IT Options History — October 2013

In October 2013, IT traded between $57.68 and $61.18. ATM implied volatility averaged 23.0%, placing in the 51.8% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 7.3% (HV 20d: 15.7%). Max pain ranged from $60.00 to $60.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 3 of 23 days. Put/call ratio averaged 2.63.

Notable Days

  • 2013-10-31: Highest Volume — 59 contracts
  • 2013-10-10: Largest IV spike — 63.6% change
  • 2013-10-28: Highest IV Rank — 77.7%
  • 2013-10-28: Largest Expected Move — 8.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$59.81$57.68$61.18$59.78$58.95
Max Pain$60.00$60.00$60.00$60.00$60.00
ATM IV23.0%12.9%28.9%18.3%27.4%
Expected Move7.0%5.2%8.3%5.2%7.9%
HV 20d15.7%13.5%18.2%14.0%18.2%
HV 60d24.0%16.5%26.0%25.2%16.7%
IV Rank51.8%7.5%77.7%30.9%71.1%
IV Percentile64.2%2.0%96.0%21.8%93.3%
Term Structure-1.9%-7.0%6.1%6.1%-5.0%
VWIV25.7%18.3%28.9%18.3%27.4%
Skew 25d3.9%-3.5%9.4%0.4%-3.5%
Skew 10d3.7%-3.8%11.6%0.8%-0.9%
Call IV 25d20.0%15.9%27.2%16.7%24.6%
Put IV 25d23.9%17.0%28.5%17.0%21.0%
Bid-Ask Spread %94.6384.70100.8298.52100.82
Gamma HHI0.240.220.290.220.24
Net GEX340.0K123.2K540.2K316.4K398.3K
Net DEX-9.8M-14.9M-2.2M-9.5M-7.4M
Net VEX-127.8K-144.8K-109.2K-144.8K-109.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.630.0028.500.0028.50
Total Volume9.3480591059
Total OI16,162.60914,54617,19217,19214,623

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-10-01$59.78$60.0018.3%5.2%14.0%30.9%18.3%0.4%6.1%316.4K-9.5M-144.8K0.0098.521009,2877,905
2013-10-02$59.62$60.0018.4%5.3%13.8%31.8%0.0%0.5%5.9%342.2K-8.7M-144.3K0.0098.38029,2857,905
2013-10-03$59.36$60.0019.0%5.4%14.0%34.1%0.0%-0.4%5.6%398.2K-7.4M-142.4K0.0099.69809,2857,907
2013-10-04$60.01$60.0018.5%6.9%13.6%31.9%0.0%2.6%-1.4%267.8K-11.0M-140.2K0.0086.15909,2827,907
2013-10-07$59.51$60.0018.3%7.1%13.5%31.1%0.0%3.6%-2.7%369.0K-9.2M-136.8K1.0084.70119,2777,907
2013-10-08$58.49$60.0012.9%7.4%14.7%7.5%0.0%7.6%-2.9%453.3K-5.4M-135.0K5.0091.35159,2777,908
2013-10-09$57.68$60.0014.7%7.4%15.5%15.5%0.0%3.9%-2.7%524.8K-2.2M-132.2K0.0090.86009,2777,896
2013-10-10$58.95$60.0024.1%6.9%17.3%56.5%24.1%7.9%-2.1%463.7K-6.4M-132.4K0.0091.28029,2777,896
2013-10-11$59.07$60.0023.8%6.8%16.0%55.3%0.0%8.9%-1.5%458.8K-7.1M-132.9K0.0091.47009,2777,896
2013-10-14$59.08$60.0024.1%6.9%15.9%56.5%0.0%8.2%-1.4%464.8K-7.0M-129.0K0.0092.73009,2777,896
2013-10-15$58.47$60.0025.6%7.3%16.5%63.0%0.0%7.0%-3.2%472.8K-4.5M-127.2K0.0091.24009,2777,896
2013-10-16$59.38$60.0024.2%6.9%16.4%56.9%0.0%8.2%-2.0%530.1K-7.3M-126.6K0.0092.57209,2777,896
2013-10-17$60.09$60.0025.4%7.3%16.1%62.4%0.0%9.4%-3.3%540.2K-10.9M-126.6K0.0093.27009,2697,896
2013-10-18$60.71$60.0024.9%7.1%16.4%60.0%0.0%5.3%-2.8%390.0K-12.8M-126.0K0.0097.872109,2697,896
2013-10-21$61.18$60.0024.5%7.0%16.0%58.2%0.0%6.1%-3.0%142.4K-14.9M-122.2K1.3699.1411158,2036,343
2013-10-22$61.09$60.0024.4%7.0%16.0%58.0%0.0%-0.0%-1.8%123.2K-14.9M-122.5K1.2594.648108,2136,353
2013-10-23$60.49$60.0024.9%7.1%16.3%60.1%0.0%4.2%-1.9%206.9K-12.2M-122.7K0.0097.42008,2116,363
2013-10-24$60.61$60.0024.7%7.1%16.2%59.0%24.7%3.9%-1.6%182.2K-13.1M-119.3K0.0099.87108,2116,363
2013-10-25$60.94$60.0025.6%7.3%16.2%63.1%0.0%6.4%-3.3%175.4K-13.9M-119.6K0.0097.06208,2126,363
2013-10-28$61.10$60.0028.9%8.3%16.2%77.7%28.9%0.3%-7.0%166.9K-14.4M-115.4K2.4093.825128,2136,363
2013-10-29$60.89$60.0028.7%8.2%16.2%76.5%28.7%-2.2%-6.1%179.0K-13.5M-119.9K0.0094.492008,2186,375
2013-10-30$60.11$60.0028.0%8.0%16.9%73.5%28.0%1.1%-6.0%252.7K-11.7M-113.5K0.0099.231008,2386,375
2013-10-31$58.95$60.0027.4%7.9%18.2%71.1%27.4%-3.5%-5.0%398.3K-7.4M-109.2K28.50100.822578,2486,375