IT Options History — June 2011

In June 2011, IT traded between $36.12 and $40.29. ATM implied volatility averaged 21.0%, placing in the 10.6% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded below realized volatility by 3.9% (HV 20d: 24.9%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 2.27.

Notable Days

  • 2011-06-27: Highest Volume — 708 contracts
  • 2011-06-06: Largest IV spike — 65.3% change
  • 2011-06-08: Highest IV Rank — 20.5%
  • 2011-06-06: Largest Expected Move — 7.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.85$36.12$40.29$37.89$40.29
Max Pain$38.64$35.00$40.00$40.00$35.00
ATM IV21.0%14.4%27.1%15.0%21.3%
Expected Move6.2%4.3%7.5%4.3%6.1%
HV 20d24.9%21.6%38.4%38.0%24.2%
HV 60d27.0%26.3%28.1%26.7%28.1%
IV Rank10.6%0.0%20.5%0.0%11.2%
IV Percentile21.8%0.0%54.8%0.0%19.8%
Term Structure3.9%1.8%10.9%10.9%4.9%
VWIV25.3%21.7%32.0%22.3%21.7%
Skew 25d3.2%-6.8%33.8%-1.8%2.9%
Skew 10d5.7%-4.0%51.5%-0.1%3.8%
Call IV 25d21.4%15.8%24.0%18.2%19.1%
Put IV 25d24.6%15.2%54.6%16.4%22.1%
Bid-Ask Spread %46.0632.5558.0449.4047.18
Gamma HHI0.500.450.610.480.47
Net GEX-172.2K-333.0K-83.8K-230.5K-83.8K
Net DEX3.3M1.2M5.2M3.9M1.2M
Net VEX-14.5K-20.8K-11.2K-15.6K-20.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.270.0018.333.5018.33
Total Volume72.18207089232
Total OI3,172.7271,6683,8553,8552,805

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-06-01$37.89$40.0015.0%4.3%38.0%0.0%0.0%-1.8%10.9%-230.5K3.9M-15.6K3.5049.40277313,124
2011-06-02$38.34$40.0017.4%5.0%38.4%3.9%0.0%-6.8%2.8%-201.2K3.5M-14.8K0.0058.04007293,124
2011-06-03$37.97$40.0014.4%6.4%21.6%0.0%0.0%4.4%2.3%-218.6K3.8M-14.9K0.0035.62007293,124
2011-06-06$36.89$40.0023.7%7.5%22.5%15.1%0.0%2.4%2.5%-270.5K4.8M-14.1K0.0034.17007293,124
2011-06-07$36.90$40.0019.3%7.2%22.5%7.9%0.0%2.0%2.6%-222.5K4.6M-12.8K0.0038.43407293,124
2011-06-08$36.53$40.0027.1%7.4%22.6%20.5%0.0%2.0%1.9%-292.4K5.1M-13.5K0.0039.130127293,124
2011-06-09$36.63$40.0025.1%7.2%22.1%17.3%0.0%3.3%2.5%-280.8K5.0M-13.0K0.0042.50007293,112
2011-06-10$36.12$40.0025.4%7.3%22.4%17.7%0.0%8.6%2.2%-333.0K5.2M-12.6K0.0046.06007293,087
2011-06-13$36.54$40.0025.4%7.3%22.8%17.7%0.0%2.1%2.6%-230.7K4.5M-11.8K0.0051.17007293,057
2011-06-14$37.24$40.0025.3%7.3%22.8%17.6%0.0%2.9%1.8%-151.8K4.2M-11.7K0.0040.14007293,057
2011-06-15$37.53$40.0018.3%5.2%22.8%6.3%0.0%3.2%3.8%-154.6K3.3M-12.0K0.0044.28007292,842
2011-06-16$37.14$40.0021.4%6.1%22.9%11.4%0.0%3.4%10.9%-186.1K3.5M-11.4K0.0048.12407132,842
2011-06-17$37.22$40.0025.8%7.4%22.9%18.3%0.0%4.0%3.5%-142.2K3.2M-11.3K0.0549.712017142,794
2011-06-20$38.00$40.0018.1%5.2%24.1%6.1%0.0%2.0%3.5%-122.9K2.5M-11.2K0.6750.093022012081,460
2011-06-21$38.98$40.0020.2%5.8%24.0%9.3%0.0%-2.2%3.4%-98.8K1.8M-15.4K0.0050.37005101,631
2011-06-22$38.29$40.0017.4%5.0%25.0%4.8%22.3%2.1%3.3%-99.7K2.1M-15.1K1.0053.40115101,631
2011-06-23$38.66$35.0016.9%4.8%25.1%4.1%0.0%-4.7%3.9%-98.8K2.0M-15.2K0.0051.610265111,632
2011-06-24$38.00$35.0018.6%5.3%25.6%6.9%0.0%1.6%3.3%-97.3K2.3M-14.9K0.0032.55505111,657
2011-06-27$38.56$35.0021.9%6.3%25.9%12.2%32.0%5.5%4.2%-94.4K1.9M-15.4K1.4255.772924165161,657
2011-06-28$39.20$35.0022.5%6.5%26.2%13.1%0.0%-1.2%3.8%-91.5K2.0M-20.8K0.0048.605207612,022
2011-06-29$39.80$35.0022.3%6.4%24.2%12.8%0.0%33.8%4.5%-86.9K1.6M-20.7K0.0047.031007732,022
2011-06-30$40.29$35.0021.3%6.1%24.2%11.2%21.7%2.9%4.9%-83.8K1.2M-20.7K18.3347.18122207832,022