IBKR Options History — August 2013

In August 2013, IBKR traded between $4.11 and $4.37. ATM implied volatility averaged 19.4%, placing in the 40.2% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 5.2% (HV 20d: 14.1%). Max pain ranged from $4.00 to $4.25. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 2.19.

Notable Days

  • 2013-08-20: Highest Volume — 18,880 contracts
  • 2013-08-07: Largest IV drop — 25.3% change
  • 2013-08-22: Highest IV Rank — 48.8%
  • 2013-08-22: Largest Expected Move — 6.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.26$4.11$4.37$4.11$4.20
Max Pain$4.23$4.00$4.25$4.00$4.25
ATM IV19.4%14.8%21.6%21.2%20.5%
Expected Move5.8%5.3%6.2%6.1%5.9%
HV 20d14.1%11.2%17.8%17.8%15.8%
HV 60d23.4%22.7%23.9%23.1%22.7%
IV Rank40.2%22.6%48.8%47.4%44.6%
IV Percentile61.7%24.6%78.2%75.0%67.9%
Term Structure2.2%0.5%3.7%0.8%2.5%
VWIV20.5%14.6%24.8%21.2%20.7%
Skew 25d2.7%-5.1%9.6%-0.7%4.8%
Skew 10d5.3%-3.8%37.1%-0.8%7.0%
Call IV 25d17.3%12.8%21.8%21.5%17.4%
Put IV 25d20.0%13.7%24.8%20.8%22.2%
Bid-Ask Spread %16.338.3650.0914.6312.94
Gamma HHI0.250.200.320.200.22
Net GEX139.7K74.1K208.5K115.6K79.4K
Net DEX-5.9M-7.7M-3.8M-3.8M-3.8M
Net VEX-59.8K-69.5K-53.3K-55.6K-68.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.190.0019.3510.800.09
Total Volume1,483.8184818,88094448
Total OI124,296116,688132,476118,924129,860

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-08-01$4.11$4.0021.2%6.1%17.8%47.4%21.2%-0.7%0.8%115.6K-3.8M-55.6K10.8014.63N/AN/A8086436,34882,576
2013-08-02$4.15$4.0018.4%5.3%16.6%36.4%19.6%1.2%0.5%132.0K-4.4M-56.0K3.5114.51N/AN/A24485636,37683,296
2013-08-05$4.20$4.2517.8%5.8%16.6%34.4%22.2%6.3%2.2%150.4K-5.2M-57.1K0.139.89N/AN/A6288436,51683,900
2013-08-06$4.18$4.2520.8%5.6%16.1%45.8%0.0%0.8%2.4%149.8K-5.1M-57.0K0.0010.22N/AN/A236037,03683,964
2013-08-07$4.18$4.2515.5%5.6%16.1%25.5%19.6%4.4%2.3%152.3K-5.0M-56.6K0.9110.57N/AN/A444037,06083,964
2013-08-08$4.24$4.2518.7%5.7%16.6%37.5%20.2%8.6%1.6%172.9K-5.9M-56.7K0.1012.62N/AN/A1,02410037,06083,964
2013-08-09$4.28$4.2519.2%5.8%17.0%39.6%22.4%1.9%1.8%182.9K-6.7M-55.5K0.0013.98N/AN/A552037,02083,932
2013-08-12$4.30$4.2514.8%5.7%15.0%22.6%21.2%1.6%3.0%194.9K-7.0M-55.3K1.5311.83N/AN/A7161,09237,26083,932
2013-08-13$4.33$4.2515.0%5.7%12.3%23.4%19.2%1.8%2.9%182.4K-7.5M-54.3K0.0815.34N/AN/A104837,20884,992
2013-08-14$4.34$4.2516.3%6.0%12.3%28.4%24.8%3.3%1.9%173.0K-7.7M-54.1K0.0015.73N/AN/A432037,20884,996
2013-08-15$4.29$4.2520.1%5.8%11.3%42.9%20.6%1.6%3.7%208.5K-7.0M-53.8K0.1318.84N/AN/A2483236,66084,760
2013-08-16$4.31$4.2519.6%5.6%11.2%41.2%15.5%8.3%3.3%180.4K-7.3M-53.6K0.0022.09N/AN/A1,188036,71684,712
2013-08-19$4.27$4.2520.2%5.8%11.4%43.4%23.8%6.8%2.3%120.8K-6.1M-53.3K2.7813.73N/AN/A32490034,60082,088
2013-08-20$4.30$4.2521.5%6.2%11.3%48.3%14.6%-5.1%1.0%125.6K-6.4M-53.3K0.9511.48N/AN/A9,6649,21634,50082,944
2013-08-21$4.28$4.2520.8%6.0%11.5%45.7%0.0%8.3%2.4%118.9K-6.0M-69.5K0.0014.25N/AN/A032841,26090,264
2013-08-22$4.30$4.2521.6%6.2%11.6%48.8%16.7%2.6%1.5%123.6K-6.0M-69.4K3.0015.88N/AN/A13640841,26090,592
2013-08-23$4.36$4.2520.6%5.9%11.8%45.1%24.7%-1.0%1.4%123.8K-7.4M-69.3K2.2713.90N/AN/A23653641,37691,000
2013-08-26$4.37$4.2520.9%6.0%11.3%46.2%20.9%-2.6%1.9%123.5K-7.7M-65.4K0.0637.32N/AN/A2801641,28491,192
2013-08-27$4.25$4.2521.0%6.0%15.5%46.6%21.8%-1.9%2.9%106.3K-4.9M-66.0K0.0611.09N/AN/A3122039,56491,208
2013-08-28$4.22$4.2520.7%5.9%15.9%45.3%0.0%-0.7%2.8%74.1K-4.1M-68.9K0.188.36N/AN/A2244038,72891,228
2013-08-29$4.25$4.2520.5%5.9%15.4%44.8%19.9%9.6%3.1%83.0K-4.6M-67.0K19.3550.09N/AN/A681,31638,88091,228
2013-08-30$4.20$4.2520.5%5.9%15.8%44.6%20.7%4.8%2.5%79.4K-3.8M-68.0K0.0912.94N/AN/A44438,85291,008