IBKR Options History — March 2014

In March 2014, IBKR traded between $5.25 and $5.65. ATM implied volatility averaged 24.6%, placing in the 71.0% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded above realized volatility by 3.6% (HV 20d: 21.0%). Max pain ranged from $5.50 to $5.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 1.10.

Notable Days

  • 2014-03-03: Highest Volume — 2,416 contracts
  • 2014-03-13: Largest IV spike — 34.5% change
  • 2014-03-26: Highest IV Rank — 81.8%
  • 2014-03-26: Largest Expected Move — 7.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.49$5.25$5.65$5.44$5.42
Max Pain$5.50$5.50$5.50$5.50$5.50
ATM IV24.6%19.2%27.0%23.3%26.8%
Expected Move7.3%6.4%7.7%6.7%7.7%
HV 20d21.0%19.8%22.5%20.2%22.5%
HV 60d22.7%21.3%23.6%21.3%23.6%
IV Rank71.0%45.6%81.8%65.7%81.0%
IV Percentile75.5%27.8%94.4%66.3%92.9%
Term Structure-0.1%-2.3%3.9%1.7%-0.9%
VWIV24.7%19.7%27.2%22.6%25.8%
Skew 25d1.7%-3.2%6.0%-3.2%4.8%
Skew 10d5.3%-5.4%17.4%1.2%8.3%
Call IV 25d25.4%18.7%28.5%25.0%25.5%
Put IV 25d27.1%21.8%30.5%21.8%30.3%
Bid-Ask Spread %77.6763.3287.8663.3279.72
Gamma HHI0.280.220.330.310.27
Net GEX286.9K135.6K532.1K345.9K199.6K
Net DEX-4.6M-7.0M-2.0M-4.4M-3.1M
Net VEX-70.1K-78.0K-61.5K-67.7K-63.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.100.008.598.590.13
Total Volume854.8571042,4162,416416
Total OI134,030.47688,172154,344148,12489,744

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-03-03$5.44$5.5023.3%6.7%20.2%65.7%22.6%-3.2%1.7%345.9K-4.4M-67.7K8.5963.32N/AN/A2522,16481,79666,328
2014-03-04$5.65$5.5024.2%6.9%22.0%69.7%23.1%6.0%1.4%532.1K-7.0M-75.1K1.1864.44N/AN/A61672881,89668,444
2014-03-05$5.61$5.5022.4%6.4%21.9%61.6%22.7%3.3%3.9%451.1K-6.3M-73.0K0.4566.24N/AN/A44020081,80068,568
2014-03-06$5.62$5.5023.6%6.8%21.8%66.1%20.0%-0.1%3.0%473.9K-6.7M-78.0K0.2171.30N/AN/A1563282,03668,368
2014-03-07$5.62$5.5022.7%7.3%21.2%62.0%25.6%0.2%-0.4%455.0K-6.5M-77.4K0.0478.16N/AN/A2681282,06468,360
2014-03-10$5.63$5.5021.5%7.7%20.3%56.4%26.8%1.2%-1.1%427.6K-6.3M-75.3K1.2969.19N/AN/A12416082,19668,360
2014-03-11$5.61$5.5022.4%7.2%20.3%60.7%24.8%0.7%0.8%410.9K-6.3M-73.1K1.4274.81N/AN/A8441,20082,32068,416
2014-03-12$5.61$5.5019.2%7.3%20.2%45.6%0.0%0.0%0.2%391.6K-6.3M-69.8K0.0076.92N/AN/A104083,09269,616
2014-03-13$5.53$5.5025.8%7.4%20.9%76.6%25.4%-0.9%-1.0%335.0K-5.2M-70.5K2.2677.75N/AN/A40491283,12869,152
2014-03-14$5.45$5.5025.8%7.4%20.7%76.5%26.3%0.2%-0.6%256.2K-4.1M-70.7K2.7781.29N/AN/A4761,32083,26869,832
2014-03-17$5.50$5.5025.6%7.3%20.5%75.4%25.8%2.6%0.2%242.5K-4.5M-70.8K0.4779.52N/AN/A1446883,49670,708
2014-03-18$5.48$5.5025.9%7.4%20.6%77.1%25.3%0.3%-1.3%163.5K-4.1M-71.1K0.3378.26N/AN/A56818883,62470,448
2014-03-19$5.43$5.5025.7%7.4%20.5%76.0%26.1%-0.0%-0.8%191.7K-3.4M-69.9K0.4082.38N/AN/A98840083,82070,524
2014-03-20$5.50$5.5024.8%7.1%20.5%71.9%26.1%2.8%-0.4%149.5K-4.4M-66.1K0.6380.03N/AN/A42426883,68870,416
2014-03-21$5.44$5.5025.1%7.2%20.8%73.3%26.0%0.1%-1.0%153.5K-3.7M-69.3K0.1882.14N/AN/A1,10820483,82870,084
2014-03-24$5.44$5.5026.0%7.4%20.0%77.3%24.9%5.1%-0.9%191.5K-3.8M-68.5K0.5782.02N/AN/A52029636,84451,328
2014-03-25$5.43$5.5025.4%7.3%19.8%74.4%25.8%2.1%-0.2%197.0K-4.1M-69.1K0.7982.93N/AN/A41232437,23251,424
2014-03-26$5.28$5.5027.0%7.7%21.8%81.8%27.2%1.9%-1.4%151.0K-2.9M-65.8K0.6085.77N/AN/A29217637,48051,700
2014-03-27$5.25$5.5026.5%7.6%21.7%79.6%24.7%3.8%-0.6%135.6K-2.0M-66.3K0.0586.96N/AN/A2961637,69651,868
2014-03-28$5.30$5.5026.9%7.7%22.2%81.8%19.7%5.3%-2.3%169.4K-2.3M-61.5K0.6987.86N/AN/A25617637,78051,868
2014-03-31$5.42$5.5026.8%7.7%22.5%81.0%25.8%4.8%-0.9%199.6K-3.1M-63.5K0.1379.72N/AN/A3684837,78051,964