IT Options History — August 2013

In August 2013, IT traded between $56.74 and $62.08. ATM implied volatility averaged 19.3%, placing in the 34.8% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded below realized volatility by 17.2% (HV 20d: 36.4%). Max pain ranged from $55.00 to $65.00. Net GEX was positive for 14 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 3.45.

Notable Days

  • 2013-08-20: Highest Volume — 15,030 contracts
  • 2013-08-08: Largest IV drop — 53.3% change
  • 2013-08-01: Highest IV Rank — 73.2%
  • 2013-08-01: Largest Expected Move — 8.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$58.36$56.74$62.08$62.08$57.97
Max Pain$55.45$55.00$65.00$55.00$55.00
ATM IV19.3%12.4%29.1%29.1%19.4%
Expected Move5.8%5.2%8.3%8.3%5.6%
HV 20d36.4%18.5%39.2%18.5%18.7%
HV 60d26.9%19.5%27.5%19.5%27.1%
IV Rank34.8%5.3%73.2%73.2%35.9%
IV Percentile28.9%0.8%94.8%94.8%26.2%
Term Structure0.7%-7.2%3.1%-7.2%1.1%
VWIV20.5%13.9%27.7%27.7%19.6%
Skew 25d3.0%-3.3%6.4%2.4%2.5%
Skew 10d5.7%-5.9%19.4%2.3%4.0%
Call IV 25d19.0%15.7%27.4%27.4%19.6%
Put IV 25d22.0%19.9%29.8%29.8%22.1%
Bid-Ask Spread %93.4589.7796.8896.6394.33
Gamma HHI0.320.220.600.300.26
Net GEX26.9K-78.2K381.0K16.6K381.0K
Net DEX656.2K-772.3K7.1M-487.0K441.2K
Net VEX-46.2K-126.9K-2.1K-2.1K-121.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.450.0022.000.720.01
Total Volume773.818015,0302159
Total OI5,112.86428913,71128913,711

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-08-01$62.08$55.0029.1%8.3%18.5%73.2%27.7%2.4%-7.2%16.6K-487.0K-2.1K0.7296.6312590159130
2013-08-02$56.74$65.0021.9%6.3%37.3%43.6%24.5%-3.3%-1.6%10.7K24.4K-2.1K1.7889.774682277163
2013-08-05$57.00$55.0023.0%6.1%36.9%48.3%18.8%1.7%1.5%14.2K72.5K-3.0K0.2093.51408316213
2013-08-06$57.87$55.0018.9%5.3%37.4%31.4%19.3%3.5%2.8%23.0K-117.6K-3.1K0.5091.4621317203
2013-08-07$56.95$55.0026.6%6.6%37.6%67.4%0.0%3.1%0.2%14.3K-16.4K-3.1K0.0091.960486318203
2013-08-08$57.86$55.0012.4%5.3%37.4%5.3%20.4%3.7%3.1%-2.4K319.7K-3.1K0.0091.77100318278
2013-08-09$58.26$55.0015.1%5.9%37.6%17.1%0.0%3.7%1.4%-8.0K243.5K-3.3K3.0092.9213321278
2013-08-12$59.28$55.0014.7%5.7%38.2%15.6%0.0%6.4%1.9%-29.8K25.0K-3.3K10.5094.44221321275
2013-08-13$59.77$55.0016.7%5.6%38.1%24.1%0.0%5.1%2.5%-30.1K-108.4K-3.3K0.0096.8830322269
2013-08-14$59.59$55.0015.0%5.7%38.0%16.9%0.0%5.8%1.8%-38.9K-98.5K-3.3K0.0094.8700321269
2013-08-15$58.37$55.0019.7%5.6%38.7%37.1%13.9%2.3%2.0%1.5K201.2K-2.9K0.0096.3820315264
2013-08-16$58.42$55.0019.3%5.5%38.7%35.4%0.0%3.0%2.7%1.9K213.7K-2.8K0.0095.4910315264
2013-08-19$58.08$55.0019.3%5.5%38.6%35.5%0.0%1.9%0.5%14.3K-135.6K-2.7K10.0094.11110218183
2013-08-20$58.37$55.0019.1%5.5%38.6%34.8%20.1%1.9%1.0%15.0K-146.5K-2.7K1.1494.197,0108,020217184
2013-08-21$57.57$55.0018.7%5.4%38.8%32.8%20.0%1.4%-1.6%85.7K7.1M-126.4K22.0091.831226,3177,362
2013-08-22$58.55$55.0019.1%5.5%39.2%34.4%0.0%3.8%-0.4%-78.2K4.9M-126.9K1.0092.82116,3177,364
2013-08-23$58.51$55.0018.3%5.2%38.9%31.1%21.3%3.4%0.8%-5.8K34.7K-122.1K10.0093.051106,3186,375
2013-08-26$58.55$55.0019.3%5.5%38.9%35.3%0.0%3.4%0.6%-56.6K-772.3K-119.6K0.0390.2114646,3196,380
2013-08-27$57.74$55.0019.7%5.7%39.1%37.4%19.7%3.3%0.4%130.8K1.1M-119.4K1.2193.8756686,4646,383
2013-08-28$57.78$55.0019.3%5.5%39.1%35.5%0.0%2.6%0.9%121.0K1.2M-120.3K0.0091.97006,5206,451
2013-08-29$58.61$55.0019.6%5.6%37.3%36.7%19.6%5.1%1.1%10.6K319.5K-120.0K0.0193.5173746,5206,451
2013-08-30$57.97$55.0019.4%5.6%18.7%35.9%0.0%2.5%1.1%381.0K441.2K-121.2K0.0094.33097,2566,455