IBKR Options History — January 2014

In January 2014, IBKR traded between $5.20 and $6.16. ATM implied volatility averaged 24.0%, placing in the 68.8% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded above realized volatility by 4.1% (HV 20d: 19.9%). 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 15 of 21 days. Put/call ratio averaged 0.60.

Notable Days

  • 2014-01-22: Highest Volume — 11,252 contracts
  • 2014-01-16: Largest IV spike — 32.8% change
  • 2014-01-13: Highest IV Rank — 84.2%
  • 2014-01-13: Largest Expected Move — 8.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.67$5.20$6.16$6.13$5.30
Max Pain$5.86$5.75$6.00$5.75$5.75
ATM IV24.0%19.2%27.4%25.2%24.3%
Expected Move7.3%6.2%8.0%7.2%7.0%
HV 20d19.9%13.2%27.1%13.2%26.6%
HV 60d21.1%18.0%24.3%18.2%23.6%
IV Rank68.8%46.8%84.2%74.4%70.1%
IV Percentile75.6%42.5%97.2%86.5%77.4%
Term Structure0.3%-1.1%1.8%1.3%0.2%
VWIV24.7%17.4%28.6%26.3%23.3%
Skew 25d2.0%-0.4%6.9%4.1%3.5%
Skew 10d3.7%-4.7%16.5%5.1%10.3%
Call IV 25d25.2%16.0%28.5%25.5%21.8%
Put IV 25d27.3%22.3%29.8%29.6%25.2%
Bid-Ask Spread %51.3713.8287.8913.9278.05
Gamma HHI0.200.170.230.210.21
Net GEX519.9K260.9K1.0M994.0K286.4K
Net DEX-7.3M-20.4M-1.1M-19.4M-1.3M
Net VEX-85.4K-93.3K-71.9K-90.9K-83.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.600.052.640.140.05
Total Volume3,989.90548811,2523,2281,520
Total OI183,918.667128,996221,248200,620155,612

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-01-02$6.13$5.7525.2%7.2%13.2%74.4%26.3%4.1%1.3%994.0K-19.4M-90.9K0.1413.92N/AN/A2,84038878,144122,476
2014-01-03$6.16$5.7526.3%7.5%13.2%79.2%26.1%-0.1%-0.8%1.0M-20.4M-91.3K1.1913.82N/AN/A74088478,176122,716
2014-01-06$6.05$6.0026.9%7.7%14.5%82.0%25.7%-0.4%0.6%930.3K-16.9M-87.8K2.6427.34N/AN/A1,1483,03278,324123,552
2014-01-07$6.05$6.0022.7%7.4%14.3%62.9%26.0%2.2%0.0%950.1K-16.1M-93.3K0.7532.00N/AN/A3,9482,95278,704126,296
2014-01-08$5.81$6.0024.7%7.6%19.7%72.0%26.9%1.1%1.0%572.7K-9.0M-91.3K0.1826.44N/AN/A6,7081,22881,148129,064
2014-01-09$5.72$6.0022.4%7.5%20.2%61.5%27.1%2.1%0.7%500.7K-6.4M-89.9K0.3820.13N/AN/A3,3641,26885,668129,128
2014-01-10$5.71$6.0021.8%7.5%20.2%58.6%27.6%0.6%1.5%470.2K-5.9M-87.5K0.0721.25N/AN/A3,50426086,692129,144
2014-01-13$5.71$6.0027.4%8.0%20.0%84.2%28.6%0.5%-0.3%470.5K-5.6M-87.8K0.1225.18N/AN/A1,63219689,620129,328
2014-01-14$5.74$6.0019.2%7.8%19.5%46.8%28.3%2.3%0.3%494.2K-6.7M-88.5K0.7127.64N/AN/A2,8042,00091,004129,472
2014-01-15$5.77$6.0020.6%7.8%19.4%53.3%27.5%2.6%0.3%503.0K-7.3M-87.5K0.3823.54N/AN/A92435290,788129,004
2014-01-16$5.74$5.7527.4%7.9%19.4%84.2%27.4%1.7%-0.3%462.1K-6.4M-85.6K0.6471.17N/AN/A1,26080891,536128,952
2014-01-17$5.69$5.7526.4%7.6%19.0%79.8%25.1%0.8%0.5%460.2K-5.7M-88.6K0.8969.71N/AN/A1,2721,13692,152129,096
2014-01-21$5.65$6.0027.2%7.8%19.0%83.3%27.4%1.4%-1.0%419.6K-6.4M-81.0K0.3661.91N/AN/A2,9841,06065,79663,200
2014-01-22$5.61$5.7521.6%6.2%19.1%57.8%20.5%6.9%-1.1%358.0K-4.1M-75.9K0.2063.52N/AN/A9,3641,88867,77664,224
2014-01-23$5.58$5.7521.6%6.2%17.8%57.9%21.7%1.2%0.5%397.0K-4.3M-80.2K0.0786.05N/AN/A5,88840473,96465,708
2014-01-24$5.50$5.7523.2%6.7%18.1%65.1%17.4%3.3%-0.1%422.1K-4.6M-87.6K0.4679.49N/AN/A3,5481,62879,62865,952
2014-01-27$5.20$5.7523.7%6.8%24.9%67.5%21.9%0.8%1.8%260.9K-1.3M-71.9K0.7183.92N/AN/A1,7041,20482,48067,344
2014-01-28$5.28$5.7523.7%6.8%26.4%67.4%19.9%3.2%0.5%262.6K-1.1M-72.8K0.8587.89N/AN/A2,5842,20483,06067,796
2014-01-29$5.32$5.7524.2%6.9%26.5%69.8%23.7%2.6%0.3%325.3K-2.3M-85.6K0.8582.49N/AN/A1,4441,22885,10069,016
2014-01-30$5.36$5.7523.7%6.8%27.1%67.3%19.8%2.0%1.1%338.3K-2.4M-84.9K0.9783.27N/AN/A24824086,07269,380
2014-01-31$5.30$5.7524.3%7.0%26.6%70.1%23.3%3.5%0.2%286.4K-1.3M-83.2K0.0578.05N/AN/A1,4447686,15269,460