IBKR Options History — July 2014 In July 2014, IBKR traded between $5.53 and $6.06. ATM implied volatility averaged 27.7%, placing in the 54.1% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded above realized volatility by 3.3% (HV 20d: 24.4%). Max pain ranged from $5.50 to $5.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 0.78.
Notable Days 2014-07-02 : Highest Volume — 15,976 contracts2014-07-10 : Largest IV drop — 28.2% change2014-07-02 : Highest IV Rank — 100.0%2014-07-03 : Largest Expected Move — 8.8%Monthly Statistics Metric Avg Min Max Open Close Price $5.75 $5.53 $6.06 $5.89 $5.75 Max Pain $5.50 $5.50 $5.50 $5.50 $5.50 ATM IV 27.7% 20.7% 41.7% 29.2% 23.3% Expected Move 7.1% 6.7% 8.8% 6.9% 7.0% HV 20d 24.4% 21.2% 25.8% 21.7% 25.4% HV 60d 27.0% 22.5% 34.1% 34.1% 23.8% IV Rank 54.1% 27.0% 100.0% 69.6% 36.1% IV Percentile 64.5% 15.5% 100.0% 94.8% 47.2% Term Structure -2.0% -8.8% 1.3% -3.2% -0.1% VWIV 26.6% 19.8% 41.8% 24.0% 24.5% Skew 25d 1.1% -1.5% 4.5% 4.5% -1.0% Skew 10d 0.3% -8.6% 7.3% 6.6% -0.0% Call IV 25d 27.0% 21.1% 38.9% 28.1% 25.6% Put IV 25d 28.1% 20.3% 37.9% 32.6% 24.6% Bid-Ask Spread % 58.77 44.87 110.48 50.31 63.73 Gamma HHI 0.35 0.22 0.54 0.27 0.31 Net GEX 373.2K 56.6K 772.8K 333.8K 238.2K Net DEX -6.1M -13.4M -1.8M -7.7M -4.9M Net VEX -60.9K -78.0K -52.8K -61.6K -59.5K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.78 0.02 3.18 0.26 0.20 Total Volume 2,328.727 236 15,976 492 964 Total OI 94,234.727 84,148 106,008 84,148 90,612
Daily Data (22 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2014-07-01 $5.89 $5.50 29.2% 6.9% 21.7% 69.6% 0.0% 4.5% -3.2% 333.8K -7.7M -61.6K 0.26 50.31 N/A N/A 392 100 36,748 47,400 2014-07-02 $5.93 $5.50 36.7% 7.1% 21.2% 100.0% 24.0% -0.4% -8.8% 335.2K -8.2M -61.6K 0.02 66.72 N/A N/A 15,704 272 36,948 47,500 2014-07-03 $6.06 $5.50 35.6% 8.8% 22.1% 95.6% 38.2% -1.1% -6.5% 772.8K -13.4M -78.0K 3.18 110.48 N/A N/A 728 2,312 50,020 47,664 2014-07-07 $6.00 $5.50 39.6% 7.3% 22.2% 100.0% 19.8% 1.5% -5.5% 757.3K -13.1M -67.1K 0.28 46.66 N/A N/A 1,300 368 49,968 48,248 2014-07-08 $5.83 $5.50 37.0% 7.3% 24.3% 90.4% 41.8% -0.6% -3.2% 685.4K -10.2M -67.2K 0.32 67.53 N/A N/A 1,016 328 50,052 48,372 2014-07-09 $5.78 $5.50 41.7% 7.4% 24.4% 100.0% 25.0% 1.0% -4.8% 639.1K -8.3M -64.2K 2.24 54.64 N/A N/A 148 332 49,664 48,684 2014-07-10 $5.69 $5.50 29.9% 7.5% 24.1% 59.1% 27.7% -1.5% -4.2% 542.5K -6.5M -65.7K 0.20 72.00 N/A N/A 2,700 536 49,704 49,000 2014-07-11 $5.77 $5.50 28.9% 7.1% 24.7% 55.6% 0.0% 3.0% -2.9% 632.0K -7.8M -64.3K 0.59 52.06 N/A N/A 296 176 49,420 49,416 2014-07-14 $5.84 $5.50 29.1% 7.0% 25.0% 56.1% 0.0% 2.4% -1.8% 745.8K -8.9M -64.0K 0.47 53.41 N/A N/A 828 388 49,376 49,456 2014-07-15 $5.85 $5.50 29.9% 7.4% 25.0% 59.1% 0.0% 2.4% -3.6% 768.1K -9.3M -62.2K 0.57 50.45 N/A N/A 1,732 980 49,880 49,652 2014-07-16 $5.63 $5.50 25.8% 7.1% 25.1% 44.8% 25.5% 0.3% -1.0% 274.3K -3.8M -55.4K 0.13 53.05 N/A N/A 3,500 448 50,680 50,428 2014-07-17 $5.53 $5.50 23.1% 6.9% 25.4% 35.4% 23.7% -0.1% 0.2% 120.9K -1.8M -52.8K 1.63 49.25 N/A N/A 3,668 5,996 49,908 50,456 2014-07-18 $5.60 $5.50 23.7% 6.8% 25.1% 37.3% 24.3% 3.7% -1.0% 56.6K -1.9M -57.3K 0.83 50.64 N/A N/A 744 616 49,932 56,076 2014-07-21 $5.57 $0.00 22.8% 7.2% 25.2% 34.2% 24.2% 2.7% 0.2% 67.8K -1.8M -55.5K 0.42 70.77 N/A N/A 780 328 34,088 54,064 2014-07-22 $5.65 $5.50 21.7% 6.7% 25.8% 30.6% 22.2% 2.9% -0.0% 134.0K -3.0M -58.0K 0.42 53.62 N/A N/A 448 188 34,624 54,348 2014-07-23 $5.64 $5.50 22.2% 6.8% 25.5% 32.2% 0.0% 0.4% 0.7% 132.5K -3.1M -58.3K 0.25 59.83 N/A N/A 512 128 35,052 54,388 2014-07-24 $5.63 $5.50 21.5% 6.7% 24.9% 29.8% 24.3% 0.9% -0.2% 134.1K -3.0M -57.8K 0.08 49.77 N/A N/A 664 56 35,480 54,468 2014-07-25 $5.66 $5.50 20.7% 6.9% 25.0% 27.0% 24.5% 1.2% 1.3% 154.1K -3.3M -57.9K 0.04 44.87 N/A N/A 228 8 35,828 54,500 2014-07-28 $5.70 $5.50 21.7% 6.8% 25.0% 30.4% 0.0% 0.4% -0.1% 188.9K -3.8M -57.3K 0.51 55.50 N/A N/A 320 164 35,892 54,492 2014-07-29 $5.72 $5.50 22.0% 6.9% 24.8% 31.7% 0.0% 3.3% -0.2% 221.3K -4.4M -57.2K 2.83 55.34 N/A N/A 92 260 35,988 54,336 2014-07-30 $5.83 $5.50 23.2% 6.9% 25.2% 35.6% 0.0% -1.1% -0.1% 275.6K -5.8M -57.0K 1.69 62.34 N/A N/A 180 304 36,016 54,336 2014-07-31 $5.75 $5.50 23.3% 7.0% 25.4% 36.1% 0.0% -1.0% -0.1% 238.2K -4.9M -59.5K 0.20 63.73 N/A N/A 804 160 36,116 54,496
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