IT Options History — December 2013

In December 2013, IT traded between $65.03 and $71.22. ATM implied volatility averaged 18.6%, placing in the 31.0% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 4.2% (HV 20d: 14.4%). Max pain ranged from $60.00 to $70.00. Net GEX was positive for 5 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 1.67.

Notable Days

  • 2013-12-23: Highest Volume — 2,109 contracts
  • 2013-12-20: Largest IV spike — 18.5% change
  • 2013-12-11: Highest IV Rank — 45.1%
  • 2013-12-02: Largest Expected Move — 5.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$67.60$65.03$71.22$65.43$71.05
Max Pain$64.52$60.00$70.00$60.00$70.00
ATM IV18.6%15.4%21.9%20.7%18.1%
Expected Move5.3%4.4%5.9%5.9%5.2%
HV 20d14.4%12.1%18.9%18.9%13.4%
HV 60d16.8%16.4%17.2%17.1%17.1%
IV Rank31.0%17.9%45.1%40.0%28.8%
IV Percentile31.6%11.9%56.7%47.6%24.2%
Term Structure2.3%-1.4%8.4%-1.4%3.9%
VWIV18.4%16.2%20.7%20.7%18.1%
Skew 25d3.7%-3.2%36.2%3.4%5.0%
Skew 10d7.9%-2.6%71.8%4.3%8.0%
Call IV 25d16.0%12.9%19.3%15.5%14.0%
Put IV 25d19.7%13.9%53.9%18.9%19.0%
Bid-Ask Spread %99.5094.28102.7396.09101.64
Gamma HHI0.540.330.830.340.72
Net GEX-294.1K-889.0K369.3K-428.5K317.9K
Net DEX-37.8M-50.3M-19.5M-36.0M-31.8M
Net VEX-59.4K-80.5K-42.3K-72.5K-62.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.670.007.500.007.50
Total Volume190.14302,109484
Total OI13,756.7147,66415,65815,3329,835

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-12-02$65.43$60.0020.7%5.9%18.9%40.0%20.7%3.4%-1.4%-428.5K-36.0M-72.5K0.0096.09408,9326,400
2013-12-03$65.43$60.0019.5%5.6%18.6%34.7%0.0%3.2%-0.5%-445.7K-35.5M-66.6K0.0098.96058,9326,400
2013-12-04$65.03$60.0019.4%5.6%18.5%34.5%0.0%0.9%-0.8%-404.2K-34.4M-64.6K5.5099.632118,9326,405
2013-12-05$65.72$60.0019.5%5.6%18.6%35.0%19.5%36.2%-0.4%-583.7K-37.5M-59.2K0.00100.1810008,9336,415
2013-12-06$66.49$65.0018.8%5.5%17.4%32.1%0.0%-1.5%1.5%-607.7K-41.1M-58.8K1.4495.869139,0336,415
2013-12-09$66.18$65.0021.1%5.5%12.5%41.3%0.0%-1.9%1.3%-582.7K-39.5M-60.9K0.0094.28029,0256,427
2013-12-10$65.83$65.0021.2%5.6%12.8%42.1%0.0%3.2%1.2%-522.1K-38.7M-61.9K0.00102.14009,0256,428
2013-12-11$65.40$65.0021.9%5.8%13.2%45.1%0.0%2.1%1.8%-473.1K-37.2M-61.0K2.50100.712005009,0256,428
2013-12-12$66.21$65.0019.4%5.6%12.9%34.6%0.0%5.2%1.7%-328.8K-43.2M-53.2K0.00100.75019,2255,928
2013-12-13$66.46$65.0020.4%5.9%12.4%38.7%0.0%5.9%0.9%-397.0K-42.9M-53.7K0.00101.88049,2256,429
2013-12-16$67.08$65.0017.5%5.0%12.5%26.4%0.0%-0.5%4.3%-432.3K-45.3M-50.4K0.00101.11009,2256,433
2013-12-17$67.29$65.0017.0%4.9%12.1%24.4%0.0%5.6%8.4%-439.5K-46.2M-48.7K0.0095.99019,2256,433
2013-12-18$67.85$65.0015.8%4.5%12.3%19.3%0.0%2.0%2.5%-585.0K-47.9M-47.6K0.0098.52909,2256,433
2013-12-19$67.59$65.0015.4%4.4%12.3%17.9%0.0%3.4%2.8%-554.2K-46.3M-56.0K0.0099.34009,2126,427
2013-12-20$68.74$65.0018.3%5.2%13.3%29.8%0.0%-3.2%1.3%-889.0K-50.3M-42.3K0.00102.73309,2126,427
2013-12-23$69.51$65.0016.2%4.6%13.6%21.0%16.2%-0.9%5.0%-213.3K-19.5M-53.5K0.00100.092,10904,1593,505
2013-12-24$70.30$65.0016.6%4.8%13.7%22.9%0.0%2.1%5.4%369.3K-28.1M-80.5K1.43100.1514206,2523,505
2013-12-26$71.22$65.0018.4%5.3%13.8%30.2%18.4%4.4%2.5%348.4K-31.9M-64.9K0.01101.16857116,2583,525
2013-12-27$70.23$65.0017.2%4.9%15.2%25.3%17.2%0.9%3.7%345.1K-30.1M-65.4K7.5098.924306,2673,536
2013-12-30$70.58$70.0017.8%5.1%13.7%27.8%0.0%2.0%3.4%329.7K-30.7M-64.5K0.0099.28006,2693,566
2013-12-31$71.05$70.0018.1%5.2%13.4%28.8%18.1%5.0%3.9%317.9K-31.8M-62.1K0.00101.640846,2693,566