IT Options History — November 2010

In November 2010, IT traded between $31.37 and $32.66. ATM implied volatility averaged 27.8%, placing in the 36.8% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded above realized volatility by 13.8% (HV 20d: 14.1%). Max pain ranged from $25.00 to $30.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 4.48.

Notable Days

  • 2010-11-10: Highest Volume — 413 contracts
  • 2010-11-04: Largest IV drop — 29.9% change
  • 2010-11-02: Highest IV Rank — 69.9%
  • 2010-11-02: Largest Expected Move — 10.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.89$31.37$32.66$31.55$32.17
Max Pain$25.95$25.00$30.00$30.00$25.00
ATM IV27.8%23.6%37.4%37.3%24.1%
Expected Move8.1%6.9%10.7%10.7%6.9%
HV 20d14.1%12.2%18.1%18.1%14.1%
HV 60d21.9%20.7%29.3%29.3%20.8%
IV Rank36.8%22.2%69.9%69.3%24.0%
IV Percentile42.5%16.3%92.9%92.9%19.4%
Term Structure2.4%-5.5%10.1%-5.5%7.3%
VWIV26.7%16.0%37.5%37.3%20.3%
Skew 25d6.8%2.3%18.6%4.4%2.4%
Skew 10d9.4%0.5%24.5%9.6%2.8%
Call IV 25d22.3%13.0%28.9%28.9%25.3%
Put IV 25d29.1%26.0%33.6%33.2%27.7%
Bid-Ask Spread %58.6426.6779.8373.4956.16
Gamma HHI0.550.340.760.390.43
Net GEX-77.4K-162.7K-6.4K-47.8K-20.6K
Net DEX-3.2M-3.6M-2.7M-3.2M-3.3M
Net VEX-12.0K-13.8K-9.9K-10.5K-12.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.480.0014.478.190.29
Total Volume112.71404132399
Total OI5,502.814,6866,0354,6865,288

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-11-01$31.55$30.0037.3%10.7%18.1%69.3%37.3%4.4%-5.5%-47.8K-3.2M-10.5K8.1973.49262131,6932,993
2010-11-02$31.93$30.0037.4%10.7%15.1%69.9%0.0%4.0%-5.5%-63.7K-3.3M-10.2K12.9262.84121551,7053,196
2010-11-03$31.83$30.0037.2%10.7%14.1%69.0%37.5%4.2%-5.4%-69.8K-3.2M-10.5K14.4779.79192751,7033,254
2010-11-04$31.39$30.0026.1%7.5%15.2%30.6%0.0%2.6%-0.9%-126.4K-3.2M-9.9K8.8263.48343001,7203,469
2010-11-05$31.37$25.0026.3%7.5%15.1%31.4%26.0%3.7%3.7%-151.1K-2.7M-12.0K0.0064.2202301,7283,769
2010-11-08$31.58$25.0023.6%7.6%14.2%22.2%26.5%3.4%3.5%-135.1K-2.9M-11.7K0.0858.523631,7283,807
2010-11-09$31.80$25.0026.2%7.8%14.4%31.1%27.1%2.7%3.2%-119.8K-3.0M-11.0K1.5226.67661001,6993,825
2010-11-10$32.07$25.0024.6%7.9%14.5%25.7%27.3%2.3%2.7%-95.2K-3.3M-11.1K2.5638.661162971,7643,870
2010-11-11$31.91$25.0026.9%7.7%14.7%33.6%26.8%4.3%3.4%-115.9K-3.1M-13.6K0.8659.5236311,8424,136
2010-11-12$31.63$25.0027.1%7.8%15.1%34.1%27.2%3.1%3.0%-137.8K-2.9M-13.8K5.4030.755271,8424,167
2010-11-15$31.72$25.0027.5%7.9%15.0%35.4%0.0%3.5%2.8%-126.6K-3.0M-13.4K1.8060.07591,8424,188
2010-11-16$31.37$25.0027.1%7.8%12.5%34.3%0.0%9.1%3.5%-162.7K-2.7M-13.7K0.0048.10001,8374,197
2010-11-17$31.72$25.0026.8%7.7%12.8%33.2%0.0%11.1%3.6%-120.4K-3.0M-12.8K0.0055.19001,8374,197
2010-11-18$31.90$25.0026.0%7.5%12.9%30.4%25.5%12.1%4.5%-30.1K-3.4M-12.4K0.0057.15101,8374,197
2010-11-19$32.02$25.0026.3%7.5%12.7%31.4%0.0%13.0%3.6%-19.8K-3.5M-12.2K12.5055.774501,8384,197
2010-11-22$32.24$25.0025.5%7.3%12.2%28.7%25.4%12.6%2.3%-6.4K-3.6M-11.2K6.7579.83322161,8133,229
2010-11-23$32.03$25.0027.1%7.8%12.2%34.1%26.3%2.6%0.8%-20.0K-3.1M-12.8K0.0058.761101,8433,445
2010-11-24$32.66$25.0030.7%8.8%13.5%46.8%16.0%18.6%10.1%-18.3K-3.6M-12.5K0.0074.433501,8433,445
2010-11-26$32.41$25.0025.5%7.3%13.8%28.7%24.0%5.5%3.5%-18.9K-3.5M-12.4K0.0071.431401,8433,445
2010-11-29$32.44$25.0025.6%7.3%13.8%29.1%0.0%17.2%5.4%-19.2K-3.4M-12.4K0.0056.66001,8433,445
2010-11-30$32.17$25.0024.1%6.9%14.1%24.0%20.3%2.4%7.3%-20.6K-3.3M-12.3K0.2956.16721,8433,445