IT Options History — December 2010

In December 2010, IT traded between $32.39 and $33.75. ATM implied volatility averaged 27.0%, placing in the 25.0% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 10.1% (HV 20d: 16.9%). Max pain ranged from $25.00 to $35.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 4.20.

Notable Days

  • 2010-12-29: Highest Volume — 229 contracts
  • 2010-12-13: Largest IV spike — 214.6% change
  • 2010-12-08: Highest IV Rank — 100.0%
  • 2010-12-01: Largest Expected Move — 9.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.16$32.39$33.75$33.02$33.20
Max Pain$30.91$25.00$35.00$25.00$35.00
ATM IV27.0%16.4%76.6%34.1%17.5%
Expected Move6.0%4.7%9.8%9.8%5.0%
HV 20d16.9%13.8%18.2%16.3%14.0%
HV 60d16.7%14.8%21.3%21.3%15.0%
IV Rank25.0%0.0%100.0%58.6%1.9%
IV Percentile26.4%0.0%100.0%86.9%1.6%
Term Structure5.5%2.4%10.2%10.2%7.1%
VWIV20.9%18.7%23.5%20.5%18.7%
Skew 25d0.0%-8.7%14.1%14.1%-8.7%
Skew 10d2.3%-3.8%8.6%8.6%-3.7%
Call IV 25d21.1%14.4%24.7%14.4%24.7%
Put IV 25d21.1%15.0%28.5%28.5%16.0%
Bid-Ask Spread %50.6929.9991.4845.9065.38
Gamma HHI0.460.370.540.410.37
Net GEX-19.6K-34.5K-11.5K-17.8K-34.5K
Net DEX-2.3M-4.2M139.1K-3.8M139.1K
Net VEX-11.5K-12.4K-10.5K-11.7K-12.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.200.0056.250.000.00
Total Volume32.4090229319
Total OI4,150.7272,2345,4585,2902,527

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-12-01$33.02$25.0034.1%9.8%16.3%58.6%20.5%14.1%10.2%-17.8K-3.8M-11.7K0.0045.90301,8433,447
2010-12-02$33.54$25.0018.3%5.2%16.9%3.7%0.0%-2.8%2.8%-14.8K-4.2M-10.9K0.1233.793441,8443,447
2010-12-03$33.13$25.0026.0%7.5%16.7%30.4%0.0%8.5%9.6%-14.8K-3.9M-11.4K0.0037.9401091,8683,447
2010-12-06$33.02$30.0040.2%6.6%16.8%79.3%0.0%4.1%3.8%-21.6K-3.7M-12.4K0.0041.160411,8683,556
2010-12-07$32.98$30.0022.1%6.6%16.8%16.0%0.0%3.1%3.5%-22.1K-3.7M-11.9K0.0035.342001,8683,556
2010-12-08$33.00$30.0046.4%6.9%16.7%100.0%0.0%1.1%2.4%-22.3K-3.7M-12.1K0.0091.48001,8663,556
2010-12-09$32.42$30.0023.1%7.3%17.8%19.6%0.0%2.5%4.1%-24.9K-3.4M-11.9K0.0038.952001,8663,556
2010-12-10$32.39$30.0020.9%7.1%17.7%12.0%0.0%3.1%5.5%-24.8K-3.4M-11.9K0.0046.792001,8763,556
2010-12-13$32.64$30.0065.9%5.6%17.5%100.0%23.5%1.0%2.9%-22.4K-3.6M-11.8K0.0043.122801,8963,556
2010-12-14$32.71$30.0076.6%5.4%17.5%100.0%0.0%1.9%4.8%-20.2K-3.6M-12.0K0.0058.83801,9023,556
2010-12-15$32.60$30.0018.1%5.2%17.0%1.1%0.0%2.2%4.6%-20.3K-3.6M-11.7K0.0041.32101,9023,556
2010-12-16$32.81$30.0020.2%5.8%16.7%4.6%0.0%0.4%5.0%-19.1K-3.7M-11.6K0.0065.46001,9023,556
2010-12-17$33.54$30.0020.5%5.9%18.2%5.2%0.0%3.5%5.2%-15.2K-4.1M-11.4K0.0065.103801,9023,556
2010-12-20$33.63$30.0019.7%5.6%18.2%3.7%0.0%-3.0%5.4%-12.7K-420.9K-10.8K0.0061.202507981,436
2010-12-21$33.70$30.0019.0%5.4%18.1%2.5%18.7%-2.3%5.7%-11.5K-460.7K-10.9K2.5044.684108031,436
2010-12-22$33.43$35.0018.9%5.4%18.2%2.4%0.0%-4.1%5.5%-15.1K-330.7K-11.1K0.0046.730408031,446
2010-12-23$33.39$35.0016.4%4.7%17.0%0.0%0.0%-5.8%6.1%-17.8K-299.4K-11.1K0.0062.371508031,486
2010-12-27$33.52$35.0019.3%5.5%16.7%4.8%0.0%-3.8%6.3%-16.5K-379.9K-10.7K0.0029.99008181,486
2010-12-28$33.44$35.0016.4%4.7%16.8%0.1%0.0%-7.0%6.8%-15.6K-379.2K-10.5K0.0063.110258181,486
2010-12-29$33.58$35.0016.6%4.8%16.4%0.5%0.0%-4.9%6.5%-16.7K-409.4K-10.6K56.2550.4942258181,511
2010-12-30$33.75$35.0018.5%5.3%13.8%3.6%0.0%-2.6%6.7%-29.4K-149.8K-12.4K0.0046.022008181,719
2010-12-31$33.20$35.0017.5%5.0%14.0%1.9%0.0%-8.7%7.1%-34.5K139.1K-12.4K0.0065.380198081,719