IBKR Options History — April 2014

In April 2014, IBKR traded between $5.29 and $6.08. ATM implied volatility averaged 27.8%, placing in the 71.4% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded below realized volatility by 13.7% (HV 20d: 41.5%). Max pain ranged from $5.00 to $6.25. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 1.20.

Notable Days

  • 2014-04-16: Highest Volume — 14,644 contracts
  • 2014-04-10: Largest IV drop — 19.8% change
  • 2014-04-04: Highest IV Rank — 100.0%
  • 2014-04-14: Largest Expected Move — 8.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.71$5.29$6.08$5.53$5.97
Max Pain$5.49$5.00$6.25$5.50$5.50
ATM IV27.8%22.7%36.3%28.7%23.4%
Expected Move7.6%6.3%8.9%8.2%6.7%
HV 20d41.5%19.1%54.7%19.1%53.3%
HV 60d30.9%24.0%37.1%24.0%34.7%
IV Rank71.4%49.1%100.0%90.0%51.8%
IV Percentile79.1%48.0%100.0%98.4%54.8%
Term Structure-1.2%-5.6%1.1%-1.4%-0.8%
VWIV27.2%21.3%33.3%31.7%23.2%
Skew 25d1.8%-2.7%5.6%0.9%-2.7%
Skew 10d2.6%-7.8%14.3%4.7%-4.8%
Call IV 25d27.4%20.3%32.5%30.7%26.5%
Put IV 25d29.2%23.8%34.0%31.6%23.8%
Bid-Ask Spread %74.1346.41143.9282.8449.69
Gamma HHI0.250.180.330.270.25
Net GEX331.2K125.5K487.0K241.4K407.8K
Net DEX-9.9M-17.1M-2.0M-4.2M-15.5M
Net VEX-73.0K-79.7K-65.5K-65.5K-78.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.200.0112.800.131.82
Total Volume3,423.23819214,644380192
Total OI104,080.57190,400111,22090,400111,220

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-04-01$5.53$5.5028.7%8.2%19.1%90.0%31.7%0.9%-1.4%241.4K-4.2M-65.5K0.1382.84N/AN/A3364438,31652,084
2014-04-02$5.70$5.5027.9%8.0%21.9%86.2%25.5%1.8%-2.9%294.5K-6.6M-68.1K0.4976.65N/AN/A30014838,64052,120
2014-04-03$5.63$5.5030.1%8.6%22.3%96.4%29.7%3.2%-5.6%272.0K-6.3M-69.7K0.1077.10N/AN/A1,58815238,80852,232
2014-04-04$5.38$5.5032.9%7.7%27.7%100.0%30.3%5.3%-1.8%208.6K-3.9M-70.5K3.1177.27N/AN/A2,2647,04840,08052,328
2014-04-07$5.33$5.2536.3%8.3%27.8%100.0%31.5%3.1%-2.0%125.5K-2.0M-69.8K0.5277.24N/AN/A1,58883240,77257,444
2014-04-08$5.51$5.2536.0%7.9%30.7%98.8%33.3%5.6%-0.7%224.4K-4.4M-71.3K0.3376.73N/AN/A6,8282,25641,92857,972
2014-04-09$5.63$5.2536.2%7.8%31.7%99.5%26.2%4.9%-3.0%400.6K-8.6M-77.5K0.9470.38N/AN/A1,3401,26448,02857,060
2014-04-10$5.32$5.2529.0%8.3%37.4%72.8%28.9%-1.5%-1.2%276.0K-4.5M-75.8K0.6676.16N/AN/A43628849,16057,076
2014-04-11$5.30$5.2529.6%8.5%37.2%74.9%29.9%2.0%-1.5%252.4K-3.2M-74.8K12.8078.83N/AN/A6076849,15257,172
2014-04-14$5.29$5.2531.1%8.9%37.0%80.4%30.9%-0.1%-3.5%218.4K-2.8M-72.9K0.3278.67N/AN/A1,77256449,14857,652
2014-04-15$5.39$5.2530.4%8.7%37.7%77.9%30.4%2.6%-3.9%302.2K-4.3M-75.6K0.4375.56N/AN/A5,4842,34050,32457,724
2014-04-16$6.02$0.0024.5%7.7%54.5%55.9%0.0%5.1%-1.7%460.6K-17.1M-72.7K0.32143.92N/AN/A11,0923,55251,53657,408
2014-04-17$5.99$5.2522.7%6.5%54.5%49.1%21.3%4.0%0.7%487.0K-16.0M-74.1K0.0672.07N/AN/A5,60430850,09260,020
2014-04-21$5.95$5.0023.9%6.8%54.4%53.7%24.0%-0.1%0.8%397.8K-14.6M-70.7K0.7573.22N/AN/A70052848,36856,348
2014-04-22$6.08$0.0022.7%8.0%54.7%49.3%23.6%4.0%1.1%399.1K-16.4M-70.1K0.1451.78N/AN/A4,26459648,87256,800
2014-04-23$6.06$6.2523.0%6.3%54.7%50.4%22.3%0.4%0.5%394.7K-16.8M-69.6K0.3371.91N/AN/A2,35678850,02857,308
2014-04-24$5.98$6.2523.3%6.4%53.7%51.7%22.4%-0.3%0.6%393.7K-16.1M-72.8K0.0378.15N/AN/A2,3288051,60857,800
2014-04-25$5.93$6.2524.1%6.5%53.8%54.5%24.8%-0.4%0.5%398.6K-15.0M-79.7K1.5065.79N/AN/A12018053,01657,880
2014-04-28$5.93$5.5024.2%6.7%53.8%54.8%23.2%1.1%0.3%392.1K-15.0M-79.1K0.4956.30N/AN/A21210453,02458,004
2014-04-29$5.92$5.5023.5%6.7%53.5%52.4%0.0%-1.3%0.0%407.6K-15.3M-74.7K0.0146.41N/AN/A1,176853,12058,020
2014-04-30$5.97$5.5023.4%6.7%53.3%51.8%0.0%-2.7%-0.8%407.8K-15.5M-78.2K1.8249.69N/AN/A6812453,20058,020