IBKR Options History — February 2014

In February 2014, IBKR traded between $5.18 and $5.60. ATM implied volatility averaged 23.1%, placing in the 64.6% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded below realized volatility by 2.7% (HV 20d: 25.8%). Max pain ranged from $5.50 to $5.75. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 2.01.

Notable Days

  • 2014-02-25: Highest Volume — 9,240 contracts
  • 2014-02-27: Largest IV drop — 6.4% change
  • 2014-02-03: Highest IV Rank — 73.7%
  • 2014-02-03: Largest Expected Move — 7.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.44$5.18$5.60$5.18$5.56
Max Pain$5.55$5.50$5.75$5.75$5.50
ATM IV23.1%21.1%25.1%25.1%21.5%
Expected Move6.7%6.1%7.2%7.2%6.2%
HV 20d25.8%18.7%28.5%26.8%18.9%
HV 60d22.6%21.2%24.5%24.0%21.2%
IV Rank64.6%55.6%73.7%73.7%57.5%
IV Percentile64.4%45.6%82.9%82.9%48.8%
Term Structure1.9%0.7%3.3%1.0%2.3%
VWIV23.4%21.2%27.0%24.4%21.4%
Skew 25d1.8%-1.4%11.2%1.2%0.8%
Skew 10d3.9%-4.1%15.0%-1.8%-2.8%
Call IV 25d23.7%16.3%26.5%26.2%24.5%
Put IV 25d25.5%23.3%27.5%27.4%25.3%
Bid-Ask Spread %71.3564.7686.2069.2365.47
Gamma HHI0.250.200.320.210.30
Net GEX344.1K119.4K448.0K224.4K419.4K
Net DEX-3.5M-6.2M21.7K21.7K-5.5M
Net VEX-78.4K-88.1K-68.3K-76.9K-77.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.010.0018.000.330.56
Total Volume1,079.579409,2401,092680
Total OI154,216.421146,832157,452156,064147,816

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-02-03$5.18$5.7525.1%7.2%26.8%73.7%24.4%1.2%1.0%224.4K21.7K-76.9K0.3369.23N/AN/A82027286,62869,436
2014-02-04$5.27$5.7524.0%6.9%28.0%68.8%24.0%11.2%2.5%240.3K-254.9K-77.6K0.0886.20N/AN/A2402087,10469,284
2014-02-05$5.27$5.7524.6%7.1%28.0%71.6%24.0%0.4%1.2%295.4K-1.3M-83.0K0.5080.34N/AN/A50024887,28069,280
2014-02-06$5.36$5.7523.4%6.7%26.2%66.0%22.6%4.0%3.3%335.2K-2.4M-88.1K1.2981.69N/AN/A31240487,48469,288
2014-02-07$5.46$5.5022.0%6.8%27.1%59.7%24.3%0.4%1.5%422.6K-3.7M-87.4K1.8572.92N/AN/A5401,00087,67669,312
2014-02-10$5.47$5.5023.0%7.1%27.1%64.1%24.6%0.5%0.7%429.1K-4.1M-86.3K0.1464.76N/AN/A2924087,76069,268
2014-02-11$5.45$5.5022.4%6.6%27.1%61.3%21.2%-0.8%1.7%406.9K-4.0M-84.0K0.4867.32N/AN/A60429287,86468,964
2014-02-12$5.41$5.5023.4%6.7%27.1%66.2%23.3%0.7%1.8%347.4K-3.2M-80.9K2.7872.71N/AN/A27676888,13269,084
2014-02-13$5.50$5.5022.9%6.6%27.7%63.6%23.1%1.8%2.7%370.4K-4.1M-74.0K1.0773.25N/AN/A12012888,22069,176
2014-02-14$5.43$5.5023.3%6.7%27.9%65.6%24.1%2.9%2.1%333.6K-2.8M-81.6K1.5072.37N/AN/A162488,18069,224
2014-02-18$5.43$5.5023.8%6.8%27.8%67.9%23.8%1.5%1.7%325.0K-3.1M-76.8K18.0070.14N/AN/A1628888,18069,240
2014-02-19$5.38$5.5023.6%6.8%27.9%67.0%27.0%-1.2%2.1%351.5K-3.0M-78.6K0.0466.64N/AN/A112488,18469,268
2014-02-20$5.45$5.5023.4%6.7%28.3%66.3%24.4%4.1%0.8%244.0K-2.9M-68.3K0.5572.14N/AN/A44424485,88868,880
2014-02-21$5.49$5.5023.0%6.6%28.4%64.2%24.1%-1.4%1.0%119.4K-3.8M-70.3K2.2770.08N/AN/A32072886,02869,012
2014-02-24$5.57$5.5022.6%6.5%28.5%62.5%22.1%1.0%0.8%427.4K-5.6M-71.0K0.7266.02N/AN/A45632880,70466,128
2014-02-25$5.60$5.5022.7%6.5%18.7%62.6%22.5%4.2%2.8%448.0K-6.2M-72.2K5.7265.46N/AN/A1,3767,86480,95666,292
2014-02-26$5.53$5.5022.6%6.5%19.1%62.2%22.4%2.8%2.6%396.6K-5.3M-77.0K0.2264.88N/AN/A3568081,04866,296
2014-02-27$5.55$5.5021.1%6.1%19.0%55.6%21.4%0.6%2.7%401.4K-5.1M-77.3K0.0074.03N/AN/A300081,31666,232
2014-02-28$5.56$5.5021.5%6.2%18.9%57.5%21.4%0.8%2.3%419.4K-5.5M-77.5K0.5665.47N/AN/A43624481,58466,232