IT Options History — August 2012

In August 2012, IT traded between $43.94 and $49.89. ATM implied volatility averaged 20.9%, placing in the 23.7% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded below realized volatility by 4.1% (HV 20d: 25.0%). Max pain ranged from $45.00 to $45.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 21 of 23 days. Put/call ratio averaged 0.95.

Notable Days

  • 2012-08-02: Highest Volume — 232 contracts
  • 2012-08-03: Largest IV drop — 35.5% change
  • 2012-08-02: Highest IV Rank — 54.7%
  • 2012-08-02: Largest Expected Move — 10.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$48.27$43.94$49.89$43.94$49.39
Max Pain$45.00$45.00$45.00$45.00$45.00
ATM IV20.9%14.2%35.6%30.6%19.7%
Expected Move6.3%5.6%10.2%8.8%5.6%
HV 20d25.0%16.9%28.6%20.5%16.9%
HV 60d24.1%22.0%24.9%22.0%23.5%
IV Rank23.7%3.5%54.7%42.8%24.4%
IV Percentile26.0%2.4%85.7%68.7%17.5%
Term Structure1.5%-7.5%4.4%-2.6%1.9%
VWIV23.8%19.7%37.4%37.4%20.4%
Skew 25d4.5%-2.8%15.8%13.9%-0.8%
Skew 10d8.8%-2.4%27.8%21.0%-1.0%
Call IV 25d20.2%17.0%29.7%28.5%19.4%
Put IV 25d24.6%16.0%45.5%42.4%18.5%
Bid-Ask Spread %90.8560.17100.0992.3299.74
Gamma HHI0.770.580.890.730.82
Net GEX-163.0K-515.4K-119.2K-515.4K-129.2K
Net DEX1.9M1.0M5.1M5.1M1.5M
Net VEX-17.0K-20.6K-16.3K-20.6K-16.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.950.005.135.110.00
Total Volume26.435023200
Total OI4,384.4781,8446,3906,0711,926

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-08-01$43.94$45.0030.6%8.8%20.5%42.8%0.0%13.9%-2.6%-515.4K5.1M-20.6K0.0092.32003845,687
2012-08-02$44.54$45.0035.6%10.2%18.5%54.7%37.4%15.8%-7.5%-465.5K4.7M-20.0K5.1192.93381943845,687
2012-08-03$46.84$45.0023.0%6.6%25.6%24.6%23.3%5.0%1.9%-147.5K2.1M-16.3K5.1399.3116824095,812
2012-08-06$47.95$45.0015.7%6.1%26.8%7.1%23.6%4.0%2.4%-148.9K1.7M-16.9K0.0091.451304245,883
2012-08-07$48.00$45.0014.2%6.3%26.5%3.5%0.0%4.8%2.3%-130.0K1.5M-16.6K0.0086.090154345,883
2012-08-08$47.83$45.0016.0%6.0%26.3%7.8%0.0%5.2%3.9%-148.1K1.8M-17.0K0.0089.85204345,898
2012-08-09$47.94$45.0015.8%6.0%25.8%7.4%0.0%5.5%4.3%-132.8K1.6M-16.6K0.0088.57304345,898
2012-08-10$48.50$45.0015.1%5.8%26.0%6.6%20.1%4.6%4.4%-127.6K1.4M-16.3K2.5090.2512304375,898
2012-08-13$49.46$45.0019.6%6.1%26.7%19.1%21.4%7.4%2.8%-126.3K1.0M-16.7K0.0092.531404485,928
2012-08-14$48.20$45.0022.8%6.3%28.6%28.0%25.7%4.3%2.2%-128.8K1.5M-16.6K0.0090.854704625,928
2012-08-15$48.15$45.0024.9%6.4%28.6%33.6%25.6%4.3%2.2%-131.2K1.5M-16.7K0.1289.781724575,928
2012-08-16$48.30$45.0021.6%6.2%28.5%24.5%26.1%4.8%3.1%-135.3K1.7M-16.6K0.0060.17044385,930
2012-08-17$48.76$45.0021.0%6.0%27.8%23.0%21.1%5.1%3.4%-130.0K1.4M-16.7K0.3891.1326104385,932
2012-08-20$48.84$45.0020.9%6.0%27.4%22.6%20.9%4.7%1.5%-129.9K1.8M-16.6K0.0092.002203681,476
2012-08-21$49.14$45.0020.9%6.0%24.4%22.7%0.0%5.7%0.8%-128.5K1.7M-16.8K0.0090.05003901,476
2012-08-22$49.01$45.0021.1%6.0%24.6%29.4%0.0%-2.4%0.8%-125.3K1.7M-16.6K0.0091.810233901,476
2012-08-23$48.65$45.0021.1%6.1%25.0%29.6%0.0%4.9%0.7%-131.1K1.9M-16.8K0.0083.500203901,499
2012-08-24$48.75$45.0020.0%5.7%24.8%25.6%0.0%-2.8%1.4%-119.2K1.8M-17.2K0.0099.90003901,519
2012-08-27$49.15$45.0020.6%5.9%24.7%27.6%0.0%6.3%1.1%-126.9K1.7M-16.8K0.0090.05103901,519
2012-08-28$49.67$45.0020.5%5.9%24.0%27.4%0.0%2.0%1.2%-128.2K1.4M-16.6K0.0893.361313911,519
2012-08-29$49.89$45.0020.3%5.8%23.2%26.5%19.7%1.7%1.3%-129.8K1.3M-16.6K1.0093.75114041,520
2012-08-30$49.30$45.0020.4%5.8%23.9%26.9%20.4%-1.3%1.6%-132.4K1.6M-16.6K0.00100.09104041,521
2012-08-31$49.39$45.0019.7%5.6%16.9%24.4%0.0%-0.8%1.9%-129.2K1.5M-16.5K0.0099.74004051,521