IT Options History — June 2007

In June 2007, IT traded between $24.03 and $27.56. ATM implied volatility averaged 25.6%. The 30-day expected move averaged 7.6%. IV traded below realized volatility by 2.5% (HV 20d: 28.2%). Max pain ranged from $22.50 to $25.00. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 2.06.

Notable Days

  • 2007-06-22: Highest Volume — 215 contracts
  • 2007-06-13: Largest IV spike — 54.6% change
  • 2007-06-08: Largest Expected Move — 8.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.76$24.03$27.56$27.56$24.59
Max Pain$24.88$22.50$25.00$22.50$25.00
ATM IV25.6%20.5%36.5%20.5%25.5%
Expected Move7.6%5.9%8.0%5.9%7.3%
HV 20d28.2%26.3%38.6%38.6%27.9%
HV 60d29.0%27.6%30.5%28.3%29.9%
Term Structure1.2%-0.6%6.4%6.4%2.5%
VWIV26.2%25.1%27.8%25.1%25.7%
Skew 25d2.2%-2.8%8.2%1.0%8.0%
Skew 10d1.5%-6.2%15.4%2.5%5.0%
Call IV 25d25.4%20.4%28.0%26.3%20.4%
Put IV 25d27.6%22.6%29.1%27.3%28.5%
Bid-Ask Spread %48.608.1086.508.1028.32
Gamma HHI0.630.320.950.490.57
Net GEX2.2K-15.9K37.9K4.5K-4.4K
Net DEX-737.9K-1.7M351.4K-1.7M139.1K
Net VEX-2.6K-4.4K-1.7K-1.7K-4.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.060.0015.380.000.00
Total Volume37.048021500
Total OI913.1434361,0881,028953

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-06-01$27.56$22.5020.5%5.9%38.6%0.0%0.0%1.0%6.4%4.5K-1.7M-1.7K0.008.1000753275
2007-06-04$27.52$25.0023.3%7.0%27.5%0.0%25.1%-0.2%2.8%4.1K-1.7M-1.7K0.0051.89120753275
2007-06-05$27.17$25.0026.0%7.6%26.5%0.0%0.0%0.8%0.2%7.4K-1.6M-1.8K0.0082.7400763275
2007-06-06$26.80$25.0022.8%8.0%26.8%0.0%27.8%-2.4%-0.6%8.5K-1.6M-1.8K2.5049.35410763275
2007-06-07$26.15$25.0020.7%7.5%27.9%0.0%0.0%0.6%0.7%21.6K-1.4M-1.9K0.0062.0010763275
2007-06-08$26.57$25.0021.9%8.0%26.8%0.0%0.0%-2.8%-0.3%8.8K-1.5M-1.8K0.0060.4300764275
2007-06-11$26.47$25.0025.2%8.0%26.5%0.0%0.0%1.3%0.1%7.5K-1.5M-1.8K0.0059.6600764275
2007-06-12$25.68$25.0023.6%7.8%28.4%0.0%0.0%1.5%-0.2%37.9K-1.3M-1.9K0.0058.20190744275
2007-06-13$26.48$25.0036.5%7.9%30.4%0.0%0.0%2.7%0.7%7.5K-1.5M-1.7K0.0062.19040744275
2007-06-14$26.52$25.0026.9%7.7%27.5%0.0%0.0%1.2%0.5%1.7K-1.5M-1.8K2.2266.26920744315
2007-06-15$26.61$25.0027.2%7.8%27.5%0.0%0.0%0.3%-0.1%-895-1.5M-2.0K0.0086.5000753335
2007-06-18$26.10$25.0027.5%7.9%27.8%0.0%0.0%1.3%-0.6%-4.0K-102.2K-1.9K0.0025.92520201235
2007-06-19$25.62$25.0027.3%7.8%28.1%0.0%0.0%2.0%0.9%-1.1K-130.1K-2.2K2.1025.032042246235
2007-06-20$24.93$25.0026.5%7.6%29.0%0.0%0.0%-0.1%1.1%-3.0K-33.9K-2.5K15.3823.5413200266277
2007-06-21$24.90$25.0025.7%7.4%28.6%0.0%25.7%1.4%2.0%-15.9K163.6K-3.4K0.0023.01950269457
2007-06-22$24.03$25.0026.4%7.6%27.2%0.0%0.0%6.3%1.3%-7.3K230.7K-3.6K2.4750.0062153353457
2007-06-25$24.07$25.0026.4%7.6%27.3%0.0%0.0%6.7%2.1%-9.8K351.4K-4.4K0.0053.7102396568
2007-06-26$24.08$25.0027.1%7.8%26.3%0.0%0.0%7.0%0.9%-7.3K304.7K-4.3K0.0052.33110396538
2007-06-27$24.35$25.0025.8%7.4%27.0%0.0%0.0%8.2%2.3%-5.6K224.9K-4.3K0.0065.06110405538
2007-06-28$24.86$25.0025.4%7.3%27.9%0.0%0.0%0.7%2.7%-4.4K77.6K-4.4K0.0026.2802415538
2007-06-29$24.59$25.0025.5%7.3%27.9%0.0%0.0%8.0%2.5%-4.4K139.1K-4.4K0.0028.3200415538