IBKR Options History — April 2015

In April 2015, IBKR traded between $8.11 and $8.65. ATM implied volatility averaged 24.2%, placing in the 20.0% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 2.3% (HV 20d: 21.9%). Max pain ranged from $8.00 to $8.25. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 9.75.

Notable Days

  • 2015-04-22: Highest Volume — 40,260 contracts
  • 2015-04-22: Largest IV drop — 33.4% change
  • 2015-04-21: Highest IV Rank — 33.6%
  • 2015-04-21: Largest Expected Move — 8.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.42$8.11$8.65$8.60$8.48
Max Pain$8.23$8.00$8.25$8.25$8.25
ATM IV24.2%19.1%28.7%25.3%20.4%
Expected Move7.0%5.5%8.2%7.3%5.8%
HV 20d21.9%16.1%29.2%22.9%28.0%
HV 60d21.4%19.0%23.0%22.0%23.0%
IV Rank20.0%4.3%33.6%23.3%8.3%
IV Percentile53.1%2.8%89.3%71.4%15.5%
Term Structure-1.7%-4.5%1.0%0.1%0.5%
VWIV25.2%19.7%30.0%25.9%20.6%
Skew 25d3.8%1.5%5.7%4.5%3.5%
Skew 10d9.0%-1.6%22.2%10.3%7.4%
Call IV 25d23.6%18.9%27.4%21.1%19.3%
Put IV 25d27.4%21.0%32.2%25.6%22.9%
Bid-Ask Spread %55.8128.85118.24118.2440.52
Gamma HHI0.330.250.530.520.25
Net GEX219.4K-79.8K483.0K448.6K209.1K
Net DEX-11.7M-15.4M-6.6M-13.6M-13.2M
Net VEX-40.3K-47.3K-33.5K-35.3K-40.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio9.754.0624.6815.258.89
Total Volume26,513.7147,90840,26023,84826,116
Total OI84,601.71473,24891,60073,24889,144

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-04-01$8.60$8.2525.3%7.3%22.9%23.3%25.9%4.5%0.1%448.6K-13.6M-35.3K15.25118.24N/AN/A1,46822,38025,40047,848
2015-04-02$8.55$8.2523.5%7.4%22.5%17.8%26.6%3.9%-1.9%457.7K-13.8M-33.9K10.9748.90N/AN/A2,03622,33225,45647,932
2015-04-06$8.48$8.2527.3%7.3%22.9%29.2%27.8%3.6%-1.3%479.0K-13.5M-33.5K15.5364.88N/AN/A1,43622,30826,03248,016
2015-04-07$8.46$8.2522.1%7.5%22.9%13.5%25.8%3.4%-2.9%483.0K-12.7M-33.9K11.6796.68N/AN/A1,98023,11226,36448,168
2015-04-08$8.41$8.2526.2%7.5%22.9%26.1%28.6%3.5%-2.2%383.4K-11.8M-33.8K24.6851.36N/AN/A3087,60026,77248,772
2015-04-09$8.42$8.0025.4%7.3%17.8%23.4%28.8%5.4%-1.9%154.7K-10.1M-39.0K19.6655.12N/AN/A1,54030,28426,98455,768
2015-04-10$8.39$8.0026.1%7.5%16.9%25.5%26.2%5.3%-2.5%136.8K-9.9M-40.4K4.0651.99N/AN/A5,95624,20427,21255,864
2015-04-13$8.36$8.2527.6%7.9%16.4%30.2%26.9%4.4%-3.6%238.6K-11.0M-43.2K4.1735.90N/AN/A5,80424,20431,76057,140
2015-04-14$8.28$8.2527.6%7.9%16.4%30.2%30.0%4.9%-2.4%81.6K-9.4M-42.7K9.6577.77N/AN/A2,38823,05231,78457,348
2015-04-15$8.23$8.2527.5%7.9%16.1%29.7%26.7%5.1%-4.4%62.8K-9.0M-42.2K10.3841.44N/AN/A2,22023,04432,18857,504
2015-04-16$8.27$8.2526.9%7.7%16.1%27.9%27.5%3.8%-2.4%38.1K-9.2M-42.1K6.9645.37N/AN/A3,52824,56432,31257,528
2015-04-17$8.13$8.2527.7%7.9%17.1%30.6%27.7%5.7%-4.5%-6.1K-6.6M-44.6K5.7344.79N/AN/A3,96022,70832,93658,664
2015-04-20$8.22$8.2527.6%7.9%17.6%30.1%27.8%5.6%-4.5%16.3K-8.8M-43.6K7.0951.60N/AN/A3,37223,90826,41657,080
2015-04-21$8.11$8.2528.7%8.2%18.1%33.6%28.8%4.0%-2.6%-79.8K-6.8M-47.3K7.5029.24N/AN/A3,09623,22027,50459,132
2015-04-22$8.63$8.2519.1%5.5%29.2%4.5%23.5%3.1%0.5%193.9K-14.4M-45.0K8.2868.62N/AN/A4,34035,92028,37260,244
2015-04-23$8.55$8.2520.0%5.7%27.9%7.1%20.0%2.5%-0.2%219.8K-14.1M-39.9K5.2230.30N/AN/A4,66824,34428,19258,812
2015-04-24$8.61$8.2519.3%5.5%26.4%5.1%19.7%1.5%1.0%343.7K-15.4M-40.8K6.9751.02N/AN/A3,34823,34829,65259,320
2015-04-27$8.48$8.2520.7%5.9%27.0%9.2%20.4%1.7%-0.2%196.8K-13.1M-40.4K8.1728.85N/AN/A2,84823,27228,80859,616
2015-04-28$8.56$8.2521.0%6.0%27.2%10.2%20.5%1.7%-0.7%259.0K-14.3M-43.3K7.0241.50N/AN/A3,28423,06429,58859,824
2015-04-29$8.65$8.2519.1%5.5%27.4%4.3%20.4%3.4%1.0%290.9K-15.4M-39.6K6.9598.00N/AN/A3,30022,92429,33659,844
2015-04-30$8.48$8.2520.4%5.8%28.0%8.3%20.6%3.5%0.5%209.1K-13.2M-40.9K8.8940.52N/AN/A2,64023,47629,29259,852