IBKR Options History — September 2014

In September 2014, IBKR traded between $5.95 and $6.55. ATM implied volatility averaged 25.3%, placing in the 38.6% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 7.1% (HV 20d: 18.2%). Max pain ranged from $5.75 to $5.75. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 3.00.

Notable Days

  • 2014-09-22: Highest Volume — 20,860 contracts
  • 2014-09-11: Largest IV spike — 17.7% change
  • 2014-09-30: Highest IV Rank — 57.1%
  • 2014-09-30: Largest Expected Move — 7.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.22$5.95$6.55$6.01$6.24
Max Pain$5.75$5.75$5.75$5.75$5.75
ATM IV25.3%18.6%31.0%19.9%31.0%
Expected Move6.8%6.4%7.1%6.8%7.1%
HV 20d18.2%13.0%23.7%13.3%22.2%
HV 60d20.2%19.3%21.0%20.4%20.5%
IV Rank38.6%19.6%57.1%24.3%57.1%
IV Percentile60.7%2.4%96.0%9.1%96.0%
Term Structure-2.2%-5.6%6.1%4.8%-5.6%
VWIV24.6%22.9%33.2%24.5%23.4%
Skew 25d1.6%-2.3%6.9%1.8%-0.5%
Skew 10d6.4%-5.5%20.5%-2.9%4.2%
Call IV 25d26.8%15.0%36.7%18.8%33.6%
Put IV 25d28.4%20.6%34.7%20.6%33.0%
Bid-Ask Spread %63.1752.0872.2470.3557.75
Gamma HHI0.470.370.560.520.43
Net GEX511.7K263.6K897.5K535.5K330.7K
Net DEX-11.7M-22.3M-6.3M-8.1M-8.2M
Net VEX-54.7K-69.8K-49.5K-49.5K-55.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.000.0032.869.930.00
Total Volume3,336.9522020,8603,76020
Total OI99,777.33384,868109,64487,112107,300

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-09-02$6.01$5.7519.9%6.8%13.3%24.3%24.5%1.8%4.8%535.5K-8.1M-49.5K9.9370.35N/AN/A3443,41634,41252,700
2014-09-03$5.97$5.7518.6%6.8%13.5%19.6%0.0%6.9%6.1%546.9K-7.2M-51.1K0.3462.90N/AN/A1,48049634,54054,520
2014-09-04$5.95$5.7519.0%6.9%13.5%21.1%0.0%5.1%3.3%562.7K-6.8M-53.2K0.6360.63N/AN/A18411635,34454,960
2014-09-05$5.95$5.7519.5%6.7%13.0%22.8%25.0%3.3%-2.2%556.0K-6.3M-53.5K5.5356.04N/AN/A6837635,51655,060
2014-09-08$5.98$5.7520.1%6.8%13.0%24.9%0.0%2.9%-2.6%614.9K-7.1M-51.4K0.5359.84N/AN/A1447635,54855,228
2014-09-09$5.96$5.7519.9%6.8%13.0%24.1%0.0%1.1%-1.4%628.3K-6.6M-52.2K2.1666.00N/AN/A24452835,54855,300
2014-09-10$6.10$5.7521.9%6.9%15.2%31.1%0.0%1.1%-4.4%593.4K-9.3M-49.6K0.0161.69N/AN/A13,25614435,56055,828
2014-09-11$6.15$5.7525.7%6.9%15.0%44.5%24.4%4.1%-2.6%897.5K-13.7M-59.0K0.5553.99N/AN/A2,8961,58048,00855,828
2014-09-12$6.32$5.7526.7%6.8%17.2%40.3%23.8%1.1%-2.5%682.8K-17.3M-58.8K0.8560.50N/AN/A1,7881,52848,29656,296
2014-09-15$6.28$5.7527.1%6.8%17.6%41.5%0.0%0.4%-3.5%702.0K-17.6M-55.2K0.1560.33N/AN/A5848848,82856,508
2014-09-16$6.29$5.7527.8%6.8%17.6%44.3%33.2%2.0%-3.7%638.5K-17.9M-52.6K0.3765.11N/AN/A1,55657648,92056,596
2014-09-17$6.48$5.7526.9%6.4%19.7%40.7%22.9%6.5%-4.6%460.8K-21.2M-51.6K0.0672.24N/AN/A2,20413649,27256,468
2014-09-18$6.55$5.7527.8%6.7%19.7%44.4%23.2%2.4%-3.9%442.9K-22.3M-53.1K1.3167.76N/AN/A2,5803,38849,94056,576
2014-09-19$6.42$5.7526.5%6.7%21.6%39.3%23.2%0.3%-3.5%509.9K-19.8M-55.9K0.2668.76N/AN/A4,7201,21250,76458,880
2014-09-22$6.39$5.7528.3%6.9%21.9%46.5%24.9%-0.3%-3.4%345.3K-10.6M-54.8K32.8658.33N/AN/A61620,24434,04450,824
2014-09-23$6.38$5.7529.3%7.0%21.9%50.3%23.4%-0.7%-3.2%346.1K-10.7M-56.0K0.0358.02N/AN/A6121634,39671,060
2014-09-24$6.36$5.7528.2%6.7%21.9%46.0%0.0%-2.2%-3.8%348.2K-10.1M-55.4K5.2452.08N/AN/A3161,65634,11271,076
2014-09-25$6.22$5.7530.4%6.9%23.2%54.9%23.8%-2.3%-5.5%263.6K-7.3M-69.8K0.7471.65N/AN/A23217234,33672,528
2014-09-26$6.31$5.7527.6%6.7%23.4%43.7%23.4%2.1%-2.4%378.9K-8.8M-55.8K0.0471.03N/AN/A184834,44472,696
2014-09-29$6.25$5.7529.0%7.0%23.7%49.4%0.0%-2.0%-1.6%359.9K-8.5M-55.2K1.4371.66N/AN/A12017234,57272,692
2014-09-30$6.24$5.7531.0%7.1%22.2%57.1%0.0%-0.5%-5.6%330.7K-8.2M-55.2K0.0057.75N/AN/A20034,60872,692