IBKR Options History — February 2015

In February 2015, IBKR traded between $7.73 and $8.16. ATM implied volatility averaged 22.5%, placing in the 14.6% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 1.0% (HV 20d: 21.5%). Max pain ranged from $7.00 to $7.50. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 17 of 19 days. Put/call ratio averaged 6.15.

Notable Days

  • 2015-02-03: Highest Volume — 41,472 contracts
  • 2015-02-04: Largest IV spike — 21.1% change
  • 2015-02-04: Highest IV Rank — 32.3%
  • 2015-02-04: Largest Expected Move — 8.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.05$7.73$8.16$7.73$7.97
Max Pain$7.25$7.00$7.50$7.00$7.50
ATM IV22.5%20.6%28.3%23.6%20.8%
Expected Move6.5%5.9%8.1%6.8%6.0%
HV 20d21.5%15.1%26.0%25.8%16.6%
HV 60d21.1%20.6%21.3%21.2%21.3%
IV Rank14.6%9.0%32.3%18.1%9.4%
IV Percentile36.9%15.9%83.3%54.0%18.3%
Term Structure1.6%-0.3%3.2%1.2%2.8%
VWIV23.9%19.4%30.3%24.0%20.6%
Skew 25d3.9%1.9%7.1%5.3%2.0%
Skew 10d11.7%2.6%21.7%21.7%2.6%
Call IV 25d21.6%19.1%23.0%22.4%20.6%
Put IV 25d25.5%22.6%30.0%27.6%22.6%
Bid-Ask Spread %57.0640.5273.8272.0562.28
Gamma HHI0.190.140.290.180.16
Net GEX205.1K135.6K274.8K135.6K172.1K
Net DEX-16.7M-21.4M-9.5M-9.5M-9.8M
Net VEX-40.2K-51.8K-34.8K-46.7K-36.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.150.0310.000.038.18
Total Volume26,509.8951,16041,4729,52825,824
Total OI87,866.10573,95695,60480,78874,616

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-02-02$7.73$7.0023.6%6.8%25.8%18.1%24.0%5.3%1.2%135.6K-9.5M-46.7K0.0372.05N/AN/A9,28024822,30858,480
2015-02-03$7.76$7.0023.4%6.7%25.5%17.3%29.4%2.6%1.1%253.2K-16.0M-49.4K2.4165.25N/AN/A12,15229,32031,28458,644
2015-02-04$7.90$7.0028.3%8.1%25.7%32.3%30.3%7.1%-0.3%274.8K-16.8M-51.8K2.6665.57N/AN/A11,06429,41631,27259,356
2015-02-05$8.03$7.0023.9%6.3%26.0%19.1%28.2%4.9%2.7%198.6K-19.6M-37.5K2.4864.90N/AN/A11,57628,69231,39259,524
2015-02-06$8.12$7.2522.9%6.8%24.9%15.9%29.8%5.7%1.1%206.3K-19.1M-46.0K2.6040.52N/AN/A11,02028,65232,06060,348
2015-02-09$7.99$7.2522.5%6.7%24.4%14.8%26.4%3.3%1.6%217.8K-19.5M-38.3K10.0061.00N/AN/A2,84428,44032,20460,780
2015-02-10$8.12$7.2520.6%6.4%24.2%9.0%24.2%5.0%1.9%174.9K-19.7M-43.7K9.0659.78N/AN/A3,14028,45632,33661,300
2015-02-11$8.11$7.2522.2%6.4%24.3%13.9%23.9%4.2%2.3%200.8K-20.1M-44.4K8.5561.48N/AN/A2,90824,85632,87661,424
2015-02-12$8.14$7.2521.0%6.0%24.3%10.2%23.6%2.9%3.2%218.4K-21.4M-36.0K7.8369.57N/AN/A3,14824,63633,33261,492
2015-02-13$8.12$7.2521.1%6.0%22.1%10.3%23.1%2.8%2.4%219.3K-20.7M-37.6K7.9247.52N/AN/A3,06824,30833,43261,984
2015-02-17$8.10$7.2523.4%6.7%21.5%17.5%23.5%4.2%1.1%231.9K-20.9M-35.6K8.4541.80N/AN/A2,85224,09233,48461,992
2015-02-18$8.06$7.2523.1%6.6%21.8%16.5%23.2%2.8%1.3%240.7K-20.4M-35.9K9.8142.65N/AN/A2,44023,94833,55662,048
2015-02-19$8.06$7.2523.1%6.6%19.8%16.6%22.3%3.7%0.6%248.4K-20.2M-35.6K0.6973.82N/AN/A68847233,08061,984
2015-02-20$8.13$7.2521.0%6.0%17.1%10.1%19.4%2.9%1.9%157.1K-20.8M-36.8K0.1346.14N/AN/A1,77623633,25262,124
2015-02-23$8.09$7.2521.8%6.3%16.8%12.6%21.0%1.9%-0.1%177.7K-10.5M-39.1K8.2446.87N/AN/A2,85223,49221,52452,432
2015-02-24$8.16$7.5020.8%6.0%16.2%9.4%19.6%2.9%2.4%200.3K-11.7M-35.3K9.0051.97N/AN/A2,63223,70022,22452,800
2015-02-25$8.12$7.5022.6%6.5%16.3%15.1%20.9%5.1%1.2%188.0K-10.6M-34.8K9.0255.64N/AN/A2,57623,22821,03253,132
2015-02-26$8.14$7.5020.7%5.9%15.1%9.2%20.4%4.2%1.8%180.5K-9.8M-41.9K9.7655.28N/AN/A2,38423,27221,07253,276
2015-02-27$7.97$7.5020.8%6.0%16.6%9.4%20.6%2.0%2.8%172.1K-9.8M-36.5K8.1862.28N/AN/A2,81223,01221,15653,460