IT Options History — March 2011

In March 2011, IT traded between $37.36 and $41.67. ATM implied volatility averaged 24.8%, placing in the 15.1% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded below realized volatility by 6.8% (HV 20d: 31.6%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 22 of 23 days. Put/call ratio averaged 5.95.

Notable Days

  • 2011-03-03: Highest Volume — 490 contracts
  • 2011-03-02: Largest IV spike — 15.0% change
  • 2011-03-15: Highest IV Rank — 22.9%
  • 2011-03-15: Largest Expected Move — 8.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.18$37.36$41.67$37.65$41.67
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV24.8%20.0%29.6%21.8%20.0%
Expected Move7.2%5.7%8.5%6.2%5.7%
HV 20d31.6%18.6%40.3%37.8%18.6%
HV 60d27.0%25.4%27.5%25.5%27.2%
IV Rank15.1%7.1%22.9%10.0%7.1%
IV Percentile31.0%9.5%63.9%15.5%9.5%
Term Structure2.7%-0.1%10.7%0.2%10.7%
VWIV24.9%17.2%32.3%17.2%23.4%
Skew 25d5.1%-3.9%10.9%3.1%10.9%
Skew 10d11.2%-6.5%41.9%16.6%41.9%
Call IV 25d22.2%14.6%26.7%25.7%14.6%
Put IV 25d27.3%20.5%33.5%28.8%25.5%
Bid-Ask Spread %35.9324.7548.3628.0445.47
Gamma HHI0.480.430.580.460.58
Net GEX-103.3K-211.6K-12.6K-128.8K-48.1K
Net DEX-794.3K-1.8M-152.6K-640.4K-546.8K
Net VEX-14.4K-16.1K-12.2K-13.4K-16.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.950.0097.000.4397.00
Total Volume97.957049043294
Total OI4,155.7392,1875,4494,7332,939

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-03-01$37.65$35.0021.8%6.2%37.8%10.0%17.2%3.1%0.2%-128.8K-640.4K-13.4K0.4328.0430131,4163,317
2011-03-02$37.36$35.0025.0%7.2%37.8%15.4%0.0%3.6%9.8%-122.5K-463.0K-13.5K0.0031.251901,4463,327
2011-03-03$38.78$35.0025.0%7.2%39.7%15.4%25.0%-3.6%0.3%-155.5K-1.8M-12.2K9.8924.75454451,4603,327
2011-03-04$38.51$35.0025.7%7.4%39.9%16.5%25.9%6.5%1.3%-177.4K-1.1M-15.5K0.0032.3812001,4543,748
2011-03-07$38.00$35.0024.2%7.5%40.3%14.1%0.0%6.1%1.2%-146.7K-812.8K-16.1K0.0033.21401,5743,727
2011-03-08$38.23$35.0022.8%7.5%40.2%11.7%0.0%6.5%0.9%-154.5K-1.1M-15.4K0.2933.8641121,5723,727
2011-03-09$38.81$35.0024.8%7.5%38.4%15.1%0.0%8.1%1.4%-186.8K-1.6M-14.9K1.0034.8310101,5643,739
2011-03-10$37.99$35.0027.5%7.9%37.0%19.5%0.0%5.0%0.3%-145.2K-770.6K-15.0K0.0034.89501,5603,729
2011-03-11$39.08$35.0026.5%7.6%37.0%17.9%0.0%7.7%1.2%-211.6K-1.8M-14.5K0.0033.61301,5553,729
2011-03-14$38.74$35.0027.5%7.9%37.0%19.5%31.6%8.3%0.3%-196.8K-1.4M-13.7K0.8534.4860511,5523,729
2011-03-15$38.54$35.0029.6%8.5%37.0%22.9%0.0%7.5%-0.1%-140.6K-1.1M-14.2K0.0032.740731,6123,769
2011-03-16$38.32$35.0029.1%8.3%34.7%22.1%32.3%7.9%0.7%-114.7K-774.3K-14.5K0.0037.325101,6123,837
2011-03-17$38.26$35.0027.8%8.0%34.7%20.0%0.0%5.1%0.8%-113.7K-621.3K-14.3K0.0035.44001,5933,837
2011-03-18$38.77$35.0025.9%7.4%32.3%16.9%26.0%7.1%2.5%-149.1K-898.2K-13.8K1.3037.3323301,5933,837
2011-03-21$39.58$35.0024.7%7.1%24.7%14.9%0.0%8.8%3.0%-16.3K-222.8K-13.2K0.0048.362406771,510
2011-03-22$39.69$35.0023.8%6.8%24.4%13.5%23.8%0.5%3.2%-14.2K-288.1K-12.8K3.2835.89722366771,510
2011-03-23$39.89$35.0023.5%6.7%23.0%12.9%23.5%1.5%3.8%-24.0K-152.6K-14.7K1.4336.4021307341,688
2011-03-24$40.09$35.0023.6%6.8%22.6%13.1%23.6%4.5%3.6%-20.2K-311.9K-14.9K0.0037.281107551,707
2011-03-25$40.40$35.0023.5%6.7%22.5%12.9%0.0%-3.9%3.7%-16.8K-535.6K-14.3K0.0038.76207541,707
2011-03-28$40.69$35.0023.9%6.9%22.5%13.6%0.0%4.7%3.0%-12.6K-698.5K-13.5K0.0041.1503007561,707
2011-03-29$40.92$35.0022.8%6.5%22.4%11.7%0.0%5.4%4.5%-41.0K-330.9K-15.7K0.0038.882507562,007
2011-03-30$41.14$35.0021.9%6.3%22.0%10.3%21.7%5.3%5.1%-39.4K-436.9K-15.5K3.4940.00431507492,007
2011-03-31$41.67$35.0020.0%5.7%18.6%7.1%23.4%10.9%10.7%-48.1K-546.8K-16.1K97.0045.4732917822,157