IT Options History — December 2011

In December 2011, IT traded between $34.59 and $37.50. ATM implied volatility averaged 26.8%, placing in the 26.4% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded above realized volatility by 3.7% (HV 20d: 23.1%). 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 21 of 21 days. Put/call ratio averaged 0.32.

Notable Days

  • 2011-12-06: Highest Volume — 1,000 contracts
  • 2011-12-12: Largest IV spike — 50.1% change
  • 2011-12-15: Highest IV Rank — 38.1%
  • 2011-12-05: Largest Expected Move — 8.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.91$34.59$37.50$37.50$34.77
Max Pain$35.48$35.00$40.00$40.00$35.00
ATM IV26.8%21.5%32.3%22.7%25.8%
Expected Move8.0%6.2%8.6%6.5%7.4%
HV 20d23.1%21.9%26.6%23.8%22.1%
HV 60d33.5%29.2%36.7%36.7%29.2%
IV Rank26.4%11.5%38.1%13.4%28.5%
IV Percentile46.7%22.2%71.4%27.0%40.5%
Term Structure3.7%1.7%6.5%5.9%4.7%
VWIV26.1%25.5%26.8%25.5%26.1%
Skew 25d3.3%-1.0%8.6%1.7%0.3%
Skew 10d3.9%-1.2%9.1%2.4%0.6%
Call IV 25d23.7%19.2%27.2%19.2%24.8%
Put IV 25d27.0%19.6%30.0%20.8%25.1%
Bid-Ask Spread %96.8633.48112.45110.3499.13
Gamma HHI0.530.300.860.440.35
Net GEX-80.7K-288.6K-19.4K-32.8K-27.5K
Net DEX2.1M1.1M3.5M1.6M1.4M
Net VEX-10.1K-13.0K-8.6K-10.0K-8.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.320.004.000.000.00
Total Volume62.38101,000100
Total OI2,922.5711,9983,8133,2112,066

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-12-01$37.50$40.0022.7%6.5%23.8%13.4%0.0%1.7%5.9%-32.8K1.6M-10.0K0.00110.341001,2731,938
2011-12-02$37.25$40.0021.6%6.2%23.8%11.7%0.0%-1.0%6.5%-42.7K1.8M-9.5K0.00108.92001,2831,938
2011-12-05$37.28$35.0024.0%8.6%22.1%15.4%0.0%3.2%3.9%-39.2K1.8M-9.0K0.0093.000801,2831,938
2011-12-06$37.20$35.0032.1%8.5%22.1%28.5%25.5%4.2%3.8%-53.1K1.8M-10.1K4.0093.552008001,2831,967
2011-12-07$37.06$35.0027.6%8.6%22.1%21.3%0.0%3.8%2.4%-67.7K2.6M-13.0K0.0033.481001,4832,295
2011-12-08$36.15$35.0031.3%8.6%22.5%27.2%0.0%0.6%2.0%-114.8K3.2M-12.2K0.0093.211001,4832,295
2011-12-09$36.50$35.0021.5%8.5%22.6%11.5%0.0%3.4%3.1%-96.0K2.9M-11.6K0.0098.88201,4772,295
2011-12-12$36.46$35.0032.3%8.4%22.1%28.9%0.0%3.2%3.5%-134.6K3.0M-11.3K0.0095.211001,4752,295
2011-12-13$36.25$35.0024.8%8.4%21.9%16.7%0.0%2.8%3.8%-106.3K2.9M-10.9K0.00112.45061,4852,295
2011-12-14$35.39$35.0021.7%8.5%22.9%18.2%0.0%5.7%2.8%-280.6K3.5M-10.5K0.00100.116001,4852,288
2011-12-15$35.65$35.0029.7%8.5%23.0%38.1%0.0%6.3%3.0%-214.6K3.2M-10.9K0.00100.43001,5252,288
2011-12-16$35.46$35.0029.4%8.4%22.1%37.3%0.0%5.6%3.3%-288.6K3.3M-10.3K0.00100.161501,5252,288
2011-12-19$35.00$35.0029.5%8.5%22.4%37.5%0.0%3.2%2.0%-23.6K1.4M-9.5K0.3399.79318111,187
2011-12-20$36.05$35.0029.0%8.3%24.6%36.4%0.0%8.6%2.2%-19.4K1.1M-10.1K0.00101.281308141,188
2011-12-21$35.01$35.0029.5%8.5%26.6%37.6%0.0%3.4%1.7%-24.2K1.4M-9.4K0.0099.452308141,188
2011-12-22$34.99$35.0026.8%7.7%25.2%31.0%26.8%3.4%3.9%-25.7K1.3M-9.2K0.0098.271108131,188
2011-12-23$35.38$35.0026.0%7.4%25.5%28.8%0.0%3.8%4.4%-24.2K1.3M-9.0K0.0099.70018241,188
2011-12-27$35.33$35.0026.1%7.5%22.2%29.2%26.1%4.0%4.5%-24.9K1.2M-9.0K0.4098.9725108241,187
2011-12-28$34.59$35.0026.7%7.7%23.2%30.7%0.0%0.0%4.0%-27.0K1.5M-8.6K0.0098.751008491,197
2011-12-29$34.78$35.0024.9%7.1%22.1%26.2%0.0%2.1%5.8%-28.0K1.4M-8.7K0.0098.941008591,197
2011-12-30$34.77$35.0025.8%7.4%22.1%28.5%0.0%0.3%4.7%-27.5K1.4M-8.7K0.0099.13008691,197