IBKR Options History — June 2014

In June 2014, IBKR traded between $5.66 and $6.00. ATM implied volatility averaged 25.9%, placing in the 56.6% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 2.3% (HV 20d: 23.6%). Max pain ranged from $5.50 to $6.25. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 1.24.

Notable Days

  • 2014-06-17: Highest Volume — 7,668 contracts
  • 2014-06-10: Largest IV spike — 12.8% change
  • 2014-06-30: Highest IV Rank — 72.2%
  • 2014-06-05: Largest Expected Move — 9.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.81$5.66$6.00$5.66$5.82
Max Pain$5.71$5.50$6.25$6.25$5.50
ATM IV25.9%20.5%29.8%22.3%29.8%
Expected Move7.5%6.6%9.7%7.1%7.1%
HV 20d23.6%20.3%26.0%25.4%21.8%
HV 60d35.9%35.4%36.7%35.5%35.4%
IV Rank56.6%32.2%72.2%46.5%72.2%
IV Percentile69.9%13.9%96.8%34.1%96.8%
Term Structure-0.9%-3.8%4.4%3.1%-3.8%
VWIV25.3%23.3%33.5%24.1%25.9%
Skew 25d3.2%-0.3%9.1%9.0%3.1%
Skew 10d6.8%-6.3%19.5%11.8%0.4%
Call IV 25d25.9%15.8%29.6%18.7%28.6%
Put IV 25d29.0%24.9%32.2%27.7%31.7%
Bid-Ask Spread %64.7549.53111.8187.7662.97
Gamma HHI0.290.240.380.240.27
Net GEX335.1K216.9K498.4K216.9K319.6K
Net DEX-7.4M-10.4M-4.9M-4.9M-6.5M
Net VEX-64.2K-70.0K-60.3K-69.5K-60.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.240.029.850.469.85
Total Volume1,336927,6686242,864
Total OI99,307.04882,880111,532103,48483,380

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-06-02$5.66$6.2522.3%7.1%25.4%46.5%0.0%9.0%3.1%216.9K-4.9M-69.5K0.4687.76N/AN/A42819643,99659,488
2014-06-03$5.74$6.2522.0%7.1%25.8%45.6%24.1%9.1%3.6%288.5K-6.3M-66.1K1.0960.49N/AN/A22424443,85659,616
2014-06-04$5.83$6.2522.2%7.3%25.8%46.1%0.0%4.6%4.4%352.8K-7.6M-67.1K0.0257.30N/AN/A1,3523243,98459,812
2014-06-05$5.77$6.2522.6%9.7%26.0%47.8%33.5%4.9%3.5%276.2K-7.0M-67.5K0.41111.81N/AN/A54022043,25259,812
2014-06-06$5.84$6.2522.5%7.3%25.0%40.7%25.6%3.6%-0.5%332.4K-7.9M-65.8K0.7158.90N/AN/A29220843,22859,976
2014-06-09$5.91$5.5020.5%6.7%25.2%32.2%23.3%5.3%-0.7%386.3K-9.2M-60.8K0.8159.60N/AN/A20816843,31260,008
2014-06-10$5.86$6.2523.1%7.2%24.4%43.5%26.3%3.5%-1.1%359.5K-8.6M-61.5K2.2156.80N/AN/A15233643,42860,144
2014-06-11$5.75$5.5023.0%8.1%25.3%42.9%24.3%2.2%-1.0%286.5K-6.8M-64.4K3.7366.09N/AN/A3761,40443,45660,412
2014-06-12$5.75$5.5025.2%7.1%24.3%52.6%0.0%1.0%0.0%266.3K-6.2M-64.8K1.8960.17N/AN/A366843,78061,800
2014-06-13$5.77$5.5026.8%9.2%20.4%59.3%0.0%1.9%-1.8%259.2K-6.5M-70.0K0.4581.91N/AN/A884043,76461,780
2014-06-16$5.79$5.5026.6%9.4%20.3%58.2%0.0%3.7%-1.1%292.9K-6.9M-61.5K0.3963.00N/AN/A36014043,85261,812
2014-06-17$6.00$5.5029.1%8.2%22.9%69.1%0.0%3.2%-2.6%445.1K-10.4M-64.7K0.0486.65N/AN/A7,34832044,15661,884
2014-06-18$5.92$5.5027.8%6.6%23.3%63.6%23.4%1.4%-2.6%498.4K-10.2M-67.0K0.2255.00N/AN/A79617649,39262,140
2014-06-19$5.80$5.5028.2%7.1%23.5%65.3%24.6%1.0%-2.6%397.9K-7.9M-63.2K0.4759.00N/AN/A58827648,65661,956
2014-06-20$5.81$5.5028.1%7.0%23.4%64.9%0.0%4.6%-1.8%388.8K-8.0M-64.1K1.5252.49N/AN/A40862048,97662,104
2014-06-23$5.84$5.5029.7%7.3%23.5%71.8%0.0%1.6%-3.0%360.7K-7.4M-63.3K0.3158.66N/AN/A84426038,14046,108
2014-06-24$5.78$5.5028.0%7.4%22.2%64.2%0.0%1.1%-2.4%335.1K-6.7M-63.7K0.0256.96N/AN/A4,27210438,46046,320
2014-06-25$5.86$5.5028.6%7.1%22.1%67.0%23.9%1.9%-2.6%335.5K-7.3M-60.4K0.7753.55N/AN/A524037,05645,824
2014-06-26$5.82$5.5028.7%6.9%22.2%67.4%24.3%-0.0%-2.1%330.0K-7.2M-60.3K0.6949.53N/AN/A91262837,08445,864
2014-06-27$5.77$5.5028.6%7.3%22.5%67.0%24.4%-0.3%-3.1%308.2K-6.7M-60.7K0.0761.17N/AN/A4082836,88846,492
2014-06-30$5.82$5.5029.8%7.1%21.8%72.2%25.9%3.1%-3.8%319.6K-6.5M-60.8K9.8562.97N/AN/A2642,60036,88846,492