IT Options History — October 2009 In October 2009, IT traded between $17.54 and $19.95. ATM implied volatility averaged 31.3%, placing in the 9.3% IV rank vs the trailing year. The 30-day expected move averaged 10.4%. IV traded above realized volatility by 5.4% (HV 20d: 25.9%). Max pain ranged from $17.50 to $17.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.00.
Notable Days 2009-10-28 : Highest Volume — 100 contracts2009-10-15 : Largest IV spike — 87.5% change2009-10-28 : Highest IV Rank — 17.9%2009-10-28 : Largest Expected Move — 12.1%Monthly Statistics Metric Avg Min Max Open Close Price $18.89 $17.54 $19.95 $17.65 $18.62 Max Pain $17.50 $17.50 $17.50 $17.50 $17.50 ATM IV 31.3% 17.1% 42.3% 33.8% 35.1% Expected Move 10.4% 9.6% 12.1% 9.7% 10.1% HV 20d 25.9% 21.6% 32.4% 21.6% 30.4% HV 60d 24.6% 22.7% 26.1% 26.1% 25.4% IV Rank 9.3% 0.0% 17.9% 9.0% 12.8% IV Percentile 14.6% 0.0% 40.1% 11.1% 19.8% Term Structure -0.2% -4.1% 6.2% 6.2% 1.3% VWIV 41.2% 41.2% 41.2% 41.2% 41.2% Skew 25d 5.7% 2.6% 11.3% 5.1% 7.2% Skew 10d 9.4% -2.8% 29.1% -2.1% 19.1% Call IV 25d 33.5% 28.9% 36.3% 36.3% 30.1% Put IV 25d 39.1% 37.1% 41.6% 41.4% 37.3% Bid-Ask Spread % 37.60 22.77 99.55 99.55 61.57 Gamma HHI 0.64 0.49 0.72 0.61 0.68 Net GEX 16.5K 13.8K 19.3K 13.8K 18.5K Net DEX -687.2K -908.2K -405.8K -429.4K -636.9K Net VEX -2.4K -2.9K -2.1K -2.9K -2.3K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.00 0.00 0.00 0.00 0.00 Total Volume 8.81 0 100 0 30 Total OI 1,197.048 1,174 1,315 1,174 1,315
Daily Data (21 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 2009-10-01 $17.65 $0.00 33.8% 9.7% 21.6% 9.0% 0.0% 5.1% 6.2% 13.8K -429.4K -2.9K 0.00 99.55 0 0 623 551 2009-10-02 $17.54 $0.00 33.5% 9.6% 21.8% 8.7% 0.0% 5.2% 5.6% 13.9K -405.8K -2.9K 0.00 47.98 0 0 623 551 2009-10-05 $17.73 $0.00 33.5% 11.2% 21.7% 8.8% 0.0% 5.9% -0.7% 14.3K -440.3K -2.9K 0.00 29.59 0 0 623 551 2009-10-06 $18.21 $0.00 29.4% 11.0% 23.3% 5.7% 0.0% 5.2% -0.0% 15.1K -538.6K -2.8K 0.00 34.90 0 0 623 551 2009-10-07 $18.49 $0.00 22.5% 11.2% 23.2% 0.7% 0.0% 4.7% -0.9% 15.5K -598.0K -2.7K 0.00 39.72 0 0 623 551 2009-10-08 $19.20 $0.00 19.0% 10.1% 25.6% 0.0% 0.0% 4.0% -0.2% 15.0K -734.7K -2.5K 0.00 37.36 0 0 623 551 2009-10-09 $19.38 $0.00 17.1% 10.1% 24.6% 0.0% 0.0% 2.9% -0.3% 15.9K -772.5K -2.4K 0.00 39.20 10 0 623 551 2009-10-12 $19.51 $0.00 20.3% 10.2% 24.5% 2.3% 0.0% 3.4% -0.8% 15.3K -809.2K -2.4K 0.00 38.32 14 0 633 551 2009-10-13 $19.39 $0.00 24.3% 10.1% 24.6% 5.1% 41.2% 0.0% 0.2% 17.7K -789.9K -2.4K 0.00 25.51 0 1 647 551 2009-10-14 $19.71 $17.50 19.1% 10.1% 24.6% 1.4% 0.0% 2.7% 0.3% 19.3K -853.0K -2.3K 0.00 23.44 0 0 647 552 2009-10-15 $19.67 $17.50 35.8% 10.3% 24.2% 13.3% 0.0% 3.2% -0.9% 19.3K -848.3K -2.3K 0.00 30.26 0 0 647 552 2009-10-19 $19.95 $17.50 34.4% 9.9% 23.4% 12.3% 0.0% 2.6% 0.1% 14.8K -908.2K -2.1K 0.00 49.49 0 0 633 552 2009-10-20 $19.93 $17.50 34.4% 9.9% 23.4% 12.3% 0.0% 2.8% 0.0% 14.9K -907.2K -2.1K 0.00 60.59 0 0 633 552 2009-10-21 $19.17 $17.50 34.7% 9.9% 28.3% 12.5% 0.0% 5.5% -0.5% 16.9K -758.8K -2.3K 0.00 25.07 0 10 633 552 2009-10-22 $18.99 $17.50 34.2% 9.8% 28.6% 12.1% 0.0% 6.5% -0.4% 17.3K -719.6K -2.4K 0.00 22.77 0 0 633 562 2009-10-23 $18.66 $17.50 39.1% 11.2% 29.4% 15.6% 0.0% 9.2% -1.0% 18.8K -646.2K -2.4K 0.00 23.49 0 0 633 562 2009-10-26 $18.67 $17.50 41.5% 11.9% 29.4% 17.3% 0.0% 9.4% -2.8% 18.0K -655.8K -2.4K 0.00 23.68 0 0 633 562 2009-10-27 $18.82 $17.50 36.3% 10.4% 28.9% 13.6% 0.0% 10.3% -3.3% 17.9K -688.8K -2.4K 0.00 25.36 0 0 633 562 2009-10-28 $18.35 $17.50 42.3% 12.1% 30.4% 17.9% 0.0% 6.7% -4.1% 18.2K -590.1K -2.4K 0.00 24.68 0 100 633 562 2009-10-29 $18.95 $17.50 37.4% 10.7% 32.4% 14.4% 0.0% 11.3% -1.9% 16.9K -700.3K -2.3K 0.00 27.15 0 20 633 662 2009-10-30 $18.62 $17.50 35.1% 10.1% 30.4% 12.8% 0.0% 7.2% 1.3% 18.5K -636.9K -2.3K 0.00 61.57 0 30 633 682
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