IT Options History — April 2008

In April 2008, IT traded between $19.97 and $22.94. ATM implied volatility averaged 45.3%, placing in the 70.1% IV rank vs the trailing year. The 30-day expected move averaged 13.2%. IV traded below realized volatility by 3.9% (HV 20d: 49.2%). Max pain ranged from $20.00 to $22.50. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 0.15.

Notable Days

  • 2008-04-18: Highest Volume — 320 contracts
  • 2008-04-10: Largest IV spike — 12.3% change
  • 2008-04-15: Highest IV Rank — 78.8%
  • 2008-04-15: Largest Expected Move — 14.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.38$19.97$22.94$19.97$22.92
Max Pain$20.34$20.00$22.50$20.00$20.00
ATM IV45.3%38.4%48.9%43.7%47.2%
Expected Move13.2%11.9%14.0%12.5%13.5%
HV 20d49.2%44.5%51.9%50.7%48.5%
HV 60d54.3%52.3%55.7%54.5%55.7%
IV Rank70.1%52.9%78.8%65.9%74.8%
IV Percentile87.3%58.7%96.8%87.7%89.7%
Term Structure-1.3%-3.8%4.5%0.9%-3.6%
VWIV46.9%44.6%50.1%44.6%46.7%
Skew 25d4.4%-0.1%9.3%5.4%2.2%
Skew 10d12.1%-4.9%21.5%11.8%4.6%
Call IV 25d42.3%38.6%47.3%41.5%41.7%
Put IV 25d46.7%43.5%50.0%46.9%43.9%
Bid-Ask Spread %66.9143.7388.7988.7982.51
Gamma HHI0.590.270.820.670.46
Net GEX14.9K-1.0K39.0K18.3K6.7K
Net DEX-583.3K-1.0M-319.5K-319.5K-635.7K
Net VEX-3.0K-3.4K-2.8K-3.3K-2.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.150.002.000.000.00
Total Volume33.36403203523
Total OI1,128.8181,0311,2341,0911,129

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-04-01$19.97$20.0043.7%12.5%50.7%65.9%0.0%5.4%0.9%18.3K-319.5K-3.3K0.0088.79350566525
2008-04-02$20.34$20.0041.4%11.9%50.7%60.3%0.0%3.3%3.0%20.9K-483.8K-3.4K0.0086.0390601525
2008-04-03$20.68$20.0042.1%12.1%50.9%62.2%0.0%5.4%4.5%21.2K-529.4K-3.3K0.0086.4510592525
2008-04-04$20.76$22.5042.9%12.8%49.8%64.0%0.0%5.9%-0.9%20.9K-570.2K-3.1K0.0046.5720591525
2008-04-07$20.72$22.5038.4%12.8%48.2%52.9%0.0%2.6%-1.2%23.6K-600.9K-3.1K0.0048.4000589525
2008-04-08$20.89$22.5042.8%12.9%46.8%63.7%44.6%4.5%-1.4%24.8K-608.0K-3.0K0.0045.23280589525
2008-04-09$20.06$20.0040.5%12.8%44.5%58.2%0.0%0.4%-1.6%31.3K-405.3K-3.2K0.0049.76100617525
2008-04-10$21.12$20.0045.5%13.1%47.2%70.5%44.6%5.5%-1.6%23.5K-705.0K-2.9K0.0050.1080622525
2008-04-11$20.09$20.0044.4%12.7%50.4%67.7%45.4%-0.1%-1.2%35.5K-472.4K-3.1K0.0043.7320630525
2008-04-14$20.33$20.0045.0%12.9%49.7%69.3%0.0%3.2%-1.2%39.0K-545.4K-2.9K0.0059.5000632525
2008-04-15$20.92$20.0048.9%14.0%49.1%78.8%48.9%6.0%-1.5%29.1K-734.5K-2.9K0.5055.808040632525
2008-04-16$22.31$20.0046.5%13.3%51.2%72.8%0.0%9.1%1.0%297-1.0M-2.8K0.0058.02430657565
2008-04-17$21.69$20.0047.1%13.5%51.9%74.5%0.0%4.9%-1.7%-1.0K-919.1K-2.8K0.0072.86100659565
2008-04-18$22.35$20.0046.5%13.3%51.4%73.0%46.7%1.9%-0.9%-184-1.0M-2.8K0.0365.5231010669565
2008-04-21$21.92$20.0046.6%13.4%49.8%73.2%46.5%3.8%-2.2%5.0K-434.9K-3.0K2.0073.741020479552
2008-04-22$21.42$20.0048.5%13.9%50.5%77.8%48.4%3.8%-2.8%4.3K-360.6K-3.1K0.0076.04035479552
2008-04-23$21.65$20.0048.0%13.8%49.5%76.8%0.0%4.6%-3.6%3.1K-336.5K-3.3K0.0072.0270486607
2008-04-24$22.41$20.0047.8%13.7%50.0%76.0%0.0%5.0%-3.8%4.3K-480.8K-3.1K0.0080.27230486607
2008-04-25$22.94$20.0048.2%13.8%46.9%77.2%0.0%9.3%-3.5%4.7K-589.2K-3.1K0.0077.44010504607
2008-04-28$22.62$20.0047.7%13.7%47.5%76.0%50.1%6.5%-2.4%5.6K-575.6K-2.9K0.0072.4480504607
2008-04-29$22.16$20.0047.6%13.7%47.7%75.7%0.0%2.5%-3.1%5.9K-495.1K-3.0K0.0080.80010512607
2008-04-30$22.92$20.0047.2%13.5%48.5%74.8%46.7%2.2%-3.6%6.7K-635.7K-2.8K0.0082.51230512617