IBKR Options History — December 2014

In December 2014, IBKR traded between $6.79 and $7.39. ATM implied volatility averaged 21.8%, placing in the 10.4% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 3.7% (HV 20d: 18.1%). Max pain ranged from $6.25 to $7.25. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 4.98.

Notable Days

  • 2014-12-10: Highest Volume — 30,040 contracts
  • 2014-12-03: Largest IV drop — 12.5% change
  • 2014-12-15: Highest IV Rank — 20.1%
  • 2014-12-16: Largest Expected Move — 7.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.09$6.79$7.39$6.79$7.29
Max Pain$6.57$6.25$7.25$6.25$7.25
ATM IV21.8%18.8%24.9%21.6%22.4%
Expected Move6.8%6.3%7.5%6.7%7.0%
HV 20d18.1%11.9%22.8%15.8%22.1%
HV 60d19.4%17.8%20.0%19.9%19.5%
IV Rank10.4%1.2%20.1%9.7%12.3%
IV Percentile26.9%1.2%60.7%19.4%34.9%
Term Structure1.6%0.0%3.8%0.8%1.1%
VWIV25.1%22.9%27.1%25.3%24.8%
Skew 25d2.4%-5.8%7.0%2.7%2.2%
Skew 10d3.6%-3.5%15.3%5.2%1.5%
Call IV 25d21.2%16.2%26.8%19.7%20.6%
Put IV 25d23.5%17.1%27.4%22.4%22.9%
Bid-Ask Spread %78.3263.11118.3176.0377.65
Gamma HHI0.230.180.270.230.24
Net GEX240.2K194.0K323.9K237.2K211.4K
Net DEX-13.8M-16.0M-10.8M-10.8M-15.1M
Net VEX-30.9K-35.1K-27.9K-33.5K-29.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.980.076.986.210.11
Total Volume22,685.81830830,04027,848588
Total OI100,568.90996,124104,24098,85698,828

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-12-01$6.79$6.2521.6%6.7%15.8%9.7%25.3%2.7%0.8%237.2K-10.8M-33.5K6.2176.03N/AN/A3,86023,98826,40072,456
2014-12-02$6.85$6.2522.9%6.8%15.2%13.9%25.7%3.5%0.2%239.0K-11.3M-33.3K6.5776.42N/AN/A3,66424,06426,55272,580
2014-12-03$6.89$6.2520.0%6.6%15.3%4.9%26.1%3.1%1.0%267.7K-11.8M-30.9K6.1171.98N/AN/A3,94024,08026,55272,780
2014-12-04$6.88$6.2518.8%6.3%15.1%1.2%22.9%7.0%1.8%255.8K-11.5M-31.7K0.0766.47N/AN/A9846825,87672,764
2014-12-05$6.97$6.2519.7%6.4%12.0%3.9%23.9%2.7%2.0%277.0K-13.4M-29.9K5.6465.38N/AN/A4,31624,35227,49672,860
2014-12-08$7.01$6.2520.3%6.7%11.9%5.6%25.6%2.5%1.8%262.0K-13.8M-29.9K5.9663.11N/AN/A4,07224,27227,73273,332
2014-12-09$7.08$6.2521.5%6.8%12.2%9.6%24.6%0.1%0.9%247.5K-14.2M-30.0K5.8066.02N/AN/A4,04423,44427,86073,568
2014-12-10$7.11$6.2523.3%6.9%12.2%15.1%25.6%1.0%0.0%229.1K-14.5M-30.2K4.5269.09N/AN/A5,44024,60028,14074,032
2014-12-11$7.09$6.2522.5%6.9%12.3%12.7%25.0%1.0%1.5%224.6K-14.8M-33.5K5.8279.44N/AN/A4,16024,20828,64474,392
2014-12-12$6.83$6.2523.7%7.5%18.6%16.4%27.1%-1.9%3.1%245.4K-12.0M-35.1K6.1786.21N/AN/A3,84023,68428,47674,788
2014-12-15$6.89$6.2524.9%7.3%18.6%20.1%26.3%3.8%0.4%260.6K-12.4M-34.0K6.0869.02N/AN/A3,82023,24428,69274,932
2014-12-16$6.82$6.5023.4%7.5%18.9%15.4%27.0%2.8%2.6%281.6K-11.7M-34.4K6.1870.67N/AN/A3,76823,27228,86475,120
2014-12-17$6.99$6.5024.5%7.1%20.7%18.9%25.2%6.6%0.3%323.9K-13.6M-32.0K5.6693.85N/AN/A4,08023,10829,07275,168
2014-12-18$7.03$6.5022.5%6.9%19.9%12.7%26.0%0.6%1.5%282.6K-14.7M-29.6K6.2873.65N/AN/A3,68023,11629,10474,916
2014-12-19$7.26$6.5021.8%6.9%22.6%10.5%23.9%3.3%2.4%212.9K-15.9M-27.9K0.2477.52N/AN/A3,10074028,24474,916
2014-12-22$7.36$0.0020.6%6.9%22.8%6.9%24.9%6.1%2.0%208.2K-15.0M-28.2K5.83118.31N/AN/A3,94422,99226,77669,348
2014-12-23$7.39$7.0019.9%6.6%22.5%4.7%23.8%-1.6%2.3%197.8K-15.5M-28.6K5.4685.33N/AN/A4,12422,50827,37669,976
2014-12-24$7.39$7.2521.5%6.5%22.4%9.4%24.1%-5.8%1.7%207.4K-16.0M-29.1K6.9881.72N/AN/A3,24822,66028,10470,004
2014-12-26$7.33$7.2520.2%6.3%22.1%5.4%24.1%3.0%1.5%194.0K-15.4M-30.1K6.9479.39N/AN/A3,26822,68028,16070,256
2014-12-29$7.35$7.2521.5%6.8%22.0%9.5%25.0%3.2%3.8%210.0K-15.8M-28.7K6.6981.10N/AN/A3,34822,41228,40470,296
2014-12-30$7.33$7.2521.6%6.8%21.9%10.0%25.4%5.9%1.4%209.4K-15.1M-29.8K0.1594.68N/AN/A2684028,22470,456
2014-12-31$7.29$7.2522.4%7.0%22.1%12.3%24.8%2.2%1.1%211.4K-15.1M-29.7K0.1177.65N/AN/A5286028,33270,496