IT Options History — May 2013

In May 2013, IT traded between $55.58 and $58.51. ATM implied volatility averaged 20.0%, placing in the 35.9% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded below realized volatility by 1.6% (HV 20d: 21.6%). Max pain ranged from $55.00 to $55.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 0.19.

Notable Days

  • 2013-05-17: Highest Volume — 131 contracts
  • 2013-05-02: Largest IV drop — 32.1% change
  • 2013-05-01: Highest IV Rank — 74.4%
  • 2013-05-01: Largest Expected Move — 8.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$57.22$55.58$58.51$56.80$56.61
Max Pain$55.00$55.00$55.00$55.00$55.00
ATM IV20.0%15.0%29.4%29.4%22.0%
Expected Move5.9%4.7%8.4%8.4%6.3%
HV 20d21.6%17.4%29.3%27.9%17.4%
HV 60d21.0%20.4%22.8%22.4%20.8%
IV Rank35.9%15.7%74.4%74.4%44.4%
IV Percentile32.8%6.3%96.0%96.0%48.4%
Term Structure1.2%-6.0%4.1%-6.0%0.6%
VWIV20.3%17.7%29.3%29.3%19.8%
Skew 25d3.8%-0.5%10.6%-0.5%6.9%
Skew 10d7.1%-0.7%29.4%0.3%6.5%
Call IV 25d17.5%12.4%29.1%29.1%15.0%
Put IV 25d21.3%18.7%28.5%28.5%21.9%
Bid-Ask Spread %90.5358.14100.3090.2599.59
Gamma HHI0.740.490.900.560.90
Net GEX-174.6K-257.6K-23.4K-105.3K-257.6K
Net DEX-126.7K-1.0M1.2M251.7K56.2K
Net VEX-8.8K-12.5K-6.5K-12.5K-7.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.190.001.251.250.00
Total Volume11.182013193
Total OI1,780.6821,6441,8731,8531,660

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-05-01$56.80$55.0029.4%8.4%27.9%74.4%29.3%-0.5%-6.0%-105.3K251.7K-12.5K1.2590.25456791,174
2013-05-02$55.58$55.0019.9%5.7%28.9%35.8%19.9%3.0%0.6%-194.7K1.2M-12.1K0.60100.301066821,179
2013-05-03$56.52$55.0018.4%5.3%29.3%29.7%18.1%3.9%3.2%-158.0K335.5K-11.4K0.0058.14406861,178
2013-05-06$56.33$55.0021.7%5.9%29.1%43.0%19.1%3.3%2.0%-180.2K605.7K-11.2K0.0084.381406861,178
2013-05-07$57.16$55.0016.6%5.9%29.3%22.1%20.9%1.6%1.9%-157.3K42.7K-10.3K0.0083.47806951,178
2013-05-08$57.69$55.0015.0%4.7%21.9%15.7%18.2%0.6%2.7%-145.4K-502.3K-8.9K0.6790.92326891,178
2013-05-09$57.48$55.0016.3%5.7%21.9%20.8%17.7%2.4%2.5%-115.4K-565.1K-10.2K0.0990.511116921,178
2013-05-10$57.83$55.0015.3%5.2%22.0%17.0%0.0%1.9%3.1%-103.4K-517.9K-8.9K0.0092.02006911,179
2013-05-13$57.07$55.0018.4%5.9%18.7%29.5%0.0%0.4%2.2%-196.3K63.5K-9.4K0.0090.40006911,179
2013-05-14$57.87$55.0018.2%5.3%17.7%28.7%0.0%0.9%2.1%-130.8K-611.0K-8.2K0.0089.96806911,179
2013-05-15$58.51$55.0019.1%5.3%17.6%32.2%18.6%2.7%2.7%-23.4K-1.0M-7.2K0.0090.11506911,179
2013-05-16$57.57$55.0018.3%5.3%18.6%29.2%20.0%1.7%3.0%-167.0K-390.0K-8.0K0.0092.371006841,179
2013-05-17$57.81$55.0017.9%5.1%18.5%27.4%0.0%5.1%4.1%-170.5K-460.7K-7.8K0.0086.2501316931,179
2013-05-20$57.71$55.0018.1%5.2%18.5%28.2%0.0%3.9%1.3%-209.0K-366.7K-7.6K0.0083.22103981,246
2013-05-21$58.19$55.0018.5%5.3%18.5%29.8%21.6%3.9%1.9%-180.2K-702.6K-6.5K0.0092.941503991,246
2013-05-22$56.96$55.0022.1%6.3%20.1%44.8%19.8%2.0%0.4%-218.5K69.9K-8.4K0.0090.24504131,246
2013-05-23$56.73$55.0022.9%6.6%20.1%47.9%0.0%9.1%-0.5%-235.0K335.8K-8.7K0.0097.21004141,246
2013-05-24$56.71$55.0022.8%6.5%20.0%47.5%0.0%8.4%-0.5%-230.6K290.6K-8.6K0.0099.22004141,246
2013-05-28$57.37$55.0023.4%6.7%20.3%49.9%0.0%3.3%-0.8%-213.2K-353.9K-6.8K0.0092.11004141,246
2013-05-29$57.08$55.0022.9%6.6%19.7%48.1%0.0%10.6%-0.2%-225.3K-153.5K-7.1K0.0098.00004141,246
2013-05-30$57.32$55.0022.2%6.4%18.6%45.0%0.0%9.6%0.7%-223.6K-378.8K-6.5K0.00100.09004141,246
2013-05-31$56.61$55.0022.0%6.3%17.4%44.4%0.0%6.9%0.6%-257.6K56.2K-7.0K0.0099.59304141,246