IT Options History — March 2008 In March 2008, IT traded between $17.98 and $21.21. ATM implied volatility averaged 41.0%, placing in the 59.5% IV rank vs the trailing year. The 30-day expected move averaged 11.7%. IV traded below realized volatility by 9.2% (HV 20d: 50.2%). Max pain ranged from $20.00 to $22.50. Net GEX was positive for 12 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.50.
Notable Days 2008-03-12 : Highest Volume — 370 contracts2008-03-07 : Largest IV spike — 34.3% change2008-03-10 : Highest IV Rank — 69.6%2008-03-07 : Largest Expected Move — 12.4%Monthly Statistics Metric Avg Min Max Open Close Price $19.62 $17.98 $21.21 $19.22 $19.34 Max Pain $20.50 $20.00 $22.50 $22.50 $20.00 ATM IV 41.0% 32.1% 45.2% 39.2% 41.6% Expected Move 11.7% 9.2% 12.4% 11.2% 11.9% HV 20d 50.2% 41.0% 68.1% 67.9% 49.7% HV 60d 53.3% 52.2% 54.6% 52.8% 54.3% IV Rank 59.5% 37.5% 69.6% 54.8% 60.9% IV Percentile 77.1% 38.5% 90.5% 70.2% 78.2% Term Structure 1.6% -0.4% 3.6% 1.6% 3.6% VWIV 41.5% 40.0% 42.4% 40.9% 42.1% Skew 25d 2.7% -10.1% 10.1% 7.8% 5.1% Skew 10d 7.7% -8.5% 21.6% 21.6% 9.3% Call IV 25d 40.2% 31.5% 43.7% 37.7% 41.6% Put IV 25d 42.9% 27.3% 49.7% 45.5% 46.8% Bid-Ask Spread % 79.68 61.45 102.96 89.09 88.24 Gamma HHI 0.50 0.27 0.69 0.31 0.66 Net GEX 5.5K -5.9K 17.1K -5.1K 17.0K Net DEX -159.0K -612.5K 137.6K 27.9K -206.2K Net VEX -2.6K -3.6K -1.5K -1.6K -3.3K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.50 0.00 2.50 0.00 0.25 Total Volume 42.4 0 370 10 6 Total OI 948.05 653 1,262 653 1,085
Daily Data (20 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Vol Put Vol Call OI Put OI 2008-03-03 $19.22 $22.50 39.2% 11.2% 67.9% 54.8% 0.0% 7.8% 1.6% -5.1K 27.9K -1.6K 0.00 89.09 0 10 286 367 2008-03-04 $19.56 $22.50 41.5% 11.9% 67.3% 60.7% 0.0% -1.4% -0.4% -5.9K 4.6K -1.6K 0.00 93.92 0 0 286 377 2008-03-05 $19.50 $22.50 40.9% 11.7% 66.8% 59.1% 40.9% -5.1% 0.7% -5.9K 6.0K -1.6K 0.00 94.72 0 5 286 377 2008-03-06 $19.01 $22.50 32.1% 9.2% 68.1% 37.5% 0.0% -10.1% 2.5% -5.9K 54.9K -1.6K 0.00 102.96 0 10 286 382 2008-03-07 $18.45 $20.00 43.1% 12.4% 44.1% 64.6% 0.0% 10.1% 1.2% -4.6K 124.1K -1.6K 0.00 72.80 0 20 286 392 2008-03-10 $17.98 $20.00 45.2% 12.3% 43.5% 69.6% 0.0% 7.2% 1.2% -2.8K 137.6K -1.5K 0.00 72.55 0 10 286 372 2008-03-11 $19.19 $20.00 39.7% 11.4% 48.4% 56.1% 0.0% -0.5% 2.5% -4.6K 63.9K -1.6K 0.00 67.76 5 0 286 382 2008-03-12 $19.67 $20.00 39.9% 11.3% 46.3% 56.7% 40.0% -0.2% 2.0% -5.5K 12.6K -1.5K 0.00 73.10 370 0 281 382 2008-03-13 $20.05 $20.00 40.3% 11.6% 41.9% 57.7% 0.0% 2.8% 1.8% 13.3K -379.7K -2.4K 0.00 74.40 0 165 620 382 2008-03-14 $19.54 $20.00 41.9% 12.0% 41.0% 61.7% 0.0% -0.3% 0.7% 10.9K -192.4K -3.1K 0.00 72.78 0 97 620 502 2008-03-17 $18.99 $20.00 41.0% 11.8% 42.6% 59.4% 0.0% 4.5% 2.1% 9.9K 219 -3.4K 2.50 75.56 12 30 620 599 2008-03-18 $19.94 $20.00 41.3% 11.8% 45.6% 60.0% 0.0% 6.0% 1.7% 6.9K -152.0K -3.6K 0.00 78.58 0 0 632 629 2008-03-19 $19.55 $20.00 41.9% 12.0% 43.9% 61.5% 42.4% 3.4% 0.2% 7.8K -117.5K -3.6K 0.25 71.41 40 10 632 619 2008-03-20 $20.27 $20.00 41.7% 12.0% 45.4% 61.1% 41.9% 5.5% 1.7% 6.7K -295.7K -3.5K 0.00 84.74 23 0 633 629 2008-03-24 $21.21 $20.00 42.6% 12.2% 47.8% 63.3% 0.0% 6.1% 0.0% 14.4K -612.5K -3.3K 0.00 77.97 0 10 572 509 2008-03-25 $21.06 $20.00 41.8% 12.0% 47.7% 61.3% 0.0% 5.3% 1.5% 14.8K -581.6K -3.3K 0.00 76.17 0 0 572 519 2008-03-26 $20.50 $20.00 41.9% 12.0% 48.1% 61.6% 0.0% 3.6% 2.2% 15.9K -483.6K -3.4K 0.00 61.45 0 0 572 519 2008-03-27 $20.10 $20.00 41.4% 11.9% 48.1% 60.4% 0.0% 2.0% 2.6% 17.1K -403.1K -3.4K 0.00 80.72 0 0 572 519 2008-03-28 $19.25 $20.00 42.0% 12.0% 50.6% 61.9% 42.1% 1.6% 1.8% 15.1K -188.1K -3.4K 0.25 84.67 20 5 572 519 2008-03-31 $19.34 $20.00 41.6% 11.9% 49.7% 60.9% 0.0% 5.1% 3.6% 17.0K -206.2K -3.3K 0.00 88.24 0 6 566 519
« Feb 2008 | All History | Apr 2008 » Home IT History March 2008