IT Options History — November 2008 In November 2008, IT traded between $13.53 and $19.38. ATM implied volatility averaged 77.8%, placing in the 36.8% IV rank vs the trailing year. The 30-day expected move averaged 21.8%. IV traded below realized volatility by 18.2% (HV 20d: 96.1%). Max pain ranged from $17.50 to $22.50. Net GEX was positive for 10 of 19 trading days. Term structure was in contango for 4 of 19 days. Put/call ratio averaged 0.91.
Notable Days 2008-11-25 : Highest Volume — 54 contracts2008-11-13 : Largest IV drop — 25.0% change2008-11-21 : Highest IV Rank — 45.3%2008-11-21 : Largest Expected Move — 25.5%Monthly Statistics Metric Avg Min Max Open Close Price $15.93 $13.53 $19.38 $19.10 $15.36 Max Pain $21.45 $17.50 $22.50 $17.50 $22.50 ATM IV 77.8% 64.3% 88.8% 75.4% 76.1% Expected Move 21.8% 18.4% 25.5% 21.6% 21.8% HV 20d 96.1% 76.9% 106.7% 89.9% 102.2% HV 60d 80.0% 69.7% 88.0% 70.0% 88.0% IV Rank 36.8% 26.1% 45.3% 34.9% 35.4% IV Percentile 88.7% 83.3% 92.9% 90.1% 85.3% Term Structure -3.9% -15.5% 10.9% -10.3% 5.0% VWIV 76.9% 73.4% 80.4% 73.4% 80.4% Skew 25d 7.1% -2.0% 18.0% 6.2% 15.7% Skew 10d 18.2% -2.6% 32.1% -2.6% 24.2% Call IV 25d 72.6% 62.6% 93.9% 72.7% 67.3% Put IV 25d 79.7% 71.2% 91.8% 78.9% 82.9% Bid-Ask Spread % 94.70 70.65 114.42 89.41 94.48 Gamma HHI 0.26 0.20 0.37 0.23 0.32 Net GEX 38 -2.7K 4.9K 4.5K -1.4K Net DEX 282.1K 67.1K 409.6K 73.2K 304.0K Net VEX -1.1K -2.2K -550 -2.2K -752 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.91 0.00 10.00 10.00 0.00 Total Volume 8 0 54 11 40 Total OI 993.263 788 1,047 1,024 842
Daily Data (19 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 2008-11-03 $19.10 $17.50 75.4% 21.6% 89.9% 34.9% 0.0% 6.2% -10.3% 4.5K 73.2K -2.2K 10.00 89.41 1 10 691 333 2008-11-04 $19.38 $17.50 73.4% 21.0% 88.6% 33.3% 0.0% 7.1% -5.8% 4.9K 67.1K -2.2K 0.00 89.04 0 0 691 343 2008-11-05 $17.56 $17.50 82.2% 23.6% 95.8% 40.1% 0.0% 3.6% -15.5% 2.4K 161.9K -1.7K 0.00 114.42 3 0 691 343 2008-11-06 $16.91 $17.50 79.6% 22.8% 95.9% 38.1% 0.0% 11.1% -7.2% 1.5K 215.7K -1.6K 0.00 95.07 0 0 694 343 2008-11-07 $17.21 $22.50 81.3% 20.2% 95.8% 39.5% 0.0% 8.3% -4.6% 1.2K 229.4K -1.7K 0.00 70.65 0 0 694 343 2008-11-10 $16.44 $22.50 74.9% 20.4% 80.0% 34.5% 0.0% 8.4% -2.0% 659 220.8K -1.4K 0.00 91.20 0 20 694 343 2008-11-11 $15.87 $22.50 82.4% 20.9% 78.8% 40.4% 0.0% 1.6% -4.1% -1.7K 340.1K -1.1K 0.00 84.03 1 0 694 353 2008-11-12 $14.59 $22.50 85.7% 21.8% 76.9% 42.9% 0.0% -0.3% -11.6% -1.6K 374.6K -814 0.00 87.28 3 0 694 353 2008-11-13 $17.16 $22.50 64.3% 18.4% 95.2% 26.1% 0.0% 5.8% -0.0% -1.5K 330.1K -1.1K 0.00 109.40 2 0 694 353 2008-11-14 $15.78 $22.50 76.4% 21.9% 99.2% 35.6% 0.0% 8.8% -4.3% -1.2K 294.0K -1.1K 0.00 93.20 2 0 691 353 2008-11-17 $16.00 $22.50 77.7% 22.3% 98.8% 36.7% 0.0% 9.2% -8.5% -2.5K 359.5K -923 0.00 86.86 2 0 691 353 2008-11-18 $15.10 $22.50 79.2% 22.7% 99.6% 37.8% 0.0% 18.0% -7.2% -2.7K 368.4K -835 0.00 99.12 1 0 691 353 2008-11-19 $13.75 $22.50 76.8% 22.0% 103.1% 36.0% 0.0% 0.7% 5.3% -1.5K 393.8K -599 0.00 101.61 5 0 691 353 2008-11-20 $13.53 $22.50 76.5% 21.9% 103.1% 35.7% 0.0% 10.3% 10.9% 335 409.6K -550 0.00 101.09 4 0 693 353 2008-11-21 $14.51 $22.50 88.8% 25.5% 106.7% 45.3% 0.0% -2.0% -14.9% 54 399.1K -879 0.00 106.46 4 0 693 353 2008-11-24 $14.38 $22.50 80.3% 23.0% 106.2% 38.7% 0.0% 1.7% -4.6% 455 251.8K -690 0.00 95.35 0 0 550 238 2008-11-25 $14.60 $22.50 75.4% 21.6% 103.6% 34.8% 73.4% 13.5% -0.2% 421 258.9K -668 0.00 89.32 0 54 550 238 2008-11-26 $15.37 $22.50 72.6% 20.8% 105.5% 32.6% 0.0% 7.9% 5.0% -1.8K 307.7K -804 0.00 101.25 0 0 550 292 2008-11-28 $15.36 $22.50 76.1% 21.8% 102.2% 35.4% 80.4% 15.7% 5.0% -1.4K 304.0K -752 0.00 94.48 0 40 550 292
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