IT Options History — April 2013

In April 2013, IT traded between $53.65 and $57.85. ATM implied volatility averaged 22.0%, placing in the 43.6% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded below realized volatility by 0.6% (HV 20d: 22.6%). Max pain ranged from $55.00 to $55.00. Net GEX was positive for 3 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 1.10.

Notable Days

  • 2013-04-10: Highest Volume — 326 contracts
  • 2013-04-11: Largest IV spike — 57.8% change
  • 2013-04-29: Highest IV Rank — 69.7%
  • 2013-04-29: Largest Expected Move — 8.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$56.01$53.65$57.85$54.48$57.85
Max Pain$55.00$55.00$55.00$55.00$55.00
ATM IV22.0%11.2%28.2%14.7%25.5%
Expected Move6.8%3.6%8.1%4.2%7.3%
HV 20d22.6%13.5%27.6%15.8%27.0%
HV 60d21.6%18.9%23.7%19.5%22.2%
IV Rank43.6%0.0%69.7%10.8%58.6%
IV Percentile56.2%0.0%94.8%4.8%77.4%
Term Structure-0.5%-4.5%7.5%7.4%-3.5%
VWIV25.7%22.8%27.5%24.0%25.8%
Skew 25d10.5%-4.9%54.8%46.0%3.0%
Skew 10d16.8%-5.7%73.9%64.2%33.3%
Call IV 25d22.6%15.3%26.8%15.3%25.4%
Put IV 25d33.1%21.9%73.8%61.4%28.4%
Bid-Ask Spread %92.7886.06103.36101.5493.75
Gamma HHI0.560.320.890.530.52
Net GEX-38.9K-101.7K54.4K-21.2K-66.6K
Net DEX347.8K-1.3M2.2M1.4M-379.5K
Net VEX-14.4K-16.2K-12.0K-16.2K-12.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.100.007.000.120.00
Total Volume21.4550326193
Total OI1,891.4551,7722,0921,7821,853

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-04-01$54.48$55.0014.7%4.2%15.8%10.8%0.0%46.0%7.4%-21.2K1.4M-16.2K0.12101.541726121,170
2013-04-02$54.63$55.0014.9%4.3%14.3%11.8%0.0%47.3%7.2%-22.8K1.4M-15.8K0.00101.00006001,172
2013-04-03$54.31$55.0014.8%4.2%13.8%11.3%0.0%52.8%7.4%-23.0K1.6M-15.6K0.00102.76006001,172
2013-04-04$53.81$55.0012.5%3.6%14.3%1.5%0.0%54.8%7.5%-40.1K2.0M-15.0K0.00103.36026001,172
2013-04-05$53.65$55.0011.2%6.1%13.5%0.0%0.0%6.2%-0.1%-46.0K2.2M-14.8K3.0093.64136001,172
2013-04-08$54.43$55.0014.8%6.2%14.0%14.9%0.0%8.1%-1.5%-8.8K1.6M-15.0K0.0094.15606001,173
2013-04-09$54.26$55.0013.8%6.3%14.2%10.7%0.0%5.2%-1.0%-9131.8M-14.7K0.0094.77036011,173
2013-04-10$57.37$55.0015.6%7.1%23.6%18.1%24.0%1.8%-1.7%-94.7K-832.9K-13.1K0.0090.7632606011,173
2013-04-11$57.39$55.0024.6%7.1%23.6%54.9%0.0%3.0%-1.5%-27.2K-1.3M-14.9K0.0090.47208751,173
2013-04-12$57.53$55.0023.1%6.6%23.6%48.5%22.8%2.9%-1.9%-7.1K-1.3M-14.9K7.0093.692148731,173
2013-04-15$55.60$55.0026.5%7.6%27.3%62.4%0.0%-4.9%-2.2%54.4K209.6K-15.4K0.0090.582208751,183
2013-04-16$56.84$55.0025.8%7.4%27.4%59.7%0.0%-1.0%-1.5%-29.3K-888.3K-14.6K0.0088.111408951,183
2013-04-17$56.36$55.0025.8%7.4%27.6%59.5%0.0%-2.0%-0.9%4.4K-569.9K-14.7K0.0088.60009061,183
2013-04-18$56.01$55.0027.2%7.8%27.5%65.4%0.0%-3.1%-1.7%54.3K-318.8K-14.9K0.0088.42099061,177
2013-04-19$56.33$55.0026.8%7.7%27.4%63.9%25.9%3.9%-2.9%-21.4K-569.1K-14.5K0.0086.06209061,186
2013-04-22$56.67$55.0027.2%7.8%27.5%65.6%27.1%0.1%-2.3%-94.3K423.0K-13.8K3.6789.673116791,164
2013-04-23$57.12$55.0027.8%8.0%27.2%67.8%0.0%1.9%-3.6%-86.6K79.2K-13.8K0.0088.731206811,165
2013-04-24$56.85$55.0027.4%7.8%27.3%66.1%27.5%0.5%-3.4%-87.3K308.6K-13.5K0.0088.530106771,165
2013-04-25$57.06$55.0028.1%8.0%27.3%69.0%0.0%1.4%-4.5%-91.7K123.8K-13.5K0.0089.05006771,170
2013-04-26$56.74$55.0028.0%8.0%26.6%68.8%0.0%1.7%-3.0%-101.7K390.9K-13.2K0.0090.56026771,170
2013-04-29$57.00$55.0028.2%8.1%26.6%69.7%27.1%1.6%-4.0%-99.3K228.4K-12.8K0.5093.00426771,172
2013-04-30$57.85$55.0025.5%7.3%27.0%58.6%25.8%3.0%-3.5%-66.6K-379.5K-12.0K0.0093.75306791,174