IT Options History — October 2011

In October 2011, IT traded between $32.86 and $40.65. ATM implied volatility averaged 35.0%, placing in the 33.2% IV rank vs the trailing year. The 30-day expected move averaged 10.3%. IV traded below realized volatility by 7.6% (HV 20d: 42.7%). 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 6 of 21 days. Put/call ratio averaged 0.75.

Notable Days

  • 2011-10-24: Highest Volume — 393 contracts
  • 2011-10-13: Largest IV spike — 32.2% change
  • 2011-10-04: Highest IV Rank — 43.1%
  • 2011-10-04: Largest Expected Move — 11.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.16$32.86$40.65$32.86$38.52
Max Pain$39.05$35.00$40.00$35.00$40.00
ATM IV35.0%25.5%41.2%40.9%35.6%
Expected Move10.3%9.1%11.8%11.7%10.2%
HV 20d42.7%38.1%47.9%45.3%38.1%
HV 60d46.5%44.6%47.9%44.6%47.3%
IV Rank33.2%17.9%43.1%42.7%34.1%
IV Percentile79.7%42.9%96.8%96.8%81.7%
Term Structure-1.0%-3.5%3.3%0.6%-3.3%
VWIV35.8%31.7%38.5%38.1%33.9%
Skew 25d5.6%-5.7%15.1%8.9%-5.7%
Skew 10d10.9%-0.5%34.3%14.9%-0.5%
Call IV 25d32.0%24.7%41.4%41.4%33.8%
Put IV 25d37.6%28.1%50.3%50.3%28.1%
Bid-Ask Spread %75.7818.53100.3622.56100.36
Gamma HHI0.430.350.520.430.38
Net GEX-37.9K-51.6K-6.8K-39.5K-28.2K
Net DEX789.1K-1.2M2.3M2.3M391.3K
Net VEX-14.9K-17.1K-12.0K-12.0K-16.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.750.003.002.001.00
Total Volume54.61903939020
Total OI2,835.7142,4503,2532,4503,253

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-10-03$32.86$35.0040.9%11.7%45.3%42.7%0.0%8.9%0.6%-39.5K2.3M-12.0K2.0022.5630609041,546
2011-10-04$34.28$35.0041.2%11.8%47.9%43.1%0.0%14.1%1.3%-41.9K1.9M-13.6K2.0423.6423479341,606
2011-10-05$34.69$35.0038.1%10.9%45.4%38.2%38.1%15.1%3.0%-44.0K1.9M-13.7K3.0028.2610309471,643
2011-10-06$35.35$35.0037.0%10.6%45.8%36.3%0.0%6.7%3.3%-42.1K1.6M-14.1K0.0018.53209571,653
2011-10-07$34.87$40.0036.2%11.0%45.4%35.0%38.5%7.4%-0.0%-42.9K1.8M-13.6K0.0034.850109551,653
2011-10-10$36.04$40.0036.4%11.4%46.0%35.5%0.0%8.4%-2.0%-41.5K1.3M-14.2K0.0062.032009551,653
2011-10-11$36.30$40.0034.8%10.8%44.7%32.8%0.0%5.1%0.1%-39.8K1.2M-14.4K0.0086.201009751,653
2011-10-12$37.51$40.0025.5%9.8%45.1%17.9%0.0%4.1%-2.6%-34.1K543.9K-14.8K0.0092.3002009851,653
2011-10-13$37.56$40.0033.7%9.7%45.1%31.1%33.4%4.7%-1.3%-49.0K723.8K-15.7K0.3790.5427109851,830
2011-10-14$37.90$40.0034.4%9.9%40.1%32.2%0.0%5.7%-1.6%-44.8K545.7K-15.7K0.0086.54001,0121,833
2011-10-17$36.80$40.0038.2%11.0%40.5%38.4%36.8%0.7%-2.5%-51.6K1.1M-14.8K0.0989.85114101,0121,833
2011-10-18$37.69$40.0034.3%9.8%40.9%32.1%0.0%5.0%-0.4%-45.8K659.9K-15.2K0.0091.592001,0231,838
2011-10-19$37.20$40.0037.2%10.7%40.1%36.7%37.8%1.8%0.5%-46.5K845.1K-15.0K0.0091.77021,0431,838
2011-10-20$37.19$40.0037.4%10.7%39.2%37.0%0.0%3.6%-1.7%-47.8K889.9K-14.8K0.0093.68001,0431,838
2011-10-21$38.08$40.0032.8%9.4%39.9%29.6%0.0%6.1%-1.4%-43.0K451.5K-15.0K0.0092.571101,0431,838
2011-10-24$39.28$40.0031.6%9.1%40.5%27.8%31.7%7.3%-2.3%-33.4K-187.9K-14.2K1.9197.001352581,0121,798
2011-10-25$38.45$40.0033.1%9.5%41.4%30.2%0.0%2.2%-2.1%-34.8K445.5K-16.8K0.5098.1920101,1422,028
2011-10-26$38.99$40.0033.9%9.7%40.6%31.4%33.9%8.8%-2.0%-29.5K139.0K-17.1K0.0091.392801,1622,038
2011-10-27$40.65$40.0031.6%9.1%42.7%27.7%0.0%3.8%-3.5%-6.8K-1.2M-16.0K0.0099.87001,1852,038
2011-10-28$40.19$40.0031.7%9.1%41.4%27.8%0.0%2.8%-2.6%-9.6K-866.9K-16.2K0.3399.6430101,1852,028
2011-10-31$38.52$40.0035.6%10.2%38.1%34.1%0.0%-5.7%-3.3%-28.2K391.3K-16.8K1.00100.3610101,2152,038