IT Options History — October 2008

In October 2008, IT traded between $15.67 and $21.05. ATM implied volatility averaged 96.8%, placing in the 53.2% IV rank vs the trailing year. The 30-day expected move averaged 24.7%. IV traded above realized volatility by 13.4% (HV 20d: 83.4%). Max pain ranged from $17.50 to $22.50. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 1 of 23 days. Put/call ratio averaged 2.64.

Notable Days

  • 2008-10-10: Highest Volume — 138 contracts
  • 2008-10-06: Largest IV spike — 170.4% change
  • 2008-10-06: Highest IV Rank — 100.0%
  • 2008-10-29: Largest Expected Move — 34.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.99$15.67$21.05$21.05$18.40
Max Pain$18.70$17.50$22.50$22.50$17.50
ATM IV96.8%48.8%158.7%48.8%76.6%
Expected Move24.7%14.0%34.0%14.0%22.0%
HV 20d83.4%64.4%95.3%68.8%91.3%
HV 60d63.2%51.7%69.8%51.7%69.8%
IV Rank53.2%21.6%100.0%21.6%35.8%
IV Percentile96.0%90.5%100.0%90.5%90.5%
Term Structure-14.6%-39.2%6.0%6.0%-5.1%
VWIV84.7%56.1%125.9%56.1%91.2%
Skew 25d4.5%-30.9%23.1%4.2%5.4%
Skew 10d11.0%-19.8%41.8%7.3%23.9%
Call IV 25d81.4%45.1%114.5%50.4%71.6%
Put IV 25d85.9%41.2%123.0%54.5%77.0%
Bid-Ask Spread %107.5874.89162.67108.57101.30
Gamma HHI0.340.200.560.400.20
Net GEX4.5K2.1K9.4K9.4K3.4K
Net DEX101.7K-67.1K317.7K-67.1K132.0K
Net VEX-2.3K-3.4K-1.4K-3.4K-2.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.640.0020.000.000.00
Total Volume23.91301381115
Total OI970.0439141,0399241,039

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-10-01$21.05$22.5048.8%14.0%68.8%21.6%0.0%4.2%6.0%9.4K-67.1K-3.4K0.00108.57110658266
2008-10-02$19.34$22.5060.7%17.4%73.5%35.8%0.0%-30.9%-24.1%6.4K38.8K-2.9K0.00113.71015648266
2008-10-03$19.72$22.5057.8%16.6%74.3%32.3%56.1%7.0%-2.4%5.0K153.4K-2.5K2.33108.6937648266
2008-10-06$18.60$22.50156.2%25.9%74.5%100.0%0.0%11.8%-19.7%5.0K50.3K-2.8K0.00152.54025651272
2008-10-07$17.84$22.5072.3%18.6%65.7%33.1%62.8%0.9%-10.7%2.1K225.8K-2.1K0.8885.744035651292
2008-10-08$17.87$20.00106.6%33.2%64.4%60.5%74.3%8.5%-13.0%3.1K-28.5K-3.1K0.10140.50101691318
2008-10-09$17.24$17.50145.7%24.5%64.4%91.7%0.0%-3.2%-19.0%3.3K317.7K-1.4K0.00162.6700701318
2008-10-10$17.61$17.50158.7%31.0%65.9%100.0%0.0%-5.9%-17.1%3.8K65.3K-2.8K2.94140.9835103701318
2008-10-13$20.34$17.5096.1%24.9%86.8%51.0%86.1%10.9%-18.2%5.7K-42.8K-2.9K0.0094.40310679293
2008-10-14$19.23$17.5099.2%22.8%88.0%53.4%63.3%4.6%-7.8%5.1K-26.0K-2.8K0.2993.223410704293
2008-10-15$17.44$17.50121.6%23.7%92.5%71.0%81.1%6.6%-8.4%5.2K32.5K-2.5K0.7774.891310724289
2008-10-16$18.55$17.5082.1%23.5%95.3%40.1%0.0%10.2%-14.5%4.2K143.5K-2.2K0.2591.88246734285
2008-10-17$18.15$17.5088.4%25.4%91.3%45.0%0.0%12.9%-10.8%5.9K64.4K-2.6K0.0086.8140751285
2008-10-20$18.62$17.5074.9%21.5%92.4%34.4%0.0%4.4%-5.0%6.5K58.4K-2.3K0.0093.3400682249
2008-10-21$17.80$17.5076.7%22.0%92.8%35.9%0.0%6.2%-0.3%5.2K87.7K-2.0K0.0083.7400682249
2008-10-22$16.91$17.5088.1%25.3%93.7%44.8%85.5%8.6%-15.4%4.3K131.6K-1.8K0.0090.4610682249
2008-10-23$16.64$17.5084.1%24.1%91.0%41.7%0.0%6.9%-9.6%4.5K129.0K-1.8K1.2594.7345682249
2008-10-24$16.22$17.50112.6%32.3%91.0%64.0%120.1%23.1%-33.3%4.0K123.5K-1.8K12.50141.64225685248
2008-10-27$15.67$17.50114.1%32.7%88.9%65.1%0.0%4.5%-29.2%3.1K149.8K-1.6K0.00101.01020685273
2008-10-28$16.66$17.5091.1%26.1%92.3%47.1%0.0%5.3%-17.8%2.3K233.6K-1.4K0.0091.5900685293
2008-10-29$16.38$17.50118.4%34.0%89.6%68.5%125.9%6.8%-39.2%2.7K189.4K-1.5K20.00109.76120685293
2008-10-30$17.53$17.5094.6%27.1%89.7%49.9%91.2%-5.8%-20.8%3.0K177.7K-1.9K1.00112.082020686313
2008-10-31$18.40$17.5076.6%22.0%91.3%35.8%0.0%5.4%-5.1%3.4K132.0K-2.1K0.00101.30150706333