IBKR Options History — May 2014

In May 2014, IBKR traded between $5.47 and $5.99. ATM implied volatility averaged 23.4%, placing in the 51.1% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded below realized volatility by 11.4% (HV 20d: 34.8%). Max pain ranged from $3.25 to $6.25. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.87.

Notable Days

  • 2014-05-22: Highest Volume — 3,392 contracts
  • 2014-05-15: Largest IV drop — 16.4% change
  • 2014-05-14: Highest IV Rank — 67.4%
  • 2014-05-16: Largest Expected Move — 7.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.73$5.47$5.99$5.96$5.75
Max Pain$5.96$3.25$6.25$5.50$6.25
ATM IV23.4%20.5%27.8%22.8%21.6%
Expected Move7.1%6.4%7.6%6.7%7.3%
HV 20d34.8%20.9%52.4%52.4%25.0%
HV 60d35.3%34.5%36.3%34.6%35.3%
IV Rank51.1%39.7%67.4%49.7%44.0%
IV Percentile50.8%18.3%93.3%48.0%28.6%
Term Structure2.4%-0.9%4.2%-0.5%3.2%
VWIV24.9%23.2%26.2%24.9%24.0%
Skew 25d3.0%-0.4%7.5%0.1%4.0%
Skew 10d6.6%-8.3%16.2%-4.8%15.8%
Call IV 25d21.9%17.4%26.7%25.4%21.2%
Put IV 25d24.9%22.6%27.8%25.4%25.2%
Bid-Ask Spread %70.6841.42110.7041.4261.88
Gamma HHI0.270.230.300.250.28
Net GEX344.5K250.4K416.9K411.6K302.6K
Net DEX-9.8M-16.2M-4.9M-15.5M-6.9M
Net VEX-69.9K-77.4K-65.4K-77.4K-68.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.870.013.960.940.31
Total Volume700.3811843,392380320
Total OI108,325.143102,008112,668111,192103,444

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-05-01$5.96$5.5022.8%6.7%52.4%49.7%0.0%0.1%-0.5%411.6K-15.5M-77.4K0.9441.42N/AN/A19618453,20857,984
2014-05-02$5.99$5.5023.8%7.0%52.2%53.4%24.9%-0.0%-0.9%416.9K-16.2M-74.6K0.0766.85N/AN/A7725253,20058,052
2014-05-05$5.92$3.2525.1%6.6%49.1%58.1%25.2%2.2%2.4%410.5K-15.2M-73.0K0.5064.59N/AN/A20810453,79658,096
2014-05-06$5.82$5.5025.8%6.6%49.5%60.7%0.0%1.8%2.2%396.8K-13.7M-74.8K0.01104.04N/AN/A272453,91658,136
2014-05-07$5.80$5.5024.9%7.2%48.3%57.3%23.2%4.5%1.2%382.6K-12.5M-75.4K1.1261.07N/AN/A20823253,93658,136
2014-05-08$5.67$6.2524.8%6.4%48.5%56.9%0.0%2.4%2.0%363.1K-11.2M-69.4K1.64110.70N/AN/A13221653,97258,260
2014-05-09$5.68$6.2525.2%7.1%43.5%58.3%0.0%1.7%2.3%341.5K-10.4M-72.7K0.6160.43N/AN/A1448853,96458,448
2014-05-12$5.80$6.2524.2%7.4%43.8%54.7%0.0%2.6%2.8%370.9K-12.6M-69.0K1.7590.78N/AN/A8014053,96858,524
2014-05-13$5.80$6.2524.8%7.1%43.8%56.3%0.0%2.0%3.1%373.1K-12.8M-71.2K0.2059.14N/AN/A3807654,03258,544
2014-05-14$5.69$6.2527.8%7.5%44.2%67.4%0.0%1.6%2.8%346.4K-11.6M-70.6K0.2285.42N/AN/A47610454,05258,616
2014-05-15$5.50$6.2523.2%7.4%21.4%50.0%26.0%-0.4%1.1%359.4K-7.7M-66.2K0.3371.18N/AN/A1,04034853,34058,240
2014-05-16$5.47$6.2522.6%7.6%21.4%47.7%26.2%2.7%2.6%349.7K-6.9M-66.6K1.2458.63N/AN/A45256053,66458,352
2014-05-19$5.58$6.2522.3%7.2%22.9%46.5%0.0%5.5%3.9%251.0K-4.9M-65.4K0.7554.55N/AN/A39629645,38056,628
2014-05-20$5.54$6.2522.9%7.1%20.9%48.9%24.0%3.3%3.4%250.4K-5.1M-65.4K0.1971.13N/AN/A2124045,74456,792
2014-05-21$5.67$6.2521.7%7.1%23.2%44.3%0.0%2.7%2.7%307.6K-6.5M-66.9K0.1856.59N/AN/A2043645,85256,816
2014-05-22$5.64$6.2520.5%7.4%22.9%39.7%0.0%5.5%3.7%302.0K-6.3M-66.2K1.0762.52N/AN/A1,6361,75645,85256,800
2014-05-23$5.67$6.2521.4%7.1%22.9%43.2%0.0%7.5%3.0%306.8K-6.5M-69.6K0.1669.04N/AN/A3044847,01258,156
2014-05-27$5.81$6.2522.2%7.1%24.8%46.3%0.0%4.0%2.1%386.7K-8.7M-69.4K2.0648.25N/AN/A7681,58447,21658,204
2014-05-28$5.73$6.2522.3%6.9%25.2%46.5%0.0%1.4%2.8%296.0K-6.9M-66.5K3.9682.95N/AN/A9236443,78059,392
2014-05-29$5.75$6.2521.5%7.3%25.0%43.7%0.0%7.5%4.2%308.7K-7.1M-69.1K0.31103.11N/AN/A1404443,87259,452
2014-05-30$5.75$6.2521.6%7.3%25.0%44.0%0.0%4.0%3.2%302.6K-6.9M-68.7K0.0061.88N/AN/A032043,99659,448