IT Options History — May 2011

In May 2011, IT traded between $37.29 and $42.30. ATM implied volatility averaged 23.1%, placing in the 12.3% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded below realized volatility by 11.0% (HV 20d: 34.1%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 2.90.

Notable Days

  • 2011-05-05: Highest Volume — 273 contracts
  • 2011-05-05: Largest IV drop — 35.1% change
  • 2011-05-04: Highest IV Rank — 27.2%
  • 2011-05-04: Largest Expected Move — 9.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.97$37.29$42.30$42.30$39.03
Max Pain$39.05$35.00$40.00$35.00$40.00
ATM IV23.1%16.6%32.2%31.6%19.6%
Expected Move6.7%4.8%9.2%9.1%5.6%
HV 20d34.1%17.8%37.9%18.0%36.9%
HV 60d28.4%26.0%32.2%27.1%26.1%
IV Rank12.3%1.6%27.2%26.3%6.5%
IV Percentile26.2%2.4%78.6%76.2%9.1%
Term Structure1.3%-4.4%4.0%-3.6%2.0%
VWIV25.8%22.7%30.5%30.5%27.3%
Skew 25d5.7%-7.3%47.0%3.1%47.0%
Skew 10d10.9%-5.6%61.7%4.4%61.7%
Call IV 25d22.2%19.1%29.5%28.2%19.9%
Put IV 25d28.0%15.6%66.9%31.3%66.9%
Bid-Ask Spread %40.3930.0355.1530.0349.00
Gamma HHI0.480.400.760.410.76
Net GEX-206.0K-254.9K-99.3K-99.3K-192.2K
Net DEX2.9M-110.6K4.4M-110.6K2.9M
Net VEX-19.0K-22.1K-16.0K-17.7K-16.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.900.0022.220.331.00
Total Volume48.04802737214
Total OI3,905.9523,6134,0553,6133,869

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-05-02$42.30$35.0031.6%9.1%18.0%26.3%30.5%3.1%-3.6%-99.3K-110.6K-17.7K0.3330.0354188052,808
2011-05-03$42.05$35.0031.7%9.1%17.9%26.3%0.0%3.3%-4.3%-107.5K177.3K-18.3K22.2233.4692008492,826
2011-05-04$42.12$35.0032.2%9.2%17.8%27.2%29.1%2.4%-4.4%-116.8K314.3K-20.1K1.1833.5755658503,026
2011-05-05$38.49$35.0020.9%6.0%36.7%8.6%23.3%-7.3%-0.4%-216.7K3.4M-22.1K2.3750.86811928963,091
2011-05-06$39.24$40.0022.4%6.9%37.6%11.1%29.1%9.0%1.8%-192.4K2.5M-21.2K4.5038.7310458773,032
2011-05-09$39.04$40.0020.3%6.8%37.0%7.7%23.8%7.9%1.8%-205.9K2.8M-20.7K0.0040.022208693,041
2011-05-10$38.74$40.0020.2%6.6%37.1%7.4%26.0%5.9%2.5%-216.3K3.2M-20.5K2.1235.9917368803,041
2011-05-11$39.15$40.0023.1%6.6%37.2%12.3%22.7%6.6%2.6%-208.7K2.8M-20.2K0.8438.7219168763,041
2011-05-12$39.19$40.0023.3%6.7%37.3%12.5%23.3%7.4%2.7%-201.4K2.7M-20.3K0.0037.990108863,049
2011-05-13$38.73$40.0022.7%6.5%37.2%11.6%22.7%6.2%3.0%-212.9K3.1M-19.9K0.5936.2517108863,049
2011-05-16$37.85$40.0023.5%6.8%37.8%13.0%0.0%3.8%2.3%-233.6K4.0M-19.3K0.0038.2901008933,049
2011-05-17$38.13$40.0022.7%6.5%37.9%11.6%27.3%3.5%2.6%-234.9K3.8M-19.2K1.0037.60118933,149
2011-05-18$38.37$40.0021.8%6.3%37.7%10.2%0.0%4.0%3.7%-228.0K3.5M-19.2K1.0037.28778923,149
2011-05-19$38.47$40.0021.4%6.1%36.1%9.5%0.0%5.5%3.9%-227.3K3.4M-19.0K0.0039.08008993,156
2011-05-20$38.21$40.0021.3%6.1%35.2%9.2%0.0%4.0%4.0%-236.2K3.7M-18.4K0.0040.00008993,156
2011-05-23$37.29$40.0026.3%7.5%35.8%17.4%0.0%2.8%1.0%-254.9K4.4M-18.3K0.5037.09217363,131
2011-05-24$37.49$40.0026.0%7.5%36.1%17.0%0.0%3.3%1.1%-254.3K4.3M-18.0K0.0041.91007383,131
2011-05-25$37.77$40.0020.6%5.9%35.7%8.1%0.0%5.6%2.1%-242.3K4.0M-17.1K0.0047.28007383,131
2011-05-26$38.22$40.0017.5%5.0%36.3%3.0%0.0%0.3%1.3%-234.0K3.6M-17.1K0.0055.15007383,131
2011-05-27$38.56$40.0016.6%4.8%36.6%1.6%0.0%-3.9%2.2%-210.8K3.2M-16.7K0.0049.95007383,131
2011-05-31$39.03$40.0019.6%5.6%36.9%6.5%0.0%47.0%2.0%-192.2K2.9M-16.0K1.0049.00777383,131