IBKR Options History — December 2013

In December 2013, IBKR traded between $6.03 and $6.25. ATM implied volatility averaged 25.8%, placing in the 76.8% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 5.6% (HV 20d: 20.2%). Max pain ranged from $5.75 to $6.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 1.28.

Notable Days

  • 2013-12-26: Highest Volume — 12,876 contracts
  • 2013-12-31: Largest IV spike — 12.5% change
  • 2013-12-18: Highest IV Rank — 85.2%
  • 2013-12-18: Largest Expected Move — 7.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.10$6.03$6.25$6.25$6.08
Max Pain$5.80$5.75$6.00$6.00$5.75
ATM IV25.8%23.8%27.6%25.2%27.2%
Expected Move7.5%6.8%7.9%7.2%7.8%
HV 20d20.2%14.5%25.6%22.3%14.5%
HV 60d18.6%17.5%19.0%17.5%18.7%
IV Rank76.8%68.0%85.2%74.3%83.2%
IV Percentile91.6%80.6%97.6%91.7%96.8%
Term Structure-0.1%-1.3%3.6%0.2%-1.0%
VWIV26.2%19.4%29.1%26.1%26.2%
Skew 25d1.1%-0.9%3.6%2.3%2.2%
Skew 10d3.1%-6.0%12.3%12.2%0.7%
Call IV 25d26.6%24.6%29.1%25.0%25.9%
Put IV 25d27.7%24.3%29.5%27.3%28.1%
Bid-Ask Spread %28.2910.9590.0514.8510.95
Gamma HHI0.240.170.460.180.20
Net GEX821.1K383.4K1.6M533.4K924.6K
Net DEX-19.8M-22.6M-17.8M-22.6M-17.9M
Net VEX-94.6K-100.9K-83.1K-92.7K-98.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.280.0310.392.290.30
Total Volume3,678.66732812,8762,576328
Total OI213,109.905191,716232,784204,696200,420

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-12-02$6.25$6.0025.2%7.2%22.3%74.3%26.1%2.3%0.2%533.4K-22.6M-92.7K2.2914.85N/AN/A7841,79266,940137,756
2013-12-03$6.13$6.0026.3%7.5%24.2%79.3%26.2%0.5%0.1%383.4K-20.0M-83.1K0.3236.38N/AN/A2,40076066,968139,336
2013-12-04$6.17$6.0023.9%6.9%24.2%68.4%24.2%3.6%1.8%433.3K-20.1M-94.1K0.8590.05N/AN/A56848467,640139,728
2013-12-05$6.13$6.0023.8%6.8%24.6%68.0%19.4%-0.8%3.6%435.2K-19.9M-94.9K2.1065.25N/AN/A12426068,040139,984
2013-12-06$6.17$5.7524.7%7.5%24.6%71.9%27.8%2.5%-0.5%472.0K-20.6M-93.3K10.3935.52N/AN/A6446,68868,128140,244
2013-12-09$6.09$5.7526.7%7.6%25.3%81.1%27.0%1.2%-0.8%420.3K-18.4M-90.2K0.5024.91N/AN/A7,4483,74068,016145,824
2013-12-10$6.04$5.7524.5%7.7%25.6%71.0%27.0%1.8%-1.3%590.7K-18.2M-92.4K0.0528.21N/AN/A2,45612472,268149,352
2013-12-11$6.03$5.7524.2%7.5%20.4%69.5%29.1%-0.0%-0.4%565.5K-18.0M-92.8K0.2221.06N/AN/A2,62057674,040149,440
2013-12-12$6.05$5.7526.6%7.6%20.4%80.6%25.8%-0.9%-0.7%759.1K-20.6M-90.4K1.8049.59N/AN/A3,0005,40475,580149,532
2013-12-13$6.12$5.7526.4%7.6%20.7%79.8%26.6%0.7%-1.0%916.6K-22.4M-100.9K0.1127.17N/AN/A2,10424077,280149,764
2013-12-16$6.04$5.7526.2%7.5%18.9%78.6%27.7%-0.3%0.0%967.1K-20.0M-91.4K0.7452.08N/AN/A2,6921,98878,508149,968
2013-12-17$6.03$5.7526.6%7.6%17.5%80.6%28.4%-0.6%-0.7%1.1M-19.7M-100.4K0.3313.36N/AN/A1,60453680,024151,468
2013-12-18$6.09$5.7527.6%7.9%17.7%85.2%27.0%2.9%-1.0%1.3M-22.0M-92.4K0.6820.94N/AN/A51635281,344151,440
2013-12-19$6.08$5.7526.6%7.6%17.8%80.8%26.9%-0.1%0.5%1.4M-21.6M-97.9K4.0014.03N/AN/A3241,29679,840149,848
2013-12-20$6.05$5.7526.5%7.6%16.8%80.0%26.4%0.7%-0.2%1.6M-20.6M-97.7K0.2616.28N/AN/A4,2801,10879,980150,660
2013-12-23$6.14$5.7526.9%7.7%17.5%82.0%26.8%2.0%-1.1%858.8K-18.6M-90.9K1.5116.94N/AN/A7201,08870,452121,264
2013-12-24$6.10$5.7525.9%7.4%17.6%77.6%25.9%-0.7%-0.2%837.6K-17.8M-96.8K0.1417.34N/AN/A1,30018470,952121,852
2013-12-26$6.17$5.7525.1%7.2%17.7%73.7%25.5%2.0%0.6%903.0K-19.6M-99.1K0.0315.04N/AN/A12,50037672,036122,036
2013-12-27$6.12$5.7526.1%7.5%17.9%78.5%25.2%1.7%-1.2%909.3K-18.6M-99.3K0.0912.78N/AN/A8927676,112122,196
2013-12-30$6.14$5.7524.1%6.9%17.9%69.4%26.1%3.6%1.1%942.9K-18.8M-97.7K0.0811.41N/AN/A2,66421276,816122,232
2013-12-31$6.08$5.7527.2%7.8%14.5%83.2%26.2%2.2%-1.0%924.6K-17.9M-98.6K0.3010.95N/AN/A2527678,016122,404