IT Options History — May 2012

In May 2012, IT traded between $40.68 and $44.92. ATM implied volatility averaged 22.4%, placing in the 23.1% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 2.6% (HV 20d: 19.8%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 1.77.

Notable Days

  • 2012-05-03: Highest Volume — 108 contracts
  • 2012-05-10: Largest IV spike — 54.0% change
  • 2012-05-18: Highest IV Rank — 34.4%
  • 2012-05-18: Largest Expected Move — 7.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.49$40.68$44.92$44.49$40.68
Max Pain$40.00$40.00$40.00$40.00$40.00
ATM IV22.4%14.3%27.1%23.4%26.0%
Expected Move6.7%5.1%7.8%6.7%7.5%
HV 20d19.8%16.2%22.0%19.0%16.2%
HV 60d18.1%17.7%18.5%18.5%17.7%
IV Rank23.1%3.9%34.4%25.4%31.7%
IV Percentile32.7%2.4%56.3%37.7%49.6%
Term Structure2.1%-3.2%8.8%-1.5%1.2%
VWIV25.4%21.3%27.2%25.4%26.6%
Skew 25d5.8%-0.5%19.3%9.3%6.5%
Skew 10d14.7%-1.9%51.1%13.7%10.5%
Call IV 25d20.7%14.5%26.6%23.2%21.2%
Put IV 25d26.5%20.7%39.4%32.5%27.6%
Bid-Ask Spread %93.7463.52101.7394.0495.69
Gamma HHI0.410.310.520.400.36
Net GEX15.8K-2.9K24.7K9.6K12.3K
Net DEX-616.4K-857.7K-372.6K-619.8K-372.6K
Net VEX-2.9K-3.3K-1.2K-1.3K-3.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.770.0011.000.092.00
Total Volume13.682010810
Total OI717.864577769577724

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-05-01$44.49$40.0023.4%6.7%19.0%25.4%0.0%9.3%-1.5%9.6K-619.8K-1.3K0.0094.0401222355
2012-05-02$44.92$40.0025.4%7.3%19.1%30.2%25.4%0.7%-3.2%12.5K-662.8K-1.2K0.0997.02575222356
2012-05-03$43.65$40.0019.3%5.5%22.0%15.7%0.0%1.2%1.2%15.6K-640.8K-1.9K0.30100.828325278359
2012-05-04$43.76$40.0018.1%5.9%21.8%12.9%0.0%4.5%3.4%24.7K-823.4K-3.0K0.2593.8541359380
2012-05-07$44.02$40.0019.7%6.1%21.2%16.7%21.3%5.5%2.3%23.3K-857.7K-3.0K0.0093.2420360381
2012-05-08$43.31$40.0014.3%6.1%20.9%3.9%0.0%4.3%2.8%22.2K-779.0K-3.1K0.0092.1300360381
2012-05-09$43.39$40.0014.4%6.3%20.6%3.9%0.0%4.0%2.0%24.1K-793.1K-3.0K1.1093.231011360381
2012-05-10$43.09$40.0022.1%6.3%20.7%22.4%0.0%2.1%1.9%21.0K-753.8K-3.1K0.0063.5220365392
2012-05-11$43.02$40.0020.2%5.8%20.7%17.9%0.0%-0.4%3.1%20.9K-756.5K-3.1K0.0069.3910365392
2012-05-14$42.51$40.0018.0%5.1%21.2%12.5%26.5%3.8%3.1%13.3K-675.6K-3.2K0.0092.68020366392
2012-05-15$42.55$40.0019.0%5.4%19.8%14.9%0.0%3.2%2.8%17.3K-685.1K-3.1K4.0095.8214366392
2012-05-16$42.50$40.0022.3%6.4%19.8%23.0%0.0%3.5%8.8%17.4K-672.7K-3.1K3.0097.9213367396
2012-05-17$41.95$40.0023.6%6.8%20.2%26.0%0.0%4.3%6.4%12.8K-608.7K-3.2K0.00100.3720368399
2012-05-18$41.24$40.0027.1%7.8%20.7%34.4%27.2%-0.5%0.1%-2.9K-491.2K-3.3K0.0095.92043370399
2012-05-21$41.67$40.0026.7%7.7%20.1%33.4%0.0%11.3%-1.0%15.0K-519.9K-3.3K1.0098.9322365334
2012-05-22$42.13$40.0023.0%6.6%20.2%24.6%0.0%12.2%7.6%17.9K-595.5K-3.2K2.00101.7312367336
2012-05-23$41.69$40.0026.5%7.6%18.4%32.9%26.6%11.5%0.8%17.3K-533.0K-3.2K11.0099.92111368338
2012-05-24$41.06$40.0026.0%7.5%18.7%31.7%0.0%5.7%0.8%12.4K-426.1K-3.2K0.0098.7101369349
2012-05-25$41.20$40.0026.3%7.5%18.7%32.3%0.0%19.3%0.3%14.5K-453.7K-3.2K0.00100.1701369350
2012-05-29$41.11$40.0026.3%7.5%18.2%32.4%0.0%8.1%0.8%13.1K-445.4K-3.1K0.0093.9601369351
2012-05-30$40.74$40.0025.3%7.3%16.9%30.1%0.0%6.6%1.3%12.7K-395.4K-3.0K2.0093.2312369352
2012-05-31$40.68$40.0026.0%7.5%16.2%31.7%0.0%6.5%1.2%12.3K-372.6K-3.0K0.0095.6900370354