IT Options History — March 2012

In March 2012, IT traded between $39.21 and $43.15. ATM implied volatility averaged 19.5%, placing in the 13.0% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 1.3% (HV 20d: 18.2%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 10 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.12.

Notable Days

  • 2012-03-22: Highest Volume — 30 contracts
  • 2012-03-13: Largest IV spike — 63.3% change
  • 2012-03-14: Highest IV Rank — 29.4%
  • 2012-03-12: Largest Expected Move — 6.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.55$39.21$43.15$39.89$42.64
Max Pain$40.00$40.00$40.00$40.00$40.00
ATM IV19.5%13.8%26.2%20.5%15.1%
Expected Move5.7%4.0%6.5%5.9%4.3%
HV 20d18.2%16.0%21.3%21.1%16.0%
HV 60d20.9%19.4%22.3%21.8%19.6%
IV Rank13.0%0.0%29.4%15.3%3.2%
IV Percentile13.2%0.0%48.4%11.9%2.4%
Term Structure4.8%1.3%10.3%1.3%7.8%
VWIV18.8%15.9%20.9%20.5%18.9%
Skew 25d5.0%-2.5%50.0%0.7%1.0%
Skew 10d10.4%-4.7%65.9%1.1%1.9%
Call IV 25d17.8%12.7%23.0%23.0%15.2%
Put IV 25d22.7%15.0%71.6%23.8%16.2%
Bid-Ask Spread %94.1631.92108.5098.77108.50
Gamma HHI0.530.310.860.820.33
Net GEX-51.9K-169.5K11.2K-138.2K11.0K
Net DEX-772.8K-2.0M267.7K-300.1K-539.8K
Net VEX-3.0K-5.0K-2.0K-5.0K-2.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.120.001.070.000.00
Total Volume5.182030010
Total OI1,281.4094681,9591,931503

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-03-01$39.89$40.0020.5%5.9%21.1%15.3%0.0%0.7%1.3%-138.2K-300.1K-5.0K0.0098.77006331,298
2012-03-02$39.33$40.0020.2%5.8%21.0%14.6%0.0%50.0%1.3%-132.7K198.5K-4.7K0.00100.98006331,298
2012-03-05$39.75$40.0020.5%6.3%20.8%15.3%0.0%1.4%3.5%-158.9K-184.4K-4.7K0.0096.34006331,298
2012-03-06$39.21$40.0019.8%6.3%21.3%13.4%0.0%6.1%3.0%-151.2K267.7K-4.4K0.0069.521006331,298
2012-03-07$39.81$40.0021.6%6.4%16.7%18.1%0.0%1.3%3.1%-164.4K-245.1K-4.5K0.0097.00206431,298
2012-03-08$40.48$40.0020.5%6.3%17.3%15.1%0.0%3.1%4.1%-169.5K-864.8K-4.3K0.0097.90406411,298
2012-03-09$40.88$40.0016.4%6.2%17.5%5.2%0.0%5.8%3.2%-166.7K-1.3M-3.7K0.0092.48006391,298
2012-03-12$41.16$40.0016.0%6.5%17.1%3.9%0.0%6.4%2.7%-94.8K-1.7M-2.8K0.0060.12106391,298
2012-03-13$42.14$40.0026.1%6.2%18.3%29.0%20.5%-0.4%3.6%-19.7K-2.0M-2.3K1.0795.4114156381,298
2012-03-14$41.84$40.0026.2%6.1%18.5%29.4%0.0%-1.2%3.8%-26.2K-1.9M-2.6K0.0097.23106521,307
2012-03-15$41.96$40.0022.1%6.4%18.5%19.4%0.0%-0.4%3.4%-12.8K-2.0M-2.5K0.0098.30306511,307
2012-03-16$42.13$40.0021.2%6.1%18.5%17.0%0.0%-1.4%4.0%-9.1K-2.0M-2.3K0.0099.19206521,307
2012-03-19$42.40$40.0021.1%6.1%18.1%16.7%0.0%2.4%4.6%9.6K-462.8K-2.3K0.0096.5700220256
2012-03-20$42.05$40.0022.1%6.3%18.5%19.3%0.0%4.5%3.7%10.1K-445.7K-2.2K0.0031.9220220256
2012-03-21$42.18$40.0019.1%5.5%18.2%11.7%15.9%7.8%8.8%10.6K-460.2K-2.2K0.00102.80100222256
2012-03-22$42.03$40.0020.3%5.8%16.8%14.8%20.9%5.5%3.6%9.0K-417.1K-2.1K0.5099.812010212256
2012-03-23$42.28$40.0019.7%5.6%16.8%13.1%0.0%8.2%7.2%9.3K-463.9K-2.3K0.00102.7600232266
2012-03-26$43.10$40.0017.3%5.0%17.4%7.3%0.0%-2.5%3.7%10.2K-543.0K-2.1K0.00105.5800232266
2012-03-27$43.00$40.0013.8%4.0%17.2%0.0%18.0%2.5%9.6%10.2K-540.3K-2.1K0.00107.75100232266
2012-03-28$43.15$40.0014.1%4.0%17.0%0.7%0.0%2.3%10.3%10.8K-575.8K-2.0K0.00107.9800237266
2012-03-29$42.70$40.0015.0%4.3%17.1%2.9%0.0%6.6%8.1%11.2K-532.4K-2.1K0.00104.7300237266
2012-03-30$42.64$40.0015.1%4.3%16.0%3.2%18.9%1.0%7.8%11.0K-539.8K-2.1K0.00108.50100237266