IT Options History — March 2007

In March 2007, IT traded between $20.01 and $23.95. ATM implied volatility averaged 22.6%. The 30-day expected move averaged 7.0%. IV traded below realized volatility by 9.0% (HV 20d: 31.5%). Max pain ranged from $17.50 to $22.50. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 0.76.

Notable Days

  • 2007-03-30: Highest Volume — 56 contracts
  • 2007-03-28: Largest IV spike — 25.7% change
  • 2007-03-05: Largest Expected Move — 7.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.49$20.01$23.95$20.98$23.95
Max Pain$20.15$17.50$22.50$17.50$20.00
ATM IV22.6%18.1%26.6%18.1%21.9%
Expected Move7.0%5.2%7.7%5.2%6.3%
HV 20d31.5%26.9%34.9%29.0%27.5%
HV 60d26.6%25.7%27.2%27.2%25.7%
Term Structure1.5%-0.3%9.1%8.3%2.3%
VWIV23.9%16.9%26.8%25.1%16.9%
Skew 25d2.6%-2.8%16.4%-0.1%16.4%
Skew 10d3.2%-0.7%6.7%-0.7%4.1%
Call IV 25d22.4%19.0%27.4%19.0%21.9%
Put IV 25d25.0%18.4%38.3%18.8%38.3%
Bid-Ask Spread %86.1034.72101.2652.67100.65
Gamma HHI0.800.500.930.660.77
Net GEX14.3K-17.9K23.0K14.0K21.9K
Net DEX-511.2K-665.7K-231.8K-341.7K-665.7K
Net VEX-1.2K-1.4K-970-1.2K-1.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.760.008.330.008.33
Total Volume13.591056356
Total OI507.591347707600367

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-03-01$20.98$17.5018.1%5.2%29.0%0.0%0.0%-0.1%8.3%14.0K-341.7K-1.2K0.0052.6730354246
2007-03-02$20.70$17.5020.9%6.0%26.9%0.0%0.0%-2.8%2.1%14.5K-309.8K-1.2K0.0034.7200354246
2007-03-05$20.01$0.0025.8%7.7%28.9%0.0%0.0%2.1%0.1%15.4K-231.8K-9700.6785.431510354246
2007-03-06$20.70$0.0019.5%7.5%31.3%0.0%0.0%-2.8%1.6%15.7K-303.9K-1.1K0.0088.2604350255
2007-03-07$20.80$0.0019.4%7.6%29.0%0.0%0.0%0.0%0.5%15.4K-306.5K-1.1K0.0081.5620350260
2007-03-08$21.41$0.0020.8%7.2%30.3%0.0%0.0%0.0%-0.1%12.2K-379.3K-1.2K0.0081.2850352256
2007-03-09$22.05$0.0020.0%7.1%32.3%0.0%25.1%16.4%0.6%8.1K-441.4K-1.2K0.0081.58400347256
2007-03-12$22.47$22.5022.5%7.3%32.9%0.0%0.0%0.0%0.2%8.6K-549.1K-1.3K0.0089.2840387256
2007-03-13$22.19$22.5019.0%7.7%32.9%0.0%26.8%0.0%0.9%6.9K-499.5K-1.3K0.6189.303320384256
2007-03-14$22.48$22.5021.4%7.7%33.0%0.0%20.0%0.0%-0.2%-2.2K-561.3K-1.4K0.0088.3290417276
2007-03-15$22.83$20.0025.7%7.4%33.4%0.0%0.0%0.0%0.5%3.1K-664.8K-1.4K0.0090.0150426280
2007-03-16$22.56$20.0025.0%7.2%33.5%0.0%0.0%0.0%1.2%-17.9K-616.8K-1.4K0.0090.58260431276
2007-03-19$23.16$20.0026.3%7.5%34.5%0.0%26.3%0.0%-0.0%22.9K-540.2K-1.4K0.0090.191203485
2007-03-20$23.19$20.0026.6%7.6%34.4%0.0%26.5%0.0%-0.3%22.8K-554.0K-1.3K0.0092.60103485
2007-03-21$23.64$20.0025.2%7.2%34.7%0.0%0.0%0.0%0.6%21.5K-611.8K-1.3K0.0087.44103485
2007-03-22$23.76$20.0023.1%6.6%34.7%0.0%0.0%0.0%0.9%21.0K-630.1K-1.2K0.0090.77403485
2007-03-23$23.52$20.0024.7%7.1%34.9%0.0%0.0%0.0%1.2%22.5K-610.5K-1.3K0.0083.16003525
2007-03-26$23.54$20.0025.9%7.4%34.8%0.0%25.8%0.0%0.1%23.0K-605.4K-1.2K4.0097.93143525
2007-03-27$23.58$20.0020.3%5.8%28.0%0.0%16.9%0.0%9.1%22.8K-614.9K-1.2K0.00100.182003529
2007-03-28$23.38$20.0025.5%7.3%28.5%0.0%0.0%0.0%0.6%22.7K-570.7K-1.2K0.0097.11043429
2007-03-29$23.86$20.0019.0%5.5%28.5%0.0%0.0%0.0%2.2%20.5K-636.9K-1.1K0.00101.262003425
2007-03-30$23.95$20.0021.9%6.3%27.5%0.0%0.0%0.0%2.3%21.9K-665.7K-1.1K8.33100.656503625