IBKR Options History — March 2015

In March 2015, IBKR traded between $8.07 and $8.59. ATM implied volatility averaged 23.7%, placing in the 18.2% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 3.1% (HV 20d: 20.6%). Max pain ranged from $7.50 to $8.25. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 4.48.

Notable Days

  • 2015-03-06: Highest Volume — 26,728 contracts
  • 2015-03-05: Largest IV spike — 12.2% change
  • 2015-03-30: Highest IV Rank — 26.7%
  • 2015-03-30: Largest Expected Move — 7.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.38$8.07$8.59$8.17$8.49
Max Pain$8.01$7.50$8.25$7.50$8.25
ATM IV23.7%19.7%26.4%19.7%26.0%
Expected Move6.9%5.6%7.6%5.6%7.5%
HV 20d20.6%15.6%25.6%17.9%22.6%
HV 60d21.7%20.6%23.2%21.8%22.0%
IV Rank18.2%6.1%26.7%6.1%25.4%
IV Percentile51.3%6.3%74.2%6.3%73.4%
Term Structure0.6%-2.1%13.4%3.0%-0.9%
VWIV24.2%20.4%26.8%20.8%26.5%
Skew 25d3.9%1.1%7.7%3.8%5.6%
Skew 10d11.3%1.7%24.1%11.2%1.8%
Call IV 25d23.0%20.5%25.9%21.1%24.1%
Put IV 25d26.9%22.5%30.4%24.9%29.7%
Bid-Ask Spread %75.0341.3192.7982.5754.09
Gamma HHI0.310.140.470.150.47
Net GEX335.9K137.1K537.8K182.4K410.3K
Net DEX-13.0M-16.7M-9.7M-10.2M-13.2M
Net VEX-37.6K-42.0K-32.3K-39.7K-35.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.480.1415.439.7214.11
Total Volume10,234.18230426,72825,39223,940
Total OI77,431.81871,70484,93674,78873,264

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-03-02$8.17$7.5019.7%5.6%17.9%6.1%20.8%3.8%3.0%182.4K-10.2M-39.7K9.7282.57N/AN/A2,36823,02421,17653,612
2015-03-03$8.14$7.5021.1%6.0%18.0%10.4%20.7%1.3%2.8%176.8K-10.2M-38.3K10.5584.45N/AN/A2,20023,21621,07253,592
2015-03-04$8.16$7.5019.7%5.7%18.0%6.3%20.4%3.2%4.0%171.5K-11.0M-32.3K9.1646.00N/AN/A2,53223,20021,09253,820
2015-03-05$8.07$8.0022.1%7.2%17.6%13.6%25.9%1.1%-1.7%147.4K-9.7M-36.9K9.3388.46N/AN/A2,49623,27620,78054,140
2015-03-06$8.10$8.0021.0%6.7%16.6%10.1%23.8%1.8%0.1%137.1K-9.8M-38.3K7.4984.05N/AN/A3,14823,58020,95654,284
2015-03-09$8.16$8.0021.8%6.7%16.5%12.6%23.0%2.7%0.1%153.8K-10.7M-37.5K0.3479.80N/AN/A79227221,83654,612
2015-03-10$8.12$8.0023.2%7.2%15.6%16.7%23.0%4.1%-0.7%165.7K-11.1M-35.9K1.4181.83N/AN/A38454022,31254,628
2015-03-11$8.45$8.0024.6%7.1%20.3%21.1%25.8%3.1%-1.1%188.3K-13.0M-38.1K0.1481.40N/AN/A8,2521,16022,51254,932
2015-03-12$8.57$8.0025.0%7.2%20.8%22.3%25.2%5.3%-0.7%484.8K-15.9M-41.7K0.3081.08N/AN/A1,10032828,24855,264
2015-03-13$8.46$8.0024.9%7.1%21.5%21.9%24.2%1.3%-0.1%433.8K-14.8M-41.5K0.4084.58N/AN/A90035628,08455,444
2015-03-16$8.53$8.0024.7%7.1%21.5%21.5%25.4%3.1%-0.3%455.9K-15.7M-37.8K0.2588.84N/AN/A86021628,48855,672
2015-03-17$8.59$8.0025.9%7.4%21.5%24.9%25.6%4.2%-1.6%493.4K-15.9M-42.0K0.2988.24N/AN/A2728028,72855,840
2015-03-18$8.53$8.0024.6%7.0%21.7%21.0%23.9%5.2%-0.3%493.4K-15.9M-38.0K0.3689.71N/AN/A47617228,79655,840
2015-03-19$8.53$8.0024.7%7.1%21.7%21.5%24.1%4.2%-0.7%537.8K-16.2M-34.5K0.2480.67N/AN/A56413628,97255,964
2015-03-20$8.56$8.0025.1%7.2%21.6%22.5%25.9%5.4%-2.0%397.1K-16.7M-36.2K1.0881.45N/AN/A1,8562,00028,88456,036
2015-03-23$8.57$8.2523.8%6.8%21.3%18.8%25.1%4.2%13.4%427.6K-13.9M-36.9K0.3262.12N/AN/A49616024,95246,752
2015-03-24$8.46$8.2523.6%6.8%21.9%18.0%24.5%4.0%0.6%410.2K-13.1M-36.0K0.9192.79N/AN/A60455224,96446,804
2015-03-25$8.25$8.2524.6%7.0%23.8%21.0%24.9%2.4%-0.3%325.6K-11.2M-36.7K1.2272.61N/AN/A44854824,93247,244
2015-03-26$8.48$8.2523.6%6.8%25.6%17.9%23.5%7.0%0.8%391.6K-11.9M-41.3K12.7653.42N/AN/A1,78422,77225,27647,632
2015-03-27$8.46$8.2524.5%7.0%24.1%20.9%24.3%7.7%0.2%391.8K-12.8M-35.7K2.8051.28N/AN/A8022425,33647,712
2015-03-30$8.50$8.2526.4%7.6%22.7%26.7%26.8%4.5%-2.1%412.7K-13.3M-35.5K15.4341.31N/AN/A1,44822,34025,36047,656
2015-03-31$8.49$8.2526.0%7.5%22.6%25.4%26.5%5.6%-0.9%410.3K-13.2M-35.4K14.1154.09N/AN/A1,58422,35625,49647,768