IBKR Options History — November 2013

In November 2013, IBKR traded between $5.30 and $6.09. ATM implied volatility averaged 22.2%, placing in the 60.5% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 3.6% (HV 20d: 18.5%). Max pain ranged from $4.00 to $6.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.46.

Notable Days

  • 2013-11-25: Highest Volume — 35,316 contracts
  • 2013-11-12: Largest IV spike — 40.8% change
  • 2013-11-25: Highest IV Rank — 77.5%
  • 2013-11-25: Largest Expected Move — 7.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.79$5.30$6.09$5.30$6.06
Max Pain$5.03$4.00$6.00$4.75$6.00
ATM IV22.2%16.7%25.9%19.0%24.5%
Expected Move6.5%5.5%7.4%5.5%7.0%
HV 20d18.5%12.9%22.7%16.1%22.0%
HV 60d16.7%15.2%18.4%15.4%17.0%
IV Rank60.5%35.3%77.5%46.0%71.1%
IV Percentile75.0%37.3%94.8%54.4%89.3%
Term Structure1.5%0.1%3.3%1.2%1.5%
VWIV23.6%17.3%26.5%17.3%23.8%
Skew 25d2.9%-1.6%8.1%7.3%5.5%
Skew 10d5.2%-6.1%13.7%8.1%4.4%
Call IV 25d21.4%15.0%25.6%15.0%21.4%
Put IV 25d24.3%18.9%26.9%22.3%26.9%
Bid-Ask Spread %32.026.4670.6770.678.44
Gamma HHI0.210.140.460.170.17
Net GEX327.2K156.3K671.3K298.6K391.8K
Net DEX-26.2M-35.5M-16.6M-21.0M-17.7M
Net VEX-72.7K-98.0K-48.2K-57.3K-97.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.460.023.580.040.35
Total Volume9,505.223235,3164,948232
Total OI190,271160,192224,176160,192204,664

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-11-01$5.30$4.7519.0%5.5%16.1%46.0%17.3%7.3%1.2%298.6K-21.0M-57.3K0.0470.67N/AN/A4,74820054,176106,016
2013-11-04$5.36$4.0021.2%6.0%14.1%55.8%21.2%4.9%1.7%317.7K-22.1M-57.4K0.3562.16N/AN/A2,36483655,600106,100
2013-11-05$5.39$4.0019.7%5.7%13.0%49.1%20.1%2.6%1.3%327.5K-22.6M-59.1K0.1462.80N/AN/A94412856,716106,888
2013-11-06$5.44$4.0018.0%5.8%13.0%41.4%22.0%1.4%1.9%333.7K-23.9M-50.5K0.2560.33N/AN/A1,11628057,072107,008
2013-11-07$5.46$4.0019.0%5.8%12.9%46.0%20.6%-1.6%1.9%327.6K-24.0M-48.2K0.1061.40N/AN/A1,15211256,976107,288
2013-11-08$5.53$4.0020.8%5.9%13.1%54.3%20.9%1.8%1.9%305.5K-24.5M-57.9K0.3047.02N/AN/A2,65680057,652107,336
2013-11-11$5.60$4.2518.0%6.2%13.2%41.2%21.9%5.2%1.6%275.6K-25.5M-56.4K0.7252.43N/AN/A6,7284,81658,176108,112
2013-11-12$5.86$4.2525.3%6.6%18.9%74.7%25.2%8.1%2.7%249.1K-28.9M-54.4K0.5834.45N/AN/A22,18412,91261,768112,528
2013-11-13$5.85$5.2516.7%6.6%18.2%35.3%24.4%7.0%3.0%196.2K-28.7M-73.8K0.0245.50N/AN/A2,8045674,344124,600
2013-11-14$5.84$5.5022.6%6.5%18.6%62.6%24.7%1.1%3.3%156.3K-27.7M-72.0K0.0540.30N/AN/A4,63223273,164124,364
2013-11-15$6.00$5.5022.8%6.5%19.8%63.2%23.6%1.9%2.3%671.3K-31.3M-70.0K0.3625.54N/AN/A6,3322,25273,800124,524
2013-11-18$5.89$5.5024.8%7.1%22.2%72.3%26.5%1.8%0.7%197.2K-27.6M-75.6K3.5810.35N/AN/A7,48026,76873,840124,724
2013-11-19$5.92$5.5023.2%6.7%22.0%65.3%25.5%1.5%0.5%262.5K-29.1M-78.4K0.839.10N/AN/A6,8125,63679,380128,080
2013-11-20$5.94$5.5024.3%7.0%22.1%70.2%26.1%1.5%0.3%314.7K-30.6M-84.6K0.226.85N/AN/A5,6041,24483,724129,652
2013-11-21$6.04$5.5024.9%7.1%22.0%73.0%26.1%1.5%0.1%425.4K-34.3M-88.0K0.509.62N/AN/A7,9564,01686,772130,260
2013-11-22$6.05$5.5025.3%7.3%22.1%74.8%26.2%1.8%0.5%373.1K-34.1M-91.8K0.137.94N/AN/A2,00425289,132133,364
2013-11-25$6.09$5.5025.9%7.4%21.9%77.5%26.0%1.1%0.4%416.4K-35.5M-89.8K0.128.64N/AN/A31,3963,92090,716133,460
2013-11-26$6.04$6.0024.5%7.0%22.7%71.0%25.1%1.8%1.6%309.2K-16.6M-94.2K0.106.46N/AN/A6,61268861,936137,192
2013-11-27$6.08$6.0023.3%6.7%22.7%65.6%25.7%1.0%2.1%394.3K-18.0M-98.0K0.3610.35N/AN/A88032066,736137,580
2013-11-29$6.06$6.0024.5%7.0%22.0%71.1%23.8%5.5%1.5%391.8K-17.7M-97.2K0.358.44N/AN/A1726066,968137,696