IT Options History — August 2007

In August 2007, IT traded between $21.65 and $24.32. ATM implied volatility averaged 33.5%, placing in the 40.8% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded below realized volatility by 13.7% (HV 20d: 47.2%). Max pain ranged from $22.50 to $25.00. Net GEX was positive for 13 of 23 trading days. Term structure was in contango for 7 of 23 days. Put/call ratio averaged 2.64.

Notable Days

  • 2007-08-07: Highest Volume — 345 contracts
  • 2007-08-10: Largest IV spike — 60.1% change
  • 2007-08-21: Highest IV Rank — 48.7%
  • 2007-08-21: Largest Expected Move — 10.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.47$21.65$24.32$21.66$22.11
Max Pain$24.67$22.50$25.00$22.50$25.00
ATM IV33.5%21.7%36.7%34.0%33.7%
Expected Move9.9%9.4%10.5%9.8%9.7%
HV 20d47.2%34.8%54.4%34.8%43.7%
HV 60d34.7%29.8%36.9%29.8%36.7%
IV Rank40.8%11.8%48.7%42.2%41.4%
IV Percentile88.3%18.5%97.5%96.6%86.8%
Term Structure-0.7%-2.7%2.2%-1.1%2.2%
VWIV32.7%23.8%44.5%30.4%44.5%
Skew 25d2.6%-6.2%9.9%1.1%7.8%
Skew 10d3.2%-7.9%15.6%-4.9%13.1%
Call IV 25d32.7%27.3%40.6%31.9%27.9%
Put IV 25d35.3%29.5%39.7%33.1%35.7%
Bid-Ask Spread %49.6820.5692.7892.7854.91
Gamma HHI0.520.400.690.630.51
Net GEX9.2K-9.4K38.3K28.8K-4.4K
Net DEX380.0K-430.2K750.1K431.4K634.4K
Net VEX-3.8K-4.3K-2.9K-3.4K-3.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.640.0011.361.001.00
Total Volume57.4350345200
Total OI1,339.6961,2361,5311,3981,267

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-08-01$21.66$22.5034.0%9.8%34.8%42.2%30.4%1.1%-1.1%28.8K431.4K-3.4K1.0092.781010821577
2007-08-02$22.38$22.5033.2%9.5%37.4%40.1%23.8%2.9%-0.9%34.2K218.2K-3.8K0.0020.56011831587
2007-08-03$21.67$22.5034.2%9.8%38.6%42.6%0.0%0.1%-1.8%30.4K443.7K-3.2K0.4059.412510831580
2007-08-06$22.85$25.0034.5%9.4%43.6%43.4%0.0%0.5%0.0%38.3K-43.9K-3.9K1.0037.6944856584
2007-08-07$23.66$25.0029.6%9.6%45.3%31.2%33.4%2.4%-0.8%28.2K-430.2K-4.1K0.1041.0131530849588
2007-08-08$24.32$25.0034.0%9.7%46.3%42.1%27.8%4.5%-2.3%6.4K-414.3K-4.0K0.1622.606110711614
2007-08-09$23.90$25.0021.7%9.4%46.7%11.8%32.0%4.5%-2.2%3.8K-232.2K-3.9K0.5345.49158700621
2007-08-10$23.06$25.0034.8%9.7%48.2%44.0%33.6%2.8%-0.9%13.4K141.9K-3.7K0.0037.30074701629
2007-08-13$22.54$25.0035.2%10.1%48.4%45.0%0.0%2.7%-2.7%16.4K433.2K-3.7K10.0041.75110701697
2007-08-14$22.63$25.0030.9%9.6%48.4%34.5%32.8%1.7%-1.4%21.4K353.7K-3.6K6.3341.36638701687
2007-08-15$22.23$25.0025.4%10.2%48.6%20.9%35.6%0.4%-2.5%34.5K595.7K-3.3K0.2545.704010701677
2007-08-16$21.65$25.0034.9%10.0%48.8%44.3%31.5%7.2%-1.7%9.2K750.1K-2.9K11.3656.9614159731677
2007-08-17$23.00$25.0034.8%10.0%54.1%44.1%34.3%-6.2%-1.1%13.7K212.8K-4.3K3.3855.5573247727804
2007-08-20$22.51$25.0036.0%10.3%54.4%47.0%0.0%2.4%-0.2%-8.9K499.3K-4.2K0.0053.23100525711
2007-08-21$22.26$25.0036.7%10.5%51.9%48.7%0.0%-1.0%-0.6%-9.2K574.2K-4.2K0.0049.5800535734
2007-08-22$22.37$25.0035.8%10.3%51.9%46.5%0.0%2.7%-0.6%-9.4K569.9K-4.2K0.0052.5000535734
2007-08-23$21.68$25.0036.3%10.4%51.4%47.7%0.0%-2.3%0.4%-5.9K719.3K-3.8K0.0046.9900535734
2007-08-24$22.14$25.0035.5%10.2%51.6%45.8%31.2%0.9%0.5%-7.5K644.6K-3.8K1.0047.891010535724
2007-08-27$22.17$25.0034.9%10.0%51.5%44.2%34.6%0.7%0.3%-8.4K650.5K-3.7K3.1049.462062535734
2007-08-28$21.84$25.0034.7%9.9%47.5%43.8%44.5%8.3%0.0%-4.5K694.0K-3.6K0.0057.6203545723
2007-08-29$22.20$25.0034.6%9.9%46.3%43.7%0.0%9.9%1.5%-5.3K627.8K-3.7K1.0057.801010545712
2007-08-30$21.88$25.0034.5%9.9%45.1%43.3%0.0%5.3%-0.0%-3.4K666.5K-3.6K0.0074.4801555712
2007-08-31$22.11$25.0033.7%9.7%43.7%41.4%0.0%7.8%2.2%-4.4K634.4K-3.6K0.0054.9100555712