IT Options History — October 2012

In October 2012, IT traded between $45.09 and $47.71. ATM implied volatility averaged 24.6%, placing in the 48.2% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded above realized volatility by 8.8% (HV 20d: 15.9%). Max pain ranged from $45.00 to $50.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.58.

Notable Days

  • 2012-10-08: Highest Volume — 501 contracts
  • 2012-10-11: Largest IV spike — 61.3% change
  • 2012-10-31: Highest IV Rank — 71.3%
  • 2012-10-31: Largest Expected Move — 8.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$46.28$45.09$47.71$45.80$46.41
Max Pain$45.95$45.00$50.00$50.00$45.00
ATM IV24.6%16.2%29.1%24.4%29.1%
Expected Move7.4%6.5%8.3%7.0%8.3%
HV 20d15.9%12.7%21.9%21.9%17.0%
HV 60d21.4%18.9%21.9%21.9%18.9%
IV Rank48.2%13.8%71.3%40.9%71.3%
IV Percentile59.9%6.7%84.1%56.3%84.1%
Term Structure-0.2%-3.1%3.6%1.9%-3.1%
VWIV25.2%15.2%27.7%15.2%27.5%
Skew 25d3.2%-4.0%19.2%4.5%19.2%
Skew 10d5.6%-6.5%48.4%6.6%48.4%
Call IV 25d22.5%14.6%27.6%20.2%20.2%
Put IV 25d25.7%22.8%39.4%24.7%39.4%
Bid-Ask Spread %95.6890.95103.0199.9999.20
Gamma HHI0.730.610.880.830.65
Net GEX-74.2K-142.5K-40.4K-120.1K-50.1K
Net DEX3.1M2.1M3.7M3.6M3.0M
Net VEX-12.0K-14.5K-9.4K-11.1K-10.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.580.005.001.000.63
Total Volume38.0480501226
Total OI2,439.0952,1332,8442,1332,299

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-10-01$45.80$50.0024.4%7.0%21.9%40.9%0.0%4.5%1.9%-120.1K3.6M-11.1K1.0099.99118071,326
2012-10-02$45.93$50.0023.3%6.7%19.2%37.2%0.0%8.4%3.3%-122.6K3.6M-11.5K0.0094.00308081,327
2012-10-03$46.26$50.0023.6%6.8%19.2%38.3%0.0%9.6%3.6%-126.7K3.3M-12.1K0.0095.22008111,327
2012-10-04$46.51$50.0022.7%6.5%19.5%39.2%15.2%5.5%3.1%-131.3K3.3M-12.0K0.00103.011808111,327
2012-10-05$46.76$45.0017.3%7.5%14.1%17.9%26.2%1.5%-1.3%-138.4K3.2M-12.0K0.0095.79508271,327
2012-10-08$47.10$45.0021.6%7.6%14.0%34.7%23.9%2.2%-1.2%-142.5K3.1M-12.1K0.0092.9450108321,327
2012-10-09$46.97$45.0021.9%7.4%14.0%36.1%0.0%3.9%-0.4%-53.6K2.6M-14.4K0.0090.95001,3321,327
2012-10-10$46.76$45.0016.2%7.3%13.2%13.8%0.0%-0.1%0.1%-50.4K2.7M-13.8K0.0091.808201,3321,327
2012-10-11$46.84$45.0026.2%7.5%13.3%52.8%0.0%1.2%-0.6%-50.1K2.6M-13.8K0.0094.54001,4091,327
2012-10-12$46.76$45.0026.4%7.6%13.0%53.6%0.0%1.0%-1.0%-52.9K2.7M-13.8K0.0094.70001,4091,327
2012-10-15$46.77$45.0026.7%7.7%12.7%54.8%0.0%3.0%-1.3%-53.7K2.7M-13.4K0.0097.76001,4091,327
2012-10-16$47.71$45.0023.0%6.6%15.0%40.3%0.0%3.5%-0.2%-40.4K2.1M-14.5K0.0096.65201,4091,327
2012-10-17$46.65$45.0026.5%7.6%16.7%56.0%26.8%1.2%-1.0%-56.5K2.9M-12.9K5.0095.732101,4111,327
2012-10-18$46.07$45.0026.2%7.5%17.1%54.8%27.7%-2.3%0.0%-56.0K3.1M-11.7K0.0094.3510001,4121,332
2012-10-19$45.63$45.0026.5%7.6%15.6%56.1%26.5%-2.4%-0.8%-46.7K3.3M-11.0K0.9192.8022201,5121,332
2012-10-22$45.09$45.0026.5%7.6%16.0%60.2%0.0%-4.0%-1.0%-53.7K3.7M-9.4K0.0095.00009691,325
2012-10-23$45.71$45.0027.4%7.9%15.2%64.0%27.4%-0.7%-1.5%-49.8K3.3M-10.7K0.0093.58019691,325
2012-10-24$45.42$45.0027.0%7.7%15.3%62.4%0.0%4.5%-0.8%-52.3K3.4M-10.4K0.0097.50309691,326
2012-10-25$45.18$45.0027.1%7.8%15.4%62.5%0.0%3.4%-0.3%-57.9K3.5M-9.6K0.0095.84009711,326
2012-10-26$45.53$45.0027.5%7.9%15.6%64.4%27.5%4.5%-1.3%-52.8K3.3M-10.2K0.0097.92209711,326
2012-10-31$46.41$45.0029.1%8.3%17.0%71.3%0.0%19.2%-3.1%-50.1K3.0M-10.8K0.6399.2016109731,326