IBKR Options History — November 2014

In November 2014, IBKR traded between $6.56 and $6.92. ATM implied volatility averaged 20.7%, placing in the 9.1% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 3.0% (HV 20d: 17.6%). Max pain ranged from $6.25 to $6.25. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 14 of 19 days. Put/call ratio averaged 4.99.

Notable Days

  • 2014-11-25: Highest Volume — 47,196 contracts
  • 2014-11-11: Largest IV drop — 10.2% change
  • 2014-11-05: Highest IV Rank — 18.4%
  • 2014-11-04: Largest Expected Move — 6.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.75$6.56$6.92$6.56$6.83
Max Pain$6.25$6.25$6.25$6.25$6.25
ATM IV20.7%19.1%22.9%22.6%20.2%
Expected Move6.7%6.5%6.9%6.7%6.6%
HV 20d17.6%15.0%21.8%21.3%15.7%
HV 60d20.0%19.4%20.3%19.4%19.8%
IV Rank9.1%2.0%18.4%17.5%5.3%
IV Percentile11.8%2.0%33.7%28.6%8.3%
Term Structure0.7%-1.7%1.9%-0.6%1.6%
VWIV25.2%23.0%28.3%24.7%24.8%
Skew 25d2.5%-0.6%8.2%0.4%3.1%
Skew 10d5.7%-3.5%13.9%4.4%5.4%
Call IV 25d20.0%14.1%23.5%23.5%19.1%
Put IV 25d22.5%19.5%25.0%23.9%22.2%
Bid-Ask Spread %69.4155.75100.3166.1973.29
Gamma HHI0.260.220.480.360.22
Net GEX339.2K232.6K498.1K406.3K235.8K
Net DEX-14.5M-18.3M-10.7M-12.5M-10.7M
Net VEX-38.3K-46.1K-32.9K-44.9K-33.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.990.199.673.020.32
Total Volume22,720.21116447,19632,908164
Total OI107,256.21188,824113,248108,48497,812

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-11-03$6.56$6.2522.6%6.7%21.3%17.5%24.7%0.4%-0.6%406.3K-12.5M-44.9K3.0266.19N/AN/A8,19624,71233,91274,572
2014-11-04$6.58$6.2521.8%6.9%20.2%15.2%25.2%1.1%-0.2%289.9K-12.0M-42.6K2.8466.96N/AN/A8,80424,97631,94875,364
2014-11-05$6.56$6.2522.9%6.9%20.4%18.4%25.8%3.3%-1.7%266.9K-11.5M-46.1K5.7857.29N/AN/A4,32424,99232,77275,856
2014-11-06$6.75$6.2522.1%6.6%21.8%16.2%25.3%2.2%-1.1%300.9K-14.6M-41.9K5.4961.22N/AN/A4,56025,04033,85675,924
2014-11-07$6.72$6.2520.5%6.7%20.0%11.4%26.0%2.3%1.8%331.3K-14.7M-43.2K7.7261.41N/AN/A3,22824,92434,42076,004
2014-11-10$6.72$6.2522.3%6.7%17.8%16.5%25.9%2.1%0.7%339.0K-15.2M-40.9K7.8761.31N/AN/A3,18825,10034,59276,064
2014-11-11$6.73$6.2520.0%6.5%17.9%9.9%25.5%0.7%1.3%348.3K-15.0M-38.8K6.9059.83N/AN/A3,63225,07233,72455,100
2014-11-12$6.75$6.2519.6%6.6%17.8%8.5%25.0%1.7%0.6%393.0K-15.9M-39.4K9.5163.26N/AN/A2,73225,97635,29676,308
2014-11-13$6.73$6.2520.3%6.6%17.3%10.9%25.7%1.6%0.8%407.0K-15.7M-38.6K9.5762.32N/AN/A2,72826,11635,31676,348
2014-11-14$6.79$6.2520.3%6.6%17.1%5.7%23.0%4.3%1.2%376.2K-16.6M-37.6K0.1981.50N/AN/A88016435,28076,168
2014-11-17$6.82$6.2520.1%6.7%16.8%5.2%25.2%1.3%1.9%370.5K-17.3M-34.4K6.8958.06N/AN/A3,64425,10835,44476,244
2014-11-18$6.84$6.2520.3%6.6%16.5%5.8%25.0%3.0%0.6%362.2K-18.3M-34.0K9.6763.97N/AN/A2,66425,74836,55676,468
2014-11-19$6.74$6.2520.2%6.6%16.2%5.6%23.1%-0.6%1.5%379.6K-16.8M-37.5K0.3591.68N/AN/A48416836,56476,684
2014-11-20$6.74$6.2520.6%6.6%16.0%6.7%28.3%3.0%1.4%414.8K-16.0M-36.8K7.80100.31N/AN/A3,23625,24435,40076,488
2014-11-21$6.75$6.2520.1%6.6%15.9%5.1%26.4%0.5%1.3%498.1K-16.1M-35.3K9.2977.84N/AN/A2,68424,92435,72476,496
2014-11-24$6.85$6.2520.3%6.7%15.1%5.9%23.4%5.2%-0.2%232.6K-12.4M-35.3K0.2768.63N/AN/A60416428,52071,908
2014-11-25$6.92$6.2519.1%6.5%15.0%2.0%24.7%8.2%1.0%256.4K-13.5M-33.5K1.0555.75N/AN/A23,04424,15228,87272,032
2014-11-26$6.83$6.2519.1%6.6%15.9%2.0%25.1%4.4%1.8%235.5K-10.8M-32.9K0.2288.07N/AN/A2525625,40072,432
2014-11-28$6.83$6.2520.2%6.6%15.7%5.3%24.8%3.1%1.6%235.8K-10.7M-33.0K0.3273.29N/AN/A1244025,38872,424