IBKR Options History — October 2014

In October 2014, IBKR traded between $5.91 and $6.48. ATM implied volatility averaged 26.9%, placing in the 35.1% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded above realized volatility by 5.0% (HV 20d: 21.9%). Max pain ranged from $5.75 to $6.25. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 9 of 23 days. Put/call ratio averaged 6.95.

Notable Days

2014-10-10: Highest Volume — 34,896 contracts
2014-10-15: Largest IV spike — 74.5% change
2014-10-15: Highest IV Rank — 100.0%
2014-10-15: Largest Expected Move — 9.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$6.25	$5.91	$6.48	$6.25	$6.46
Max Pain	$6.00	$5.75	$6.25	$5.75	$6.25
ATM IV	26.9%	21.0%	50.6%	32.4%	21.0%
Expected Move	7.1%	5.9%	9.2%	7.0%	6.9%
HV 20d	21.9%	19.0%	24.1%	22.0%	21.5%
HV 60d	19.1%	18.0%	19.7%	19.6%	19.2%
IV Rank	35.1%	12.8%	100.0%	62.7%	12.9%
IV Percentile	59.6%	13.1%	100.0%	96.4%	13.1%
Term Structure	-1.2%	-6.4%	4.6%	-6.4%	0.8%
VWIV	25.9%	23.4%	29.9%	25.0%	25.5%
Skew 25d	1.8%	-1.9%	4.7%	0.8%	0.1%
Skew 10d	3.8%	-7.5%	17.3%	8.0%	-2.0%
Call IV 25d	27.7%	21.0%	37.0%	33.4%	22.6%
Put IV 25d	29.5%	22.7%	39.9%	34.1%	22.7%
Bid-Ask Spread %	67.28	48.93	91.75	48.93	66.34
Gamma HHI	0.39	0.26	0.57	0.42	0.35
Net GEX	421.8K	202.1K	840.9K	333.9K	385.0K
Net DEX	-7.9M	-11.2M	-3.2M	-8.4M	-10.8M
Net VEX	-52.8K	-59.6K	-46.5K	-55.0K	-46.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	6.95	0.01	62.33	0.33	8.63
Total Volume	15,312.696	116	34,896	176	28,168
Total OI	110,312	101,432	117,088	107,320	108,160

Daily Data (23 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
2014-10-01	$6.25	$5.75	32.4%	7.0%	22.0%	62.7%	0.0%	0.8%	-6.4%	333.9K	-8.4M	-55.0K	0.33	48.93	N/A	N/A	132	44	34,628	72,692
2014-10-02	$6.27	$5.75	30.4%	7.0%	21.9%	54.8%	0.0%	-1.9%	-2.2%	368.2K	-8.6M	-55.1K	0.01	54.62	N/A	N/A	3,032	44	34,632	72,696
2014-10-03	$6.38	$5.75	25.2%	6.8%	22.4%	34.1%	0.0%	-1.3%	1.0%	555.5K	-11.2M	-54.9K	1.33	66.85	N/A	N/A	700	932	37,296	72,740
2014-10-06	$6.29	$5.75	26.4%	7.0%	23.3%	38.9%	0.0%	1.2%	-1.7%	578.6K	-10.0M	-53.7K	0.08	52.15	N/A	N/A	2,616	208	37,360	73,012
2014-10-07	$6.19	$5.75	24.7%	7.1%	24.1%	32.2%	25.0%	1.1%	-3.6%	596.2K	-8.2M	-55.4K	1.29	61.44	N/A	N/A	588	756	39,628	73,192
2014-10-08	$6.21	$6.00	23.1%	6.9%	22.8%	25.5%	24.8%	2.0%	-2.0%	693.1K	-7.7M	-56.6K	3.57	52.89	N/A	N/A	7,032	25,092	39,968	73,704
2014-10-09	$6.15	$6.00	25.2%	7.3%	22.9%	34.2%	0.0%	1.6%	-2.1%	681.7K	-7.2M	-59.6K	10.11	52.51	N/A	N/A	328	3,316	43,408	73,668
2014-10-10	$6.02	$6.00	28.4%	7.5%	21.6%	46.7%	26.5%	-0.4%	-0.7%	545.1K	-5.4M	-56.5K	4.03	54.55	N/A	N/A	6,932	27,964	43,536	72,920
2014-10-13	$5.91	$6.00	27.2%	7.0%	22.4%	42.1%	0.0%	2.5%	-3.0%	354.0K	-3.7M	-54.0K	62.33	78.55	N/A	N/A	24	1,496	43,752	73,068
2014-10-14	$5.94	$6.00	29.0%	7.6%	22.6%	49.2%	27.0%	3.8%	4.6%	247.9K	-3.2M	-54.0K	7.35	82.04	N/A	N/A	3,800	27,920	43,764	73,196
2014-10-15	$5.95	$6.00	50.6%	9.2%	19.0%	100.0%	29.9%	4.7%	-2.7%	309.9K	-3.2M	-54.6K	10.12	90.20	N/A	N/A	2,752	27,840	43,860	73,228
2014-10-16	$6.07	$6.00	33.7%	7.8%	20.3%	50.1%	28.6%	4.5%	-3.4%	458.0K	-4.2M	-54.4K	0.93	82.46	N/A	N/A	60	56	42,824	73,168
2014-10-17	$6.15	$6.00	30.2%	7.7%	20.3%	39.9%	25.2%	2.4%	-2.4%	840.9K	-5.5M	-54.1K	0.26	67.05	N/A	N/A	800	204	42,844	73,180
2014-10-20	$6.23	$6.00	29.9%	7.4%	21.0%	39.1%	28.8%	3.5%	-2.6%	202.1K	-6.9M	-50.3K	0.17	77.87	N/A	N/A	748	128	30,696	70,736
2014-10-21	$6.32	$6.00	29.7%	7.2%	21.6%	38.4%	26.9%	3.7%	-3.3%	234.5K	-8.0M	-51.6K	6.85	67.42	N/A	N/A	3,692	25,276	31,136	70,880
2014-10-22	$6.46	$6.00	22.3%	5.9%	23.2%	16.6%	24.1%	0.2%	0.6%	303.3K	-11.2M	-52.3K	4.57	91.75	N/A	N/A	5,472	25,020	32,524	71,768
2014-10-23	$6.43	$6.00	21.7%	6.8%	21.6%	14.8%	25.0%	2.6%	0.3%	326.6K	-10.1M	-52.0K	5.64	66.13	N/A	N/A	4,400	24,820	33,056	73,644
2014-10-24	$6.48	$6.00	21.4%	6.7%	21.2%	13.9%	24.4%	3.5%	0.6%	324.0K	-10.5M	-49.6K	4.58	64.95	N/A	N/A	5,444	24,940	33,096	73,820
2014-10-27	$6.38	$6.25	23.0%	6.7%	21.7%	18.7%	0.0%	2.4%	-0.4%	317.4K	-9.2M	-48.7K	0.08	63.79	N/A	N/A	1,160	88	33,284	73,864
2014-10-28	$6.46	$6.25	21.6%	7.0%	22.0%	14.4%	23.4%	1.6%	0.5%	341.7K	-10.0M	-49.4K	14.40	70.08	N/A	N/A	20	288	33,256	73,908
2014-10-29	$6.45	$6.25	21.0%	6.9%	22.0%	12.8%	24.6%	2.2%	0.8%	352.6K	-10.0M	-48.9K	6.69	70.79	N/A	N/A	3,752	25,092	33,272	74,236
2014-10-30	$6.41	$6.25	21.6%	6.8%	22.2%	14.5%	24.8%	0.8%	0.2%	351.7K	-9.6M	-48.0K	6.46	64.02	N/A	N/A	3,888	25,128	33,460	74,416
2014-10-31	$6.46	$6.25	21.0%	6.9%	21.5%	12.9%	25.5%	0.1%	0.8%	385.0K	-10.8M	-46.5K	8.63	66.34	N/A	N/A	2,924	25,244	33,704	74,456