IT Options History — June 2010

In June 2010, IT traded between $23.25 and $26.24. ATM implied volatility averaged 31.5%, placing in the 41.5% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded below realized volatility by 5.1% (HV 20d: 36.6%). Max pain ranged from $22.50 to $25.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 0.99.

Notable Days

  • 2010-06-02: Highest Volume — 1,627 contracts
  • 2010-06-29: Largest IV spike — 30.7% change
  • 2010-06-07: Highest IV Rank — 70.6%
  • 2010-06-29: Largest Expected Move — 11.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.76$23.25$26.24$24.05$23.25
Max Pain$23.64$22.50$25.00$22.50$25.00
ATM IV31.5%27.2%41.5%32.7%38.9%
Expected Move9.0%7.8%11.3%9.4%11.1%
HV 20d36.6%33.6%41.3%40.3%34.3%
HV 60d31.5%28.1%33.9%28.1%33.9%
IV Rank41.5%29.1%70.6%45.1%62.8%
IV Percentile52.9%30.2%92.9%59.5%89.7%
Term Structure1.3%-1.8%4.0%-1.5%-0.3%
VWIV32.8%23.8%55.9%55.9%23.8%
Skew 25d2.2%-4.5%8.0%6.7%-4.0%
Skew 10d-1.4%-7.7%3.4%3.4%-6.7%
Call IV 25d32.4%29.0%35.4%32.9%31.9%
Put IV 25d34.7%26.4%41.8%39.6%27.8%
Bid-Ask Spread %43.8024.2181.1930.8144.97
Gamma HHI0.480.350.720.480.36
Net GEX65.2K30.9K107.4K79.8K30.9K
Net DEX-2.1M-3.8M-237.1K-1.9M-237.1K
Net VEX-16.0K-18.0K-6.3K-6.8K-16.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.990.003.240.003.24
Total Volume109.22701,6271045
Total OI3,259.9551,9583,7541,9583,195

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-06-01$24.05$22.5032.7%9.4%40.3%45.1%55.9%6.7%-1.5%79.8K-1.9M-6.8K0.0030.811001,518440
2010-06-02$25.00$22.5029.6%8.5%41.3%36.1%0.0%-2.7%0.4%85.9K-2.5M-6.3K0.9748.768278001,518440
2010-06-03$25.15$22.5030.2%8.7%40.1%37.9%30.2%-2.3%0.4%83.8K-2.8M-17.9K0.0024.21202,3191,240
2010-06-04$24.00$22.5032.7%9.3%39.2%45.1%0.0%6.2%0.5%81.6K-1.9M-18.0K0.0034.81002,3331,240
2010-06-07$23.56$22.5041.5%10.8%38.7%70.6%0.0%6.4%-1.8%79.2K-1.5M-17.3K0.0035.29032,3331,240
2010-06-08$23.86$22.5034.1%9.2%35.6%49.0%37.3%6.3%1.2%84.7K-1.7M-17.4K0.0027.21052,3331,237
2010-06-09$24.12$22.5031.3%9.2%33.8%41.1%0.0%8.0%1.0%89.7K-2.0M-17.4K0.0027.56002,3331,242
2010-06-10$24.64$22.5031.3%9.0%34.4%40.9%0.0%-4.5%1.7%98.3K-2.4M-17.4K0.0024.57002,3331,242
2010-06-11$24.93$22.5029.9%8.6%34.6%37.1%0.0%-4.0%2.2%103.8K-2.7M-17.2K0.3130.881652,3331,242
2010-06-14$25.24$22.5030.1%8.6%34.8%37.6%0.0%0.0%1.9%107.4K-3.0M-16.9K0.0045.861002,3471,247
2010-06-15$26.24$22.5030.9%8.9%37.2%39.9%30.9%0.0%1.0%56.7K-3.8M-16.2K0.1326.99171222,3541,247
2010-06-16$26.04$22.5029.8%8.5%37.4%36.6%29.8%0.0%1.2%70.5K-3.8M-16.7K0.9975.2381802,4931,231
2010-06-17$26.05$25.0028.2%8.1%36.6%32.1%0.0%0.0%2.6%60.6K-3.6M-16.9K0.0081.19002,4431,311
2010-06-18$25.98$25.0028.2%8.1%33.6%32.1%0.0%0.0%2.2%55.5K-3.6M-16.8K0.0039.84702,4431,311
2010-06-21$25.53$25.0027.2%7.8%34.4%29.1%0.0%0.0%3.0%42.8K-1.8M-16.8K1.0056.0422221,8741,094
2010-06-22$24.93$25.0028.2%8.1%35.8%32.2%0.0%0.0%2.3%39.3K-1.4M-16.6K0.0081.17001,8591,116
2010-06-23$25.16$25.0029.0%8.3%35.7%34.5%29.0%0.0%2.0%39.8K-1.6M-16.7K0.0747.595941,8591,116
2010-06-24$24.34$25.0029.9%8.6%37.4%36.9%30.0%0.0%2.7%38.8K-1.1M-16.6K2.0646.3418371,8831,120
2010-06-25$24.50$25.0028.7%8.2%36.0%33.4%28.7%0.0%4.0%37.7K-1.1M-16.8K2.5947.8817441,8961,153
2010-06-28$24.56$25.0030.1%8.6%35.7%37.6%0.0%0.0%2.1%34.9K-1.1M-16.8K2.5050.30251,9051,197
2010-06-29$23.57$25.0039.4%11.3%37.2%64.3%0.0%0.0%-0.5%33.6K-537.2K-16.2K3.2436.1021681,9071,202
2010-06-30$23.25$25.0038.9%11.1%34.3%62.8%23.8%0.0%-0.3%30.9K-237.1K-16.0K0.0044.970451,9251,270