IBKR Options History — October 2013

In October 2013, IBKR traded between $4.73 and $5.22. ATM implied volatility averaged 22.6%, placing in the 57.2% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 7.8% (HV 20d: 14.8%). Max pain ranged from $4.50 to $4.75. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 3 of 23 days. Put/call ratio averaged 0.66.

Notable Days

2013-10-30: Highest Volume — 10,324 contracts
2013-10-07: Largest IV spike — 55.7% change
2013-10-08: Highest IV Rank — 78.7%
2013-10-15: Largest Expected Move — 7.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$4.94	$4.73	$5.22	$4.73	$5.16
Max Pain	$4.72	$4.50	$4.75	$4.50	$4.75
ATM IV	22.6%	18.6%	29.3%	24.3%	18.8%
Expected Move	6.4%	5.3%	7.3%	7.0%	5.4%
HV 20d	14.8%	11.7%	16.5%	11.9%	15.3%
HV 60d	14.8%	14.3%	16.2%	15.1%	14.7%
IV Rank	57.2%	37.4%	78.7%	59.4%	45.2%
IV Percentile	74.9%	53.6%	98.0%	89.3%	53.6%
Term Structure	-0.9%	-3.3%	0.6%	-1.8%	-0.2%
VWIV	21.8%	13.2%	25.5%	24.6%	19.1%
Skew 25d	3.6%	-2.7%	9.2%	9.0%	1.7%
Skew 10d	4.2%	-2.3%	20.7%	7.2%	-2.3%
Call IV 25d	19.1%	12.3%	25.2%	16.9%	18.9%
Put IV 25d	22.7%	14.8%	27.6%	25.9%	20.6%
Bid-Ask Spread %	18.36	7.26	73.99	10.51	68.53
Gamma HHI	0.23	0.18	0.58	0.20	0.18
Net GEX	302.9K	178.5K	851.9K	178.5K	322.2K
Net DEX	-14.8M	-19.3M	-10.5M	-10.5M	-18.8M
Net VEX	-59.6K	-64.2K	-55.4K	-59.3K	-59.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.66	0.01	4.06	0.12	0.10
Total Volume	2,560.174	184	10,324	1,576	1,080
Total OI	147,287.652	137,800	159,672	137,800	159,672

Daily Data (23 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2013-10-01	$4.73	$4.50	24.3%	7.0%	11.9%	59.4%	24.6%	9.0%	-1.8%	178.5K	-10.5M	-59.3K	0.12	10.51	N/A	N/A	1,404	172	39,692	98,108
2013-10-02	$4.79	$4.50	24.1%	6.9%	11.7%	58.3%	24.1%	9.2%	-1.0%	182.1K	-11.6M	-57.4K	0.05	10.29	N/A	N/A	3,672	188	40,332	98,156
2013-10-03	$4.77	$4.50	25.0%	7.2%	12.1%	61.9%	25.0%	3.7%	-2.1%	228.2K	-11.8M	-61.0K	4.06	8.16	N/A	N/A	64	260	43,340	98,208
2013-10-04	$4.88	$4.75	18.6%	6.5%	13.2%	37.4%	23.3%	7.8%	-1.1%	218.5K	-13.3M	-59.2K	0.49	22.48	N/A	N/A	1,020	496	43,400	98,408
2013-10-07	$4.80	$4.75	29.0%	6.9%	15.5%	77.5%	0.0%	5.5%	-0.8%	222.7K	-12.4M	-60.6K	0.02	11.82	N/A	N/A	1,324	20	44,140	98,560
2013-10-08	$4.75	$4.75	29.3%	6.9%	16.4%	78.7%	21.6%	2.7%	-0.6%	234.3K	-11.6M	-63.2K	0.15	13.83	N/A	N/A	1,424	208	45,160	98,564
2013-10-09	$4.78	$4.75	28.5%	7.1%	16.3%	75.4%	24.6%	4.2%	-1.3%	237.4K	-12.1M	-62.1K	2.54	13.21	N/A	N/A	52	132	45,424	98,608
2013-10-10	$4.84	$4.75	24.9%	7.2%	16.5%	61.7%	23.9%	5.6%	-0.5%	231.7K	-12.9M	-60.1K	0.52	21.28	N/A	N/A	1,336	688	45,472	98,732
2013-10-11	$4.86	$4.75	25.3%	7.3%	16.0%	63.1%	24.9%	7.4%	-2.9%	249.8K	-13.7M	-60.1K	0.75	21.27	N/A	N/A	1,932	1,448	46,300	99,260
2013-10-14	$4.89	$4.75	23.8%	6.8%	16.0%	57.3%	24.7%	2.4%	-1.6%	271.1K	-14.1M	-62.4K	0.13	18.37	N/A	N/A	1,468	188	47,980	100,308
2013-10-15	$4.92	$4.75	25.6%	7.3%	15.6%	76.1%	25.5%	1.6%	-3.3%	294.3K	-14.9M	-64.2K	0.12	16.01	N/A	N/A	6,376	752	49,360	100,436
2013-10-16	$4.88	$4.75	22.3%	6.4%	16.2%	60.8%	20.1%	1.6%	-0.2%	401.1K	-14.7M	-63.5K	0.20	14.83	N/A	N/A	2,780	560	53,136	100,872
2013-10-17	$4.91	$4.75	20.4%	5.9%	15.6%	52.5%	20.8%	6.5%	0.2%	447.5K	-14.7M	-61.4K	2.33	8.32	N/A	N/A	908	2,112	52,096	101,196
2013-10-18	$4.97	$4.75	21.0%	6.0%	15.0%	55.1%	22.5%	0.7%	-1.3%	851.9K	-16.2M	-59.0K	0.11	10.02	N/A	N/A	1,364	148	51,992	100,172
2013-10-21	$5.01	$4.75	20.5%	5.9%	14.8%	52.8%	20.5%	1.3%	-0.4%	301.1K	-15.9M	-58.1K	0.01	9.38	N/A	N/A	1,712	12	48,372	100,600
2013-10-22	$5.00	$4.75	20.3%	5.8%	14.8%	51.8%	20.5%	3.2%	-0.8%	310.0K	-15.8M	-60.1K	0.20	13.52	N/A	N/A	1,196	244	48,744	98,760
2013-10-23	$5.03	$4.75	20.5%	5.9%	14.5%	52.8%	20.6%	1.8%	-0.7%	309.0K	-16.5M	-58.6K	0.84	13.98	N/A	N/A	704	592	49,100	98,960
2013-10-24	$5.03	$4.75	20.4%	5.8%	14.3%	52.2%	20.2%	2.5%	-0.6%	309.3K	-16.6M	-56.9K	0.01	7.26	N/A	N/A	2,008	24	49,400	99,176
2013-10-25	$5.05	$4.75	18.6%	5.3%	14.3%	44.1%	13.2%	-2.7%	0.6%	303.4K	-16.9M	-57.3K	0.09	10.74	N/A	N/A	1,380	128	49,580	99,176
2013-10-28	$5.13	$4.75	19.2%	5.5%	14.9%	46.8%	18.3%	1.6%	-0.4%	298.7K	-18.0M	-55.7K	0.39	10.88	N/A	N/A	2,864	1,120	49,996	99,160
2013-10-29	$5.18	$4.75	19.4%	5.6%	15.0%	47.9%	19.8%	3.8%	-0.4%	286.3K	-18.6M	-55.4K	0.02	13.58	N/A	N/A	2,936	64	50,344	99,020
2013-10-30	$5.22	$4.75	19.2%	5.5%	14.7%	46.9%	0.0%	1.4%	0.2%	277.5K	-19.3M	-56.3K	2.03	73.99	N/A	N/A	3,408	6,916	51,124	99,020
2013-10-31	$5.16	$4.75	18.8%	5.4%	15.3%	45.2%	19.1%	1.7%	-0.2%	322.2K	-18.8M	-59.5K	0.10	68.53	N/A	N/A	984	96	53,736	105,936