IBKR Options History — August 2014

In August 2014, IBKR traded between $5.81 and $5.99. ATM implied volatility averaged 21.4%, placing in the 29.6% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 4.8% (HV 20d: 16.6%). Max pain ranged from $5.50 to $5.75. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 1.60.

Notable Days

  • 2014-08-18: Highest Volume — 3,472 contracts
  • 2014-08-11: Largest IV spike — 23.1% change
  • 2014-08-11: Highest IV Rank — 48.7%
  • 2014-08-13: Largest Expected Move — 7.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.89$5.81$5.99$5.81$5.86
Max Pain$5.71$5.50$5.75$5.50$5.75
ATM IV21.4%18.4%26.9%24.6%19.6%
Expected Move6.9%6.5%7.3%7.0%6.7%
HV 20d16.6%11.4%24.9%24.2%11.4%
HV 60d21.7%19.9%23.9%23.9%19.9%
IV Rank29.6%19.2%48.7%40.7%23.1%
IV Percentile25.7%1.6%83.3%63.1%8.3%
Term Structure3.2%-0.0%5.9%-0.0%5.3%
VWIV23.7%22.7%25.1%24.2%23.1%
Skew 25d3.3%0.9%9.4%9.4%0.9%
Skew 10d7.6%-1.1%17.1%9.6%-1.1%
Call IV 25d20.4%13.7%24.7%19.0%16.9%
Put IV 25d23.7%17.8%28.5%28.4%17.8%
Bid-Ask Spread %62.4544.6583.4756.4967.11
Gamma HHI0.410.330.490.330.46
Net GEX377.8K274.4K461.1K274.4K444.6K
Net DEX-6.8M-8.5M-5.4M-5.6M-5.4M
Net VEX-55.5K-60.1K-51.6K-57.6K-51.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.600.0610.880.320.44
Total Volume767.238963,4721,672144
Total OI90,320.38186,56093,54890,82086,984

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-08-01$5.81$5.5024.6%7.0%24.2%40.7%0.0%9.4%-0.0%274.4K-5.6M-57.6K0.3256.49N/AN/A1,26840436,26854,552
2014-08-04$5.91$5.5021.8%6.9%24.9%30.9%0.0%3.6%3.6%364.0K-7.4M-57.0K0.1482.61N/AN/A1,94826836,61254,644
2014-08-05$5.88$5.5024.1%6.8%22.7%39.0%24.2%2.0%1.8%334.4K-7.1M-56.9K0.3755.48N/AN/A1,42852836,84054,768
2014-08-06$5.91$5.7524.4%7.2%22.5%40.1%0.0%5.2%1.5%344.3K-7.7M-60.1K0.2463.81N/AN/A3608838,05655,048
2014-08-07$5.85$5.7525.4%7.2%22.0%43.5%0.0%2.0%2.0%320.6K-6.8M-59.2K2.1344.65N/AN/A326838,00455,132
2014-08-08$5.82$5.7521.9%7.2%21.5%31.2%0.0%1.3%1.7%309.1K-6.3M-59.2K10.8859.39N/AN/A3234837,98855,184
2014-08-11$5.85$5.7526.9%7.2%21.1%48.7%24.6%1.1%0.4%361.8K-6.9M-57.7K1.0651.23N/AN/A20822037,96455,240
2014-08-12$5.87$5.7523.1%7.0%21.1%35.4%0.0%2.7%2.8%384.9K-6.6M-57.0K0.0059.69N/AN/A023638,07655,292
2014-08-13$5.82$5.7520.7%7.3%15.6%27.1%25.1%3.1%2.6%342.0K-5.9M-56.4K0.8468.49N/AN/A14812438,07655,472
2014-08-14$5.89$5.7520.9%6.9%14.2%27.7%22.7%2.2%3.5%375.7K-6.7M-55.6K0.1178.69N/AN/A1762037,56055,268
2014-08-15$5.90$5.7520.6%7.1%13.7%26.6%0.0%2.4%3.2%406.7K-7.1M-54.3K2.0748.96N/AN/A45694437,62055,284
2014-08-18$5.90$5.7520.3%7.0%13.4%25.7%0.0%4.0%3.3%357.7K-7.0M-53.9K0.3752.68N/AN/A2,53294035,35651,204
2014-08-19$5.88$5.7520.5%6.8%12.8%26.3%0.0%2.9%3.3%362.1K-6.8M-54.2K2.5358.17N/AN/A6817236,23652,052
2014-08-20$5.87$5.7521.4%6.9%12.7%29.4%0.0%6.9%2.7%354.4K-6.6M-54.8K0.5052.08N/AN/A643236,30052,132
2014-08-21$5.91$5.7518.6%6.6%12.8%19.6%0.0%8.2%5.1%400.9K-7.0M-54.6K0.1574.11N/AN/A3284836,32452,164
2014-08-22$5.94$5.7518.8%6.6%12.8%20.6%0.0%3.7%5.2%419.7K-7.6M-53.4K3.1955.17N/AN/A6420436,24052,184
2014-08-25$5.99$5.7519.4%7.2%12.9%22.7%0.0%1.5%4.3%449.1K-8.4M-52.9K0.5883.47N/AN/A25614836,20852,368
2014-08-26$5.97$5.7519.3%6.5%13.0%22.1%22.8%2.4%4.5%461.1K-8.5M-52.3K0.0676.09N/AN/A1,1287236,17652,380
2014-08-27$5.91$5.7518.4%6.7%12.5%19.2%23.3%1.8%5.9%445.2K-6.0M-54.4K1.0760.65N/AN/A606434,23252,444
2014-08-28$5.88$5.7519.2%6.7%11.7%21.9%23.5%1.8%4.9%420.8K-5.4M-52.7K5.0562.48N/AN/A8040434,29252,504
2014-08-29$5.86$5.7519.6%6.7%11.4%23.1%23.1%0.9%5.3%444.6K-5.4M-51.6K0.4467.11N/AN/A1004434,32052,664