IT Options History — July 2012

In July 2012, IT traded between $43.42 and $46.49. ATM implied volatility averaged 23.9%, placing in the 26.7% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded below realized volatility by 2.1% (HV 20d: 26.0%). Max pain ranged from $40.00 to $45.00. Net GEX was positive for 7 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 25.62.

Notable Days

  • 2012-07-26: Highest Volume — 4,498 contracts
  • 2012-07-12: Largest IV spike — 45.0% change
  • 2012-07-30: Highest IV Rank — 43.1%
  • 2012-07-30: Largest Expected Move — 8.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.16$43.42$46.49$45.02$44.39
Max Pain$44.05$40.00$45.00$45.00$45.00
ATM IV23.9%15.6%30.8%18.6%30.3%
Expected Move7.1%4.5%8.8%5.3%8.7%
HV 20d26.0%20.3%27.9%26.4%20.3%
HV 60d22.4%21.8%22.8%22.4%22.0%
IV Rank26.7%6.8%43.1%14.0%42.0%
IV Percentile38.7%4.4%68.7%9.5%66.3%
Term Structure0.3%-2.7%6.3%6.3%-2.2%
VWIV29.6%18.6%51.8%18.6%51.8%
Skew 25d7.0%-3.6%35.1%35.1%17.0%
Skew 10d9.8%-5.8%56.6%56.6%26.5%
Call IV 25d20.9%16.8%26.8%19.1%26.8%
Put IV 25d27.9%14.0%54.3%54.3%43.8%
Bid-Ask Spread %96.4087.52108.2699.9189.47
Gamma HHI0.580.300.950.360.68
Net GEX-88.9K-444.7K14.3K8.9K-444.7K
Net DEX1.5M-502.2K4.5M-323.2K4.5M
Net VEX-9.6K-20.8K-2.8K-2.9K-20.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio25.620.00251.000.0035.79
Total Volume325.1904,4981210
Total OI1,695.0483596,0963596,081

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-07-02$45.02$45.0018.6%5.3%26.4%14.0%18.6%35.1%6.3%8.9K-323.2K-2.9K0.0099.91120203156
2012-07-03$45.25$45.0019.1%5.5%26.3%15.2%0.0%1.8%4.5%13.5K-377.4K-3.0K0.00100.9010215156
2012-07-05$46.49$45.0015.6%4.5%26.5%6.8%0.0%-3.6%6.3%14.2K-502.2K-2.8K1.00108.2611214156
2012-07-06$45.80$40.0018.9%6.6%27.4%14.7%0.0%-1.6%1.0%14.3K-430.5K-2.8K2.5095.9425215157
2012-07-09$45.78$40.0020.4%6.8%27.5%18.3%0.0%4.4%0.4%12.7K-425.6K-2.8K10.0098.74110216162
2012-07-10$45.41$40.0019.2%6.8%27.3%15.5%0.0%-3.4%1.2%11.3K-386.9K-2.9K0.0096.4400217172
2012-07-11$45.99$40.0016.7%7.0%27.5%9.4%24.3%5.6%0.1%11.9K-447.0K-2.9K10.1098.4510101217172
2012-07-12$45.46$45.0024.2%6.9%27.9%27.3%24.2%3.1%0.3%-4.6K-228.5K-3.8K0.0098.54023227263
2012-07-13$45.71$45.0025.0%7.2%27.5%29.3%25.0%4.5%0.2%-10.6K-233.1K-3.8K251.0098.442502227286
2012-07-16$45.85$45.0024.3%7.0%27.1%27.6%24.3%4.9%0.5%-63.5K1.4M-9.1K2.6098.951026229788
2012-07-17$45.71$45.0026.5%7.6%25.9%32.8%21.4%5.9%-2.4%-63.2K1.4M-9.4K0.0297.401012239803
2012-07-18$45.96$45.0026.8%7.7%24.9%33.6%26.7%6.7%-1.3%-57.0K928.3K-9.4K5.4697.86100546326804
2012-07-19$45.78$45.0027.2%7.8%24.8%34.6%0.0%6.3%-2.7%-99.1K2.3M-15.7K0.0097.52004191,350
2012-07-20$45.06$45.0024.6%7.1%24.9%28.5%24.3%10.0%-0.6%-114.9K2.7M-14.9K0.0393.4224674191,350
2012-07-23$44.68$45.0024.7%7.1%24.8%28.7%0.0%0.7%-0.2%-87.4K2.9M-14.0K0.0096.86203801,337
2012-07-24$43.42$45.0026.3%7.6%26.2%32.5%26.3%3.3%-0.1%-71.7K3.3M-13.1K2.4594.0320493811,337
2012-07-25$43.61$45.0026.8%7.7%26.2%33.5%26.8%3.1%-0.5%-73.6K3.3M-13.5K0.0096.052603971,365
2012-07-26$43.69$45.0028.7%8.2%25.5%38.2%44.3%13.9%-1.5%-74.7K3.2M-13.7K88.9687.52504,4484031,365
2012-07-27$44.37$45.0027.8%8.0%25.5%35.9%0.0%13.5%-1.0%-418.9K4.2M-20.8K0.0088.65003985,698
2012-07-30$44.92$45.0030.8%8.8%25.5%43.1%46.4%15.3%-2.6%-369.7K4.0M-19.3K35.7991.10145013985,698
2012-07-31$44.39$45.0030.3%8.7%20.3%42.0%51.8%17.0%-2.2%-444.7K4.5M-20.0K0.0089.470103845,697