IT Options History — March 2010

In March 2010, IT traded between $22.24 and $24.49. ATM implied volatility averaged 23.2%, placing in the 10.6% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 3.5% (HV 20d: 19.7%). Max pain ranged from $20.00 to $22.50. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 23 of 23 days. Put/call ratio averaged 0.11.

Notable Days

  • 2010-03-04: Highest Volume — 728 contracts
  • 2010-03-11: Largest IV spike — 25.2% change
  • 2010-03-16: Highest IV Rank — 16.5%
  • 2010-03-16: Largest Expected Move — 7.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.59$22.24$24.49$24.20$22.24
Max Pain$22.07$20.00$22.50$20.00$22.50
ATM IV23.2%18.3%26.5%21.8%23.8%
Expected Move6.8%5.6%7.6%6.3%6.8%
HV 20d19.7%15.1%25.4%25.4%15.8%
HV 60d29.2%27.9%31.4%31.4%27.9%
IV Rank10.6%2.1%16.5%7.9%11.8%
IV Percentile10.8%1.6%18.7%5.2%11.5%
Term Structure4.1%1.3%6.0%1.3%5.6%
VWIV23.9%22.9%26.2%22.9%26.2%
Skew 25d3.7%-3.1%6.0%4.1%4.7%
Skew 10d3.4%-2.8%12.5%2.2%6.9%
Call IV 25d24.5%15.0%28.6%27.5%28.6%
Put IV 25d28.1%18.4%33.3%31.6%33.3%
Bid-Ask Spread %33.2826.4147.1026.4126.61
Gamma HHI0.510.480.660.660.49
Net GEX51.6K28.0K65.0K28.0K48.1K
Net DEX-1.9M-2.6M-1.1M-1.4M-1.1M
Net VEX-6.3K-7.4K-2.6K-2.6K-6.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.110.001.001.000.00
Total Volume37.5220728400
Total OI1,574.6091,0961,9311,0961,356

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-03-01$24.20$20.0021.8%6.3%25.4%7.9%22.9%4.1%1.3%28.0K-1.4M-2.6K1.0026.412020779317
2010-03-02$24.27$20.0022.9%6.6%25.3%9.6%0.0%4.8%1.4%30.0K-1.5M-2.7K0.0030.7400798337
2010-03-03$24.08$20.0019.4%5.6%25.2%3.8%0.0%3.4%1.7%31.5K-1.4M-2.7K0.0031.8700798337
2010-03-04$24.10$20.0019.4%5.6%24.6%3.9%0.0%4.5%1.9%30.9K-1.4M-2.6K0.0032.067280798337
2010-03-05$24.49$22.5020.4%6.7%21.6%5.7%0.0%-2.2%4.6%60.2K-2.6M-7.3K0.0034.96001,526337
2010-03-08$24.30$22.5019.6%6.7%22.3%4.2%23.4%-3.1%4.6%59.4K-2.5M-7.3K0.0032.65101,526337
2010-03-09$24.37$22.5018.5%6.7%22.3%2.4%0.0%-2.5%4.6%60.1K-2.6M-7.1K0.0029.56001,527337
2010-03-10$23.92$22.5018.3%6.7%24.2%2.1%0.0%2.9%3.3%60.5K-2.4M-7.3K0.0027.350221,527337
2010-03-11$24.10$22.5023.0%6.6%23.5%10.3%23.0%5.7%4.2%57.2K-2.4M-7.3K0.0030.641201,527359
2010-03-12$23.95$22.5022.0%6.3%22.7%8.6%0.0%3.7%5.3%59.3K-2.4M-7.3K0.0032.87201,538359
2010-03-15$23.75$22.5026.0%7.4%22.3%15.6%26.2%4.2%4.5%58.2K-2.3M-7.3K0.1036.082021,540359
2010-03-16$23.58$22.5026.5%7.6%16.1%16.5%0.0%4.2%4.4%61.5K-2.3M-7.4K0.0039.641001,560361
2010-03-17$23.58$22.5025.9%7.4%15.9%15.5%0.0%4.0%4.5%60.8K-2.3M-7.4K0.0041.11001,570361
2010-03-18$23.48$22.5025.3%7.3%15.9%14.5%0.0%5.3%4.4%59.0K-2.3M-7.3K0.0047.10201,570361
2010-03-19$23.17$22.5025.2%7.2%16.5%14.2%0.0%4.7%4.6%65.0K-2.2M-7.3K0.0041.86801,570361
2010-03-22$23.49$22.5025.1%7.2%16.8%14.0%0.0%4.0%4.8%52.1K-1.5M-7.1K0.0041.48001,217142
2010-03-23$23.48$22.5025.6%7.3%16.0%14.9%0.0%5.0%4.3%52.1K-1.5M-7.1K0.0042.02001,217142
2010-03-24$23.03$22.5025.8%7.4%17.2%15.3%0.0%4.9%3.3%51.0K-1.4M-7.0K0.0028.16011,217142
2010-03-25$23.04$22.5025.5%7.3%16.5%14.9%0.0%5.0%4.2%50.9K-1.4M-7.0K0.0028.98001,217143
2010-03-26$22.68$22.5024.6%7.0%16.9%13.1%0.0%5.5%5.8%50.6K-1.3M-6.8K0.0027.521501,217143
2010-03-29$22.70$22.5024.5%7.0%15.3%13.0%0.0%6.0%5.6%50.8K-1.3M-6.8K0.0028.69001,213143
2010-03-30$22.61$22.5024.2%6.9%15.1%12.6%0.0%5.4%6.0%50.7K-1.2M-6.7K0.0027.18001,213143
2010-03-31$22.24$22.5023.8%6.8%15.8%11.8%0.0%4.7%5.6%48.1K-1.1M-6.5K0.0026.61001,213143