IT Options History — August 2011

In August 2011, IT traded between $32.19 and $38.22. ATM implied volatility averaged 39.2%, placing in the 39.9% IV rank vs the trailing year. The 30-day expected move averaged 10.7%. IV traded below realized volatility by 6.6% (HV 20d: 45.8%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 1 of 23 days. Put/call ratio averaged 1.17.

Notable Days

  • 2011-08-02: Highest Volume — 165 contracts
  • 2011-08-04: Largest IV spike — 44.9% change
  • 2011-08-10: Highest IV Rank — 64.7%
  • 2011-08-22: Largest Expected Move — 14.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.24$32.19$38.22$37.34$35.62
Max Pain$39.13$35.00$40.00$35.00$40.00
ATM IV39.2%25.7%54.6%37.5%33.7%
Expected Move10.7%7.4%14.0%10.7%9.7%
HV 20d45.8%20.3%59.9%21.5%59.4%
HV 60d32.6%22.1%38.9%22.5%38.5%
IV Rank39.9%18.2%64.7%37.1%31.1%
IV Percentile92.0%52.0%99.2%98.0%83.3%
Term Structure-3.4%-10.5%5.0%-5.3%-1.2%
VWIV36.1%26.1%47.4%32.1%33.7%
Skew 25d9.0%3.6%15.2%5.1%15.2%
Skew 10d17.6%5.4%31.6%5.4%26.0%
Call IV 25d31.5%23.8%39.6%31.9%24.9%
Put IV 25d40.5%30.1%49.6%37.0%40.1%
Bid-Ask Spread %48.0621.6385.5239.9632.01
Gamma HHI0.410.350.490.430.42
Net GEX-87.0K-109.4K-67.6K-101.3K-107.4K
Net DEX4.1M2.4M5.2M3.2M4.2M
Net VEX-14.7K-19.4K-10.5K-17.6K-13.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.170.005.000.440.08
Total Volume42.43501651311
Total OI3,287.873,0673,4413,0673,441

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-08-01$37.34$35.0037.5%10.7%21.5%37.1%32.1%5.1%-5.3%-101.3K3.2M-17.6K0.4439.96949452,122
2011-08-02$37.48$35.0029.9%8.6%20.3%25.0%26.1%4.1%5.0%-98.5K3.1M-17.8K0.3245.17125409542,125
2011-08-03$38.22$35.0025.7%7.4%22.0%18.2%0.0%3.6%-1.2%-90.6K2.4M-19.4K0.0045.421101,0772,142
2011-08-04$36.16$35.0037.2%10.7%28.4%36.8%37.2%11.1%-4.2%-87.5K3.6M-17.1K0.0060.641001,0772,142
2011-08-05$35.73$40.0040.9%10.1%28.5%42.6%35.4%5.9%-3.1%-80.2K3.7M-16.7K2.9044.3010291,0872,142
2011-08-08$33.66$40.0049.8%10.4%33.8%56.9%36.5%12.7%-2.1%-69.2K4.6M-13.7K0.0083.780811,0972,167
2011-08-09$36.15$40.0049.4%11.8%44.2%56.4%41.0%8.6%-6.8%-78.7K3.4M-17.5K0.7578.69861,0972,192
2011-08-10$34.95$40.0054.6%11.5%45.3%64.7%0.0%5.5%-4.5%-76.0K4.0M-15.6K0.0084.140101,1042,198
2011-08-11$35.69$40.0039.6%11.3%46.1%40.5%0.0%7.6%-3.8%-76.9K3.7M-16.6K0.0085.52001,1042,208
2011-08-12$36.18$40.0037.2%10.7%46.5%36.6%0.0%8.4%-3.8%-84.5K3.7M-16.4K2.2070.0210221,1042,208
2011-08-15$36.49$40.0036.0%10.3%46.4%34.8%33.0%7.2%-2.2%-84.8K3.6M-15.8K3.1341.3616501,1142,230
2011-08-16$35.94$40.0035.1%10.1%46.1%33.4%0.0%6.1%-1.8%-94.3K3.9M-15.2K5.0038.0710501,1242,264
2011-08-17$36.04$40.0036.1%10.3%46.2%34.9%34.0%7.3%-2.7%-92.7K3.9M-15.8K0.3245.4531101,1342,298
2011-08-18$32.98$40.0039.0%11.2%55.1%39.6%38.9%12.3%-3.2%-71.0K5.1M-11.4K0.2058.1356111,1382,249
2011-08-19$32.19$40.0048.7%14.0%55.4%55.2%0.0%10.0%-10.5%-67.6K5.2M-10.5K0.0034.202301,1592,251
2011-08-22$32.47$40.0048.9%14.0%55.7%55.4%0.0%10.3%-7.8%-69.0K5.2M-10.5K0.0037.430369882,195
2011-08-23$33.88$40.0039.2%11.2%58.3%39.9%39.2%12.8%-3.9%-84.9K4.8M-12.2K0.8726.3123209882,213
2011-08-24$34.28$40.0038.1%10.9%57.9%38.2%38.1%12.0%-3.7%-91.8K4.8M-12.4K1.3323.2830409992,233
2011-08-25$33.53$40.0038.7%11.1%57.5%39.1%47.4%12.2%-3.3%-83.6K5.0M-12.0K0.0027.220121,0222,265
2011-08-26$34.28$40.0038.0%10.9%58.3%38.0%0.0%13.2%-3.9%-92.9K4.8M-12.1K0.0034.730201,0222,265
2011-08-29$35.56$40.0034.3%9.8%59.9%32.0%34.3%7.2%-2.2%-109.4K4.4M-13.3K0.0848.04131101,0222,285
2011-08-30$35.81$40.0034.1%9.8%59.9%31.7%34.1%8.6%-2.0%-108.8K4.1M-14.3K0.0021.630111,1352,295
2011-08-31$35.62$40.0033.7%9.7%59.4%31.1%33.7%15.2%-1.2%-107.4K4.2M-13.9K0.0032.010111,1352,306