IT Options History — July 2009

In July 2009, IT traded between $14.41 and $17.35. ATM implied volatility averaged 36.3%, placing in the 10.3% IV rank vs the trailing year. The 30-day expected move averaged 11.5%. IV traded above realized volatility by 0.4% (HV 20d: 35.9%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 17 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 2.38.

Notable Days

  • 2009-07-10: Highest Volume — 835 contracts
  • 2009-07-13: Largest IV spike — 51.9% change
  • 2009-07-30: Highest IV Rank — 18.1%
  • 2009-07-30: Largest Expected Move — 13.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.02$14.41$17.35$15.81$17.10
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV36.3%21.5%46.4%30.9%46.2%
Expected Move11.5%8.6%13.3%8.9%13.3%
HV 20d35.9%31.9%38.3%31.9%32.1%
HV 60d42.9%40.8%47.3%46.8%41.0%
IV Rank10.3%0.0%18.1%4.5%18.0%
IV Percentile12.5%0.0%33.3%0.4%32.9%
Term Structure-0.1%-4.4%12.1%9.2%-3.6%
VWIV40.1%35.5%45.8%41.3%45.8%
Skew 25d4.6%2.9%6.9%4.1%5.4%
Skew 10d-0.6%-6.3%7.1%3.7%-2.8%
Call IV 25d38.6%34.8%43.2%38.0%41.5%
Put IV 25d43.2%38.2%47.9%42.0%46.8%
Bid-Ask Spread %44.0424.0091.6776.2466.68
Gamma HHI0.500.330.770.550.73
Net GEX15.7K-4.0K34.8K2.8K31.4K
Net DEX-773.2K-1.7M27.3K-153.5K-1.5M
Net VEX-3.4K-5.9K-887-887-5.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.380.0016.0016.000.90
Total Volume132.40908351700
Total OI1,879.0914443,1824443,182

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-07-01$15.81$15.0030.9%8.9%31.9%4.5%0.0%4.1%9.2%2.8K-153.5K-88716.0076.2410160273171
2009-07-02$15.12$15.0030.1%8.6%34.9%3.9%0.0%4.6%12.1%-2.1K-52.3K-1.1K0.0091.6700273331
2009-07-06$15.13$15.0033.9%11.9%34.9%6.7%0.0%5.8%1.1%-2.5K-43.4K-1.1K0.0046.7900273331
2009-07-07$14.96$15.0032.4%12.2%34.8%5.6%0.0%5.3%0.1%-3.0K-28.7K-1.1K0.0040.7800273331
2009-07-08$14.65$15.0029.9%11.9%35.2%3.8%0.0%6.9%1.4%-3.7K7.4K-1.1K0.0042.9300273331
2009-07-09$14.48$15.0021.5%11.8%35.3%0.0%41.3%5.7%-0.7%-4.0K27.3K-1.0K0.0928.3916014273331
2009-07-10$14.41$15.0023.5%12.4%33.4%1.5%43.6%5.1%-1.9%904-51.3K-1.4K0.8524.00451384433345
2009-07-13$14.86$15.0035.7%12.1%34.8%10.4%0.0%5.0%-1.1%13.3K-331.2K-3.1K0.0031.230115884714
2009-07-14$14.97$15.0033.8%11.7%32.9%9.0%0.0%6.5%-0.8%12.5K-331.7K-3.4K0.4730.466430884829
2009-07-15$15.77$15.0039.9%11.6%37.2%13.4%36.1%3.4%-0.6%19.1K-681.7K-3.5K1.2229.262733948859
2009-07-16$16.32$15.0037.0%10.6%38.2%11.3%0.0%4.0%0.1%20.6K-861.8K-3.4K0.0030.6600963892
2009-07-17$16.26$15.0037.0%10.6%38.1%11.3%39.4%3.7%-0.3%20.4K-832.9K-3.3K2.3624.40133314955892
2009-07-20$16.51$15.0035.4%10.2%38.1%10.1%35.5%3.0%0.4%16.7K-902.7K-3.6K0.0028.0912501,0721,181
2009-07-21$16.49$15.0035.5%10.2%36.1%10.2%0.0%3.7%-0.4%20.5K-943.8K-3.8K0.0024.20001,1561,181
2009-07-22$16.49$15.0035.2%10.1%35.9%10.0%0.0%3.5%-0.2%20.9K-954.5K-3.8K1.8548.831011871,1561,181
2009-07-23$17.23$15.0038.7%11.1%38.3%12.5%38.7%0.0%-1.1%21.7K-1.3M-4.0K0.0458.03390141,2571,368
2009-07-24$17.27$15.0038.1%10.9%37.2%12.1%0.0%0.0%-0.4%34.8K-1.7M-5.5K0.0057.10001,6451,354
2009-07-27$16.99$15.0045.8%13.1%38.0%17.7%45.8%2.9%-3.7%29.8K-1.5M-5.7K0.9042.10100901,6451,354
2009-07-28$17.20$15.0045.6%13.1%37.9%17.6%0.0%0.0%-4.0%31.5K-1.6M-5.9K0.0046.65001,7381,444
2009-07-29$17.17$15.0045.8%13.1%37.8%17.7%0.0%3.9%-4.4%31.7K-1.6M-5.8K0.0047.63001,7381,444
2009-07-30$17.35$15.0046.4%13.3%36.2%18.1%0.0%4.7%-3.1%31.6K-1.7M-5.6K0.0052.840111,7381,444
2009-07-31$17.10$15.0046.2%13.3%32.1%18.0%0.0%5.4%-3.6%31.4K-1.5M-5.8K0.0066.68001,7381,444