IT Options History — February 2009 In February 2009, IT traded between $9.97 and $14.96. ATM implied volatility averaged 75.8%, placing in the 35.2% IV rank vs the trailing year. The 30-day expected move averaged 21.8%. IV traded below realized volatility by 27.6% (HV 20d: 103.4%). Max pain ranged from $12.50 to $17.50. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 1 of 19 days. Put/call ratio averaged 0.58.
Notable Days 2009-02-06 : Highest Volume — 89 contracts2009-02-04 : Largest IV spike — 68.2% change2009-02-04 : Highest IV Rank — 72.6%2009-02-04 : Largest Expected Move — 35.5%Monthly Statistics Metric Avg Min Max Open Close Price $11.46 $9.97 $14.96 $14.60 $10.11 Max Pain $13.95 $12.50 $17.50 $15.00 $12.50 ATM IV 75.8% 64.7% 123.7% 76.2% 73.1% Expected Move 21.8% 18.6% 35.5% 21.8% 21.0% HV 20d 103.4% 47.7% 114.8% 48.6% 113.5% HV 60d 81.7% 69.6% 92.3% 72.5% 79.3% IV Rank 35.2% 26.5% 72.6% 35.5% 33.1% IV Percentile 68.7% 61.9% 96.0% 72.2% 64.3% Term Structure -7.1% -42.7% 0.9% -4.2% -3.7% VWIV 70.2% 48.8% 105.0% 105.0% 64.0% Skew 25d 9.9% -34.6% 34.1% 6.8% 14.8% Skew 10d 19.1% -12.4% 34.8% 34.8% 13.2% Call IV 25d 64.5% 47.6% 102.1% 67.0% 52.8% Put IV 25d 74.4% 63.5% 113.4% 73.8% 67.6% Bid-Ask Spread % 83.99 55.05 140.09 99.51 75.91 Gamma HHI 0.55 0.31 0.74 0.72 0.62 Net GEX 3.3K 252 13.4K 12.5K 1.2K Net DEX 45.6K -175.0K 99.9K -74.2K 68.6K Net VEX -327 -1.0K -110 -843 -120 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.58 0.00 2.18 2.18 0.00 Total Volume 11.632 0 89 0 0 Total OI 905.842 702 1,051 936 702
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 2009-02-02 $14.60 $15.00 76.2% 21.8% 48.6% 35.5% 0.0% 6.8% -4.2% 12.5K -74.2K -843 0.00 99.51 0 0 796 140 2009-02-03 $14.74 $15.00 73.6% 21.1% 48.2% 33.4% 0.0% 5.0% -10.5% 13.4K -80.9K -811 0.00 100.24 0 0 796 140 2009-02-04 $14.96 $15.00 123.7% 35.5% 47.7% 72.6% 0.0% 34.1% -42.7% 9.3K -175.0K -1.0K 0.00 140.09 0 0 796 140 2009-02-05 $11.13 $15.00 89.3% 25.6% 111.8% 45.7% 105.0% -34.6% -15.3% 6.4K 59.3K -399 2.18 120.14 11 24 796 140 2009-02-06 $11.72 $17.50 71.0% 20.1% 114.6% 31.4% 68.4% -0.0% -4.7% 2.6K 52.3K -262 0.71 70.42 52 37 800 87 2009-02-09 $11.70 $15.00 75.5% 19.6% 113.9% 34.9% 67.7% 9.2% -3.2% 2.4K 65.0K -320 0.00 63.12 0 5 842 120 2009-02-10 $11.01 $15.00 70.4% 22.4% 114.6% 31.0% 48.8% 5.3% -7.3% 1.2K 85.6K -247 0.00 55.05 0 5 842 125 2009-02-11 $11.11 $15.00 67.1% 21.6% 114.7% 28.3% 68.1% 18.9% -4.1% 252 99.9K -204 0.00 72.00 25 0 842 125 2009-02-12 $11.51 $15.00 69.0% 19.8% 114.6% 29.8% 69.2% 21.5% -4.3% 1.8K 73.7K -287 0.00 72.16 5 0 867 125 2009-02-13 $11.51 $15.00 64.7% 18.6% 114.7% 26.5% 64.0% 19.8% 0.9% 645 85.8K -258 0.00 71.23 55 0 869 125 2009-02-17 $11.13 $12.50 76.0% 21.8% 114.8% 35.3% 0.0% 14.2% -5.8% 1.8K 75.7K -269 0.00 80.84 0 2 924 125 2009-02-18 $11.00 $12.50 73.7% 21.1% 114.4% 33.5% 0.0% 10.5% -3.6% 1.8K 82.1K -249 0.00 74.89 0 0 924 127 2009-02-19 $10.67 $12.50 74.1% 21.2% 112.6% 33.8% 0.0% 5.4% -4.8% 1.7K 93.5K -200 0.00 92.75 0 0 924 127 2009-02-20 $10.41 $12.50 73.8% 21.2% 112.7% 33.6% 0.0% 9.0% -5.1% 1.5K 77.6K -181 0.00 78.56 0 0 924 107 2009-02-23 $10.06 $12.50 72.3% 20.7% 112.8% 32.4% 0.0% 3.4% -1.8% 1.3K 72.0K -136 0.00 80.11 0 0 611 97 2009-02-24 $10.39 $12.50 70.5% 20.2% 113.7% 31.0% 0.0% 22.9% -1.6% 1.4K 67.4K -150 0.00 85.20 0 0 611 91 2009-02-25 $10.00 $12.50 73.4% 21.1% 113.7% 33.3% 0.0% 11.2% -5.8% 1.1K 68.6K -126 0.00 80.47 0 0 611 91 2009-02-26 $9.97 $12.50 72.6% 20.8% 113.0% 32.6% 0.0% 11.3% -8.1% 1.1K 69.9K -110 0.00 83.11 0 0 611 91 2009-02-27 $10.11 $12.50 73.1% 21.0% 113.5% 33.1% 0.0% 14.8% -3.7% 1.2K 68.6K -120 0.00 75.91 0 0 611 91
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