IT Options History — November 2009 In November 2009, IT traded between $18.44 and $20.16. ATM implied volatility averaged 28.5%, placing in the 8.1% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded below realized volatility by 4.1% (HV 20d: 32.6%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.05.
Notable Days 2009-11-23 : Highest Volume — 76 contracts2009-11-04 : Largest IV spike — 27.2% change2009-11-04 : Highest IV Rank — 13.9%2009-11-04 : Largest Expected Move — 10.5%Monthly Statistics Metric Avg Min Max Open Close Price $19.35 $18.44 $20.16 $18.88 $18.92 Max Pain $15.50 $15.00 $17.50 $17.50 $15.00 ATM IV 28.5% 23.7% 36.6% 24.2% 23.7% Expected Move 8.4% 6.8% 10.5% 6.9% 6.8% HV 20d 32.6% 29.7% 35.4% 30.5% 32.5% HV 60d 26.5% 25.0% 28.2% 25.2% 28.1% IV Rank 8.1% 4.7% 13.9% 5.1% 4.7% IV Percentile 7.2% 2.8% 26.6% 2.8% 2.8% Term Structure 2.9% -0.5% 4.7% 3.7% 2.5% VWIV 26.4% 24.4% 27.4% 24.4% 27.4% Skew 25d 6.2% -5.0% 12.9% 6.9% 4.7% Skew 10d 11.4% -7.3% 28.5% 7.8% 22.8% Call IV 25d 25.8% 22.1% 32.1% 27.9% 26.9% Put IV 25d 32.0% 21.5% 36.9% 34.8% 31.5% Bid-Ask Spread % 57.87 22.04 85.22 65.55 85.22 Gamma HHI 0.61 0.50 0.68 0.66 0.65 Net GEX 19.1K 15.0K 26.1K 18.4K 26.1K Net DEX -860.7K -1.0M -610.4K -706.2K -835.8K Net VEX -1.6K -2.2K -1.2K -2.2K -1.3K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.05 0.00 0.20 0.00 0.20 Total Volume 6.95 0 76 20 0 Total OI 1,346.15 1,324 1,360 1,325 1,360
Daily Data (20 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 2009-11-02 $18.88 $17.50 24.2% 6.9% 30.5% 5.1% 0.0% 6.9% 3.7% 18.4K -706.2K -2.2K 0.00 65.55 20 0 633 692 2009-11-03 $18.81 $17.50 28.8% 8.3% 30.5% 8.3% 0.0% 8.2% 2.7% 18.6K -689.1K -2.2K 0.00 64.52 0 0 633 692 2009-11-04 $18.44 $17.50 36.6% 10.5% 30.1% 13.9% 0.0% 1.1% -0.5% 19.1K -610.4K -2.2K 0.00 55.50 0 0 633 692 2009-11-05 $19.16 $17.50 28.1% 8.1% 32.6% 7.8% 0.0% 8.8% 3.1% 18.8K -778.9K -2.0K 0.00 63.08 0 0 633 692 2009-11-06 $19.18 $15.00 25.9% 8.9% 29.7% 6.3% 0.0% 8.0% 4.0% 18.7K -788.3K -2.0K 0.00 56.52 0 30 633 692 2009-11-09 $19.62 $15.00 28.5% 9.1% 30.7% 8.1% 0.0% 11.8% 3.3% 17.7K -893.3K -1.7K 0.00 56.95 0 0 633 721 2009-11-10 $19.42 $15.00 26.2% 9.3% 30.8% 6.4% 0.0% 10.2% 2.8% 17.0K -844.4K -1.8K 0.00 57.71 0 0 633 721 2009-11-11 $19.83 $15.00 27.8% 9.0% 31.6% 7.6% 24.4% 11.6% 3.6% 17.4K -942.2K -1.6K 0.00 60.04 1 0 633 721 2009-11-12 $19.21 $15.00 32.2% 9.2% 33.1% 10.7% 0.0% 7.6% 2.6% 18.7K -813.1K -1.8K 0.00 74.24 0 0 633 721 2009-11-13 $19.38 $15.00 30.6% 8.8% 33.3% 9.6% 0.0% 9.9% 4.0% 17.9K -853.8K -1.7K 0.00 58.14 0 0 633 721 2009-11-16 $20.09 $15.00 31.6% 9.1% 35.4% 10.3% 0.0% 12.9% 3.1% 15.1K -1.0M -1.4K 0.00 65.22 0 0 633 721 2009-11-17 $20.16 $15.00 31.0% 8.9% 35.4% 9.9% 0.0% 2.5% 3.5% 15.0K -1.0M -1.3K 0.00 72.54 0 0 633 721 2009-11-18 $19.92 $15.00 30.6% 8.8% 32.6% 9.6% 0.0% 10.5% 4.0% 17.1K -984.3K -1.3K 0.00 29.20 0 0 633 721 2009-11-19 $19.36 $15.00 31.2% 8.9% 34.2% 10.0% 0.0% 8.4% 3.2% 19.5K -868.4K -1.6K 0.00 25.26 0 0 633 721 2009-11-20 $19.23 $15.00 29.3% 8.4% 33.6% 8.7% 0.0% 7.5% 4.7% 21.2K -850.0K -1.5K 0.00 27.75 0 0 633 721 2009-11-23 $19.64 $15.00 27.3% 7.8% 34.3% 7.3% 27.3% -0.4% 1.7% 18.8K -972.6K -1.2K 0.00 61.52 76 0 633 691 2009-11-24 $19.50 $15.00 26.5% 7.6% 34.4% 6.7% 0.0% -5.0% 2.2% 20.9K -965.2K -1.3K 0.00 75.00 0 0 667 691 2009-11-25 $19.43 $15.00 25.3% 7.2% 33.0% 5.8% 0.0% -3.5% 2.6% 20.2K -965.8K -1.2K 0.00 22.04 0 0 667 691 2009-11-27 $18.85 $15.00 23.9% 6.9% 33.1% 4.9% 27.4% 2.7% 0.8% 25.5K -817.3K -1.4K 0.20 81.38 10 2 667 691 2009-11-30 $18.92 $15.00 23.7% 6.8% 32.5% 4.7% 0.0% 4.7% 2.5% 26.1K -835.8K -1.3K 0.00 85.22 0 0 667 693
« Oct 2009 | All History | Dec 2009 » Home IT History November 2009