IT Options History — September 2010

In September 2010, IT traded between $27.44 and $29.86. ATM implied volatility averaged 28.8%, placing in the 40.2% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded below realized volatility by 1.6% (HV 20d: 30.4%). Max pain ranged from $22.50 to $30.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 7.37.

Notable Days

  • 2010-09-21: Highest Volume — 1,167 contracts
  • 2010-09-09: Largest IV spike — 53.2% change
  • 2010-09-16: Highest IV Rank — 57.4%
  • 2010-09-16: Largest Expected Move — 9.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.46$27.44$29.86$29.29$29.44
Max Pain$29.29$22.50$30.00$22.50$30.00
ATM IV28.8%20.6%33.8%23.1%26.7%
Expected Move8.5%6.4%9.7%6.6%7.7%
HV 20d30.4%27.7%38.5%38.5%27.9%
HV 60d32.6%31.3%34.7%32.1%31.3%
IV Rank40.2%12.1%57.4%20.7%33.2%
IV Percentile49.9%7.1%81.3%13.5%36.1%
Term Structure2.2%-1.0%5.1%5.1%4.7%
VWIV30.3%23.1%34.3%23.1%26.8%
Skew 25d3.4%0.4%15.1%15.1%2.5%
Skew 10d7.2%1.0%23.0%23.0%4.7%
Call IV 25d29.6%21.8%33.0%22.6%29.9%
Put IV 25d33.0%23.9%37.7%37.7%32.4%
Bid-Ask Spread %27.7911.7970.3421.6631.01
Gamma HHI0.700.550.860.840.68
Net GEX88.4K22.1K174.9K70.3K174.9K
Net DEX-3.6M-5.4M-1.8M-5.2M-3.3M
Net VEX-15.4K-17.8K-12.2K-13.0K-15.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio7.370.0063.830.150.00
Total Volume218.95201,16775120
Total OI4,613.7623,8155,3294,2564,709

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-09-01$29.29$22.5023.1%6.6%38.5%20.7%23.1%0.0%5.1%70.3K-5.2M-13.0K0.1521.6665102,5981,658
2010-09-02$29.65$22.5022.4%6.4%38.4%18.1%30.7%0.0%4.8%78.6K-5.4M-12.2K0.4618.58103472,5631,658
2010-09-03$29.86$30.0022.6%7.8%37.9%18.8%0.0%15.1%2.0%78.0K-5.4M-12.3K0.1211.79132162,5171,705
2010-09-07$29.61$30.0023.8%7.9%38.3%23.1%27.7%4.4%2.2%76.5K-5.1M-12.2K7.6914.22352692,4621,715
2010-09-08$27.75$30.0020.6%8.3%29.3%12.1%29.3%2.0%2.8%22.1K-3.7M-14.2K0.6718.31110742,4631,878
2010-09-09$27.75$30.0031.6%9.1%28.9%49.9%31.7%2.7%0.2%22.4K-3.6M-14.7K0.0016.6748622,5311,931
2010-09-10$27.44$30.0032.4%9.3%29.0%52.8%34.3%0.4%4.6%54.2K-3.7M-16.1K0.2119.1948102,9531,931
2010-09-13$27.70$30.0032.3%9.3%29.1%52.5%32.5%3.4%0.9%56.6K-3.9M-15.5K0.0022.1637802,9721,941
2010-09-14$27.77$30.0031.1%8.9%28.6%48.2%32.4%4.3%1.4%92.0K-4.1M-16.3K0.0422.444623,3501,941
2010-09-15$27.80$30.0033.5%9.6%28.1%56.4%33.7%4.3%-1.0%94.0K-4.2M-16.5K0.0018.842203,3701,939
2010-09-16$27.68$30.0033.8%9.7%28.1%57.4%0.0%2.7%-0.7%87.5K-4.1M-16.2K0.0018.54003,3901,939
2010-09-17$27.97$30.0032.4%9.3%28.3%52.8%32.3%4.0%-0.1%97.2K-4.4M-15.8K0.4028.797443003,3901,939
2010-09-20$28.27$30.0029.1%8.3%28.6%41.3%29.4%3.8%4.0%106.7K-2.3M-15.3K0.0053.904002,3581,560
2010-09-21$28.27$30.0030.9%8.9%28.5%47.7%31.1%2.7%1.1%114.5K-2.5M-14.8K63.8334.50181,1492,3701,445
2010-09-22$28.26$30.0029.8%8.5%28.5%43.6%0.0%2.2%2.6%85.3K-2.1M-17.0K0.0026.3001702,3702,059
2010-09-23$28.01$30.0029.6%8.5%27.7%43.0%0.0%1.2%2.5%72.9K-1.8M-17.8K59.0070.341592,3702,176
2010-09-24$28.66$30.0029.0%8.3%28.7%41.0%29.1%2.4%3.0%100.3K-2.4M-17.1K0.0038.1211502,3702,235
2010-09-27$28.70$30.0031.1%8.9%28.6%48.2%31.0%2.8%0.9%111.7K-2.6M-17.4K0.1033.582022,4802,235
2010-09-28$28.89$30.0030.1%8.6%28.3%44.8%30.2%2.3%2.1%123.3K-2.7M-16.6K0.0026.44502,4732,235
2010-09-29$28.96$30.0028.3%8.1%28.3%38.8%0.0%1.5%3.5%138.2K-2.8M-16.4K0.0038.19002,4752,235
2010-09-30$29.44$30.0026.7%7.7%27.9%33.2%26.8%2.5%4.7%174.9K-3.3M-15.9K0.0031.0112002,4742,235