IT Options History — October 2010

In October 2010, IT traded between $29.92 and $31.71. ATM implied volatility averaged 30.8%, placing in the 47.2% IV rank vs the trailing year. The 30-day expected move averaged 9.5%. IV traded above realized volatility by 10.7% (HV 20d: 20.1%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 5.53.

Notable Days

  • 2010-10-05: Highest Volume — 369 contracts
  • 2010-10-14: Largest IV spike — 29.8% change
  • 2010-10-29: Highest IV Rank — 65.6%
  • 2010-10-29: Largest Expected Move — 10.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.99$29.92$31.71$30.04$31.69
Max Pain$30.00$30.00$30.00$30.00$30.00
ATM IV30.8%21.0%36.2%26.2%36.2%
Expected Move9.5%7.5%10.4%7.5%10.4%
HV 20d20.1%17.4%30.3%28.5%18.1%
HV 60d30.2%29.2%31.5%31.5%29.4%
IV Rank47.2%13.4%65.6%31.2%65.6%
IV Percentile63.3%7.9%90.9%32.9%90.9%
Term Structure-2.7%-5.2%5.4%5.4%-5.2%
VWIV33.1%26.2%36.3%26.2%36.3%
Skew 25d1.8%-2.7%4.1%3.0%3.6%
Skew 10d2.5%-7.8%7.8%4.2%7.8%
Call IV 25d29.2%27.9%30.6%29.2%28.5%
Put IV 25d31.0%26.2%33.1%32.2%32.2%
Bid-Ask Spread %55.0229.2772.0740.9758.97
Gamma HHI0.520.360.760.730.38
Net GEX73.3K-61.7K285.6K214.9K-42.7K
Net DEX-4.2M-6.6M-2.4M-4.1M-3.3M
Net VEX-12.7K-15.7K-10.5K-15.2K-10.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.530.0048.800.000.10
Total Volume78.38103691632
Total OI4,894.6194,5065,3384,7334,693

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-10-01$30.04$30.0026.2%7.5%28.5%31.2%26.2%3.0%5.4%214.9K-4.1M-15.2K0.0040.971602,4982,235
2010-10-04$29.92$30.0029.9%9.4%28.4%44.0%0.0%2.4%-1.9%206.7K-4.0M-14.9K0.0062.2730402,5042,235
2010-10-05$30.87$30.0028.9%9.5%30.3%40.8%33.0%2.4%-3.5%231.1K-5.6M-13.1K1.1134.781751942,6602,235
2010-10-06$30.46$30.0029.0%9.2%18.3%41.1%32.2%3.5%-1.8%245.9K-4.8M-15.7K1.0353.8629302,7722,423
2010-10-07$30.40$30.0027.1%9.2%18.4%34.6%0.0%2.5%-1.8%276.7K-4.7M-14.8K3.3367.263102,7462,453
2010-10-08$30.57$30.0025.4%9.1%17.4%28.6%0.0%4.1%-1.7%285.6K-5.1M-14.4K0.0043.255602,7432,453
2010-10-11$31.08$30.0021.0%9.5%17.8%13.4%33.1%2.5%-2.5%178.0K-6.2M-12.4K0.8029.2740322,7222,453
2010-10-12$31.09$30.0022.1%9.2%17.9%17.3%0.0%2.2%-1.9%154.3K-6.2M-12.4K0.0055.963002,7432,485
2010-10-13$31.27$30.0025.1%9.5%17.8%27.4%33.3%-2.0%-2.8%95.9K-6.6M-11.7K26.6738.143802,7732,485
2010-10-14$31.28$30.0032.6%9.4%17.6%53.3%0.0%2.8%-1.9%85.7K-6.5M-11.8K0.0057.49002,7732,565
2010-10-15$31.22$30.0035.2%10.1%17.7%62.3%35.2%3.1%-3.8%46.9K-6.4M-11.9K48.8040.7352442,7732,565
2010-10-18$31.34$30.0035.7%10.2%17.6%63.9%35.7%-2.2%-4.5%-28.8K-3.1M-11.6K4.0055.94251001,7282,778
2010-10-19$30.57$30.0034.1%9.8%20.5%58.3%0.0%1.5%-3.0%-49.0K-2.4M-13.6K2.2766.46441001,7302,878
2010-10-20$30.81$30.0033.5%9.6%20.5%56.5%0.0%2.5%-2.9%-59.3K-2.5M-13.1K0.0068.53001,6922,974
2010-10-21$30.83$30.0032.9%9.4%20.0%54.2%32.9%2.0%-2.4%-61.7K-2.5M-13.0K4.5067.126271,6892,974
2010-10-22$31.06$30.0032.8%9.4%18.8%54.0%0.0%-2.7%-2.9%-57.1K-2.8M-12.1K0.0072.07201,6892,974
2010-10-25$31.45$30.0034.1%9.8%19.0%58.4%0.0%-1.0%-3.7%-46.3K-3.1M-11.3K0.0064.27901,6892,974
2010-10-26$31.71$30.0034.8%10.0%19.1%60.9%0.0%0.0%-4.6%-43.6K-3.3M-10.5K0.1744.262341,6822,974
2010-10-27$31.45$30.0034.7%9.9%19.6%60.4%0.0%3.0%-3.8%-49.4K-3.1M-11.2K6.6770.163201,7042,978
2010-10-28$31.65$30.0035.8%10.3%19.1%64.4%0.0%3.5%-4.6%-44.1K-3.2M-11.0K0.0063.66001,7032,990
2010-10-29$31.69$30.0036.2%10.4%18.1%65.6%36.3%3.6%-5.2%-42.7K-3.3M-10.8K0.1058.972931,7032,990