9%8.1%-0.6%163.1K-5.3M-60.1K0.058.98N/AN/A7444034,67275,172
2013-07-11$4.17$4.0022.6%6.5%29.0%52.8%23.4%1.4%0.7%225.6K-6.0M-50.7K0.0713.34N/AN/A7324834,84475,200
2013-07-12$4.19$4.0022.9%6.6%28.8%54.0%25.4%2.1%0.8%238.5K-6.2M-50.8K0.4013.91N/AN/A70028035,40475,248
2013-07-15$4.10$4.0027.0%7.7%29.4%69.7%27.1%1.7%-2.6%178.8K-4.3M-58.8K0.5517.27N/AN/A2,2601,23635,41675,528
2013-07-16$4.21$4.0025.2%7.2%28.6%62.7%24.7%3.3%-1.6%234.2K-6.5M-50.2K0.2814.44N/AN/A2,89682035,59276,432
2013-07-17$4.21$4.0020.1%5.8%28.3%42.9%20.6%1.1%1.1%310.1K-7.0M-49.3K0.1512.80N/AN/A3,73656836,94876,756
2013-07-18$4.14$4.0022.3%6.4%28.9%51.6%22.6%-0.6%-0.9%132.0K-4.9M-56.8K0.3511.39N/AN/A6,8762,42035,84076,756
2013-07-19$4.13$4.0022.1%6.3%28.6%50.9%21.7%0.8%-0.7%151.9K-5.4M-55.9K0.2837.51N/AN/A95627240,48078,864
2013-07-22$4.11$4.0023.4%6.7%28.7%55.9%21.1%2.3%-1.0%69.9K-3.5M-62.8K0.1810.75N/AN/A4728434,70077,764
2013-07-23$4.09$4.0022.7%6.5%26.7%52.9%22.1%0.3%-0.2%120.8K-3.9M-54.8K1.948.81N/AN/A9441,83235,06877,800
2013-07-24$4.08$4.0022.0%6.3%26.7%50.5%21.0%-1.8%0.5%45.8K-3.0M-64.4K0.589.93N/AN/A1,01659235,49679,304
2013-07-25$4.08$4.0021.4%6.1%26.4%47.9%20.3%0.5%0.6%106.4K-3.6M-57.0K0.0715.10N/AN/A4162835,93679,688
2013-07-26$4.07$4.0021.2%6.1%24.8%47.2%0.0%-2.5%0.5%106.5K-3.4M-56.0K11.5312.19N/AN/A1361,56836,16879,684
2013-07-29$4.04$4.0021.7%6.2%21.4%49.3%20.7%-2.9%0.7%32.7K-2.3M-63.1K8.4711.34N/AN/A2802,37236,24881,060
2013-07-30$4.05$4.0022.1%6.3%17.5%50.6%15.3%5.3%-0.1%90.8K-2.9M-56.5K0.047.20N/AN/A96436,22882,588
2013-07-31$4.05$4.0020.8%6.0%17.1%45.7%20.8%3.2%-0.0%92.6K-3.0M-56.2K0.558.60N/AN/A1689236,29682,584