IBKR Options History — January 2015

In January 2015, IBKR traded between $7.02 and $7.75. ATM implied volatility averaged 24.5%, placing in the 20.2% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded above realized volatility by 1.3% (HV 20d: 23.1%). Max pain ranged from $7.00 to $7.25. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 5.67.

Notable Days

  • 2015-01-28: Highest Volume — 36,008 contracts
  • 2015-01-12: Largest IV spike — 28.3% change
  • 2015-01-16: Highest IV Rank — 46.0%
  • 2015-01-16: Largest Expected Move — 9.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.36$7.02$7.75$7.28$7.66
Max Pain$7.14$7.00$7.25$7.25$7.00
ATM IV24.5%17.7%32.8%22.2%23.2%
Expected Move7.3%6.5%9.4%6.8%6.7%
HV 20d23.1%20.8%25.8%22.2%25.8%
HV 60d19.7%18.5%21.1%19.1%21.1%
IV Rank20.2%0.0%46.0%11.8%16.9%
IV Percentile54.9%0.0%95.6%32.5%48.8%
Term Structure-0.6%-3.8%1.5%0.9%1.5%
VWIV27.2%23.3%37.8%23.3%25.6%
Skew 25d3.9%0.7%8.9%1.9%2.8%
Skew 10d9.8%-13.7%29.4%0.0%15.4%
Call IV 25d24.7%17.4%31.9%21.3%23.3%
Put IV 25d28.6%23.2%38.9%23.2%26.1%
Bid-Ask Spread %79.0551.57104.5084.75100.66
Gamma HHI0.220.170.330.230.17
Net GEX171.2K52.4K267.9K215.4K117.2K
Net DEX-11.7M-15.9M-4.2M-15.0M-8.9M
Net VEX-38.3K-49.7K-30.1K-30.1K-49.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.670.2711.636.7911.63
Total Volume20,62545236,00826,71234,720
Total OI90,040.460,972106,08899,46080,304

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-01-02$7.28$7.2522.2%6.8%22.2%11.8%23.3%1.9%0.9%215.4K-15.0M-30.1K6.7984.75N/AN/A3,42823,28428,90870,552
2015-01-05$7.22$7.2523.2%7.2%22.5%14.7%25.5%1.4%-1.4%222.7K-14.2M-32.4K0.4987.99N/AN/A30414829,26871,576
2015-01-06$7.17$7.2525.3%7.4%22.3%21.4%26.3%3.5%-1.6%224.2K-14.2M-30.9K0.88104.50N/AN/A1,12098429,48071,704
2015-01-07$7.21$7.2521.8%7.3%22.3%10.6%26.2%4.0%-0.8%189.6K-13.9M-31.9K0.2790.86N/AN/A74420429,56072,508
2015-01-08$7.39$7.2522.5%7.1%23.8%12.7%25.6%0.7%-0.2%228.8K-15.9M-33.9K7.3576.99N/AN/A3,20823,58430,39672,676
2015-01-09$7.25$7.2517.7%7.2%25.0%0.0%25.6%2.0%-0.8%195.2K-15.2M-31.8K7.8492.75N/AN/A2,98423,40830,37672,684
2015-01-12$7.19$7.2522.7%7.6%25.2%15.2%26.7%2.6%-1.5%171.8K-14.5M-31.9K8.1084.24N/AN/A2,89223,42030,48472,740
2015-01-13$7.21$7.2524.7%7.5%20.9%21.3%26.3%1.9%-0.9%214.0K-14.6M-32.3K7.6081.97N/AN/A3,09223,49630,87672,752
2015-01-14$7.25$7.2526.8%7.7%20.8%27.8%26.4%2.6%-2.1%189.2K-14.8M-32.5K7.6586.19N/AN/A3,06023,41230,99272,836
2015-01-15$7.09$7.2527.6%7.9%22.3%30.2%27.5%1.6%-2.0%199.1K-12.7M-34.1K4.9782.94N/AN/A5,00024,85231,02873,008
2015-01-16$7.02$7.2532.8%9.4%21.0%46.0%37.8%7.1%-3.8%267.9K-11.8M-38.6K3.4670.76N/AN/A4,61215,97231,78074,308
2015-01-20$7.03$7.0031.7%9.1%21.0%42.8%33.6%3.6%-3.8%52.4K-4.2M-45.9K2.8851.57N/AN/A2,9248,40819,90441,068
2015-01-21$7.26$7.0026.3%7.5%20.8%26.2%29.0%5.3%-0.6%90.2K-6.2M-48.9K1.0568.33N/AN/A3,2403,40821,27248,248
2015-01-22$7.50$7.0023.7%6.8%23.4%18.4%34.0%8.0%1.0%132.1K-8.1M-44.2K9.3973.64N/AN/A3,36031,54421,16049,888
2015-01-23$7.62$7.0023.7%6.8%24.0%18.3%25.3%4.4%1.0%134.3K-9.2M-45.1K9.6862.18N/AN/A3,28031,73621,34452,524
2015-01-26$7.75$7.0023.1%6.6%24.6%16.6%24.2%8.9%1.3%161.8K-10.4M-40.6K3.0957.95N/AN/A1,0083,11621,48854,284
2015-01-27$7.71$7.0023.9%6.9%24.4%19.0%26.2%7.2%0.5%132.0K-10.1M-40.3K1.2758.19N/AN/A8521,08021,71656,924
2015-01-28$7.61$7.0023.8%6.8%25.0%18.7%25.7%3.4%-0.3%144.6K-9.6M-42.8K7.8285.52N/AN/A4,08431,92422,24457,780
2015-01-29$7.74$7.0022.6%6.5%25.5%14.9%23.3%5.7%1.2%142.1K-9.8M-47.7K11.2479.09N/AN/A2,82831,78022,21657,952
2015-01-30$7.66$7.0023.2%6.7%25.8%16.9%25.6%2.8%1.5%117.2K-8.9M-49.7K11.63100.66N/AN/A2,74831,97222,30857,996