IT Options History — December 2008

In December 2008, IT traded between $14.82 and $17.83. ATM implied volatility averaged 87.5%, placing in the 44.3% IV rank vs the trailing year. The 30-day expected move averaged 25.5%. IV traded above realized volatility by 10.8% (HV 20d: 76.7%). Max pain ranged from $15.00 to $22.50. Net GEX was positive for 9 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 4.00.

Notable Days

  • 2008-12-26: Highest Volume — 95 contracts
  • 2008-12-30: Largest IV spike — 48.6% change
  • 2008-12-23: Highest IV Rank — 74.3%
  • 2008-12-23: Largest Expected Move — 36.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.71$14.82$17.83$14.82$17.83
Max Pain$17.34$15.00$22.50$22.50$17.50
ATM IV87.5%63.5%125.9%88.4%116.0%
Expected Move25.5%18.2%36.1%25.3%33.3%
HV 20d76.7%53.9%103.0%100.5%53.9%
HV 60d86.8%83.6%88.8%88.1%83.6%
IV Rank44.3%25.6%74.3%45.0%66.6%
IV Percentile87.8%74.2%98.8%92.1%97.2%
Term Structure-0.5%-22.3%18.3%18.3%-22.3%
VWIV67.1%60.9%73.4%73.4%60.9%
Skew 25d18.2%-2.1%44.9%14.7%31.6%
Skew 10d24.1%-28.8%82.1%30.7%33.6%
Call IV 25d74.4%55.6%88.1%84.9%80.1%
Put IV 25d92.6%72.9%125.2%99.6%111.6%
Bid-Ask Spread %101.2057.16174.76104.92164.69
Gamma HHI0.300.210.440.370.25
Net GEX-316-2.8K3.1K-1.8K460
Net DEX171.4K-41.0K304.1K262.5K73.9K
Net VEX-1.0K-1.3K-813-1.1K-1.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.000.0020.000.000.00
Total Volume12.5095010
Total OI771.227482928872577

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-12-01$14.82$22.5088.4%25.3%100.5%45.0%0.0%14.7%18.3%-1.8K262.5K-1.1K0.00104.9200550322
2008-12-02$15.64$22.5083.7%24.0%101.7%41.4%0.0%7.1%6.4%-2.5K304.1K-8730.00100.2110550312
2008-12-03$16.29$22.5087.2%25.0%103.0%44.1%0.0%-2.1%3.4%-1.8K209.1K-1.3K0.00129.6900551312
2008-12-04$15.87$22.5088.2%25.3%97.7%44.8%0.0%14.4%-0.9%-1.6K253.1K-1.1K0.00111.81120551312
2008-12-05$16.07$0.0071.7%24.1%97.1%31.9%0.0%29.6%-1.4%-1.3K255.2K-1.1K0.0086.9000561312
2008-12-08$16.91$0.0080.7%24.8%98.7%39.0%0.0%20.8%-2.1%-1.8K256.0K-1.0K0.0072.3800561312
2008-12-09$16.13$0.0087.1%26.3%98.8%44.0%0.0%15.6%4.9%-1.8K241.8K-1.1K0.0090.1700561312
2008-12-10$16.61$0.0069.3%23.4%98.5%30.1%0.0%25.8%-2.3%-1.7K252.3K-1.0K0.0075.1202561312
2008-12-11$15.96$0.0081.4%23.3%94.5%39.5%0.0%22.0%2.2%-2.0K256.1K-9220.0076.3400561314
2008-12-12$16.11$0.0079.1%22.7%74.0%37.7%73.4%44.9%2.2%-2.4K298.4K-8130.0057.16910561314
2008-12-15$15.87$15.0081.7%23.4%67.8%39.8%0.0%6.3%-4.9%-2.8K254.2K-8410.0063.1200606314
2008-12-16$17.29$15.0074.2%21.3%74.2%33.9%0.0%13.2%4.9%-302193.5K-99520.00122.66120606314
2008-12-17$17.76$15.0077.1%22.1%70.9%36.2%0.0%6.1%-4.2%2.3K181.8K-9340.0078.00034605314
2008-12-18$17.71$15.0077.0%22.1%60.1%36.1%0.0%7.3%-3.4%971174.4K-9590.0062.7790605314
2008-12-19$17.62$15.0077.7%22.3%59.5%36.7%0.0%6.9%-4.6%436165.0K-9650.0060.4100614314
2008-12-22$17.30$15.00103.8%29.7%56.5%57.0%0.0%24.6%-22.2%2.7K17.0K-9490.00174.7600361121
2008-12-23$17.25$15.00125.9%36.1%56.3%74.3%0.0%32.6%-1.9%2.7K-41.0K-1.2K0.00140.1200361121
2008-12-24$17.14$15.00123.3%35.4%56.5%72.3%0.0%37.0%-10.4%2.9K2.5K-9920.00149.1100361121
2008-12-26$17.47$15.0063.5%18.2%54.4%25.6%60.9%-0.3%9.3%3.1K-22.2K-1.0K0.00105.38095361121
2008-12-29$16.74$17.5075.8%21.7%57.1%35.2%0.0%5.0%0.7%-933112.3K-8850.0085.0000361216
2008-12-30$17.20$17.50112.7%32.3%55.6%64.0%0.0%38.5%16.5%22771.7K-1.1K0.00115.6100361216
2008-12-31$17.83$17.50116.0%33.3%53.9%66.6%0.0%31.6%-22.3%46073.9K-1.1K0.00164.69010361216