IT Options History — January 2014

In January 2014, IT traded between $68.03 and $70.33. ATM implied volatility averaged 20.4%, placing in the 38.8% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 4.9% (HV 20d: 15.5%). Max pain ranged from $70.00 to $75.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 7.58.

Notable Days

  • 2014-01-30: Highest Volume — 273 contracts
  • 2014-01-16: Largest IV spike — 49.7% change
  • 2014-01-31: Highest IV Rank — 63.8%
  • 2014-01-31: Largest Expected Move — 7.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$69.34$68.03$70.33$69.80$70.33
Max Pain$72.00$70.00$75.00$70.00$75.00
ATM IV20.4%14.9%26.4%18.1%26.4%
Expected Move6.5%5.1%7.6%5.2%7.6%
HV 20d15.5%14.5%16.8%15.4%15.5%
HV 60d16.6%16.2%17.4%17.4%16.6%
IV Rank38.8%15.7%63.8%29.0%63.8%
IV Percentile48.8%7.9%90.1%25.4%90.1%
Term Structure-1.1%-4.4%4.2%3.9%-4.4%
VWIV24.3%22.3%26.4%23.3%26.4%
Skew 25d5.1%0.4%10.4%0.4%10.4%
Skew 10d6.9%-0.0%17.5%0.8%12.5%
Call IV 25d19.9%16.8%23.6%17.1%18.1%
Put IV 25d25.0%17.5%28.5%17.5%28.5%
Bid-Ask Spread %93.2287.5399.5499.5496.57
Gamma HHI0.650.530.780.610.64
Net GEX292.0K188.0K345.9K270.8K188.0K
Net DEX-27.3M-29.6M-24.3M-28.5M-28.7M
Net VEX-58.8K-74.4K-49.5K-66.8K-50.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio7.580.0035.000.0011.00
Total Volume29.7140273112
Total OI9,875.7629,69210,1659,91810,165

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-01-02$69.80$70.0018.1%5.2%15.4%29.0%0.0%0.4%3.9%270.8K-28.5M-66.8K0.0099.54106,2693,649
2014-01-03$69.74$70.0017.8%5.1%15.1%27.8%0.0%3.7%4.2%275.8K-27.9M-72.0K0.0099.27016,2703,649
2014-01-06$69.05$0.0019.0%6.5%15.6%32.6%0.0%2.2%-0.8%310.7K-25.8M-72.6K0.0087.59026,2703,650
2014-01-07$69.05$0.0018.1%6.4%15.2%29.0%0.0%2.9%-1.2%316.4K-25.4M-74.4K0.0088.551006,2703,652
2014-01-08$69.56$0.0017.6%6.4%15.2%27.1%0.0%2.3%-1.1%283.3K-27.7M-63.9K0.0087.69006,2803,652
2014-01-09$70.03$0.0017.3%6.5%14.9%25.5%0.0%2.5%-1.4%269.7K-29.3M-59.7K1.0087.53556,2803,652
2014-01-10$69.87$0.0015.8%6.4%14.6%19.3%0.0%4.1%-1.5%296.1K-28.6M-61.1K0.0094.440406,2853,652
2014-01-13$68.49$0.0014.9%6.6%16.4%15.7%0.0%5.4%-0.9%281.0K-25.2M-60.7K0.0092.00006,2853,652
2014-01-14$69.04$0.0016.8%6.4%16.5%23.5%0.0%8.0%-0.5%262.0K-26.6M-59.9K0.0093.43006,2853,652
2014-01-15$69.28$0.0015.3%6.6%16.3%17.3%0.0%3.9%-2.6%259.3K-27.7M-57.3K0.0094.341206,2763,640
2014-01-16$69.59$0.0022.9%6.6%16.3%49.1%0.0%1.8%-1.4%248.2K-28.3M-56.4K0.9288.8012116,2823,640
2014-01-17$69.34$0.0021.1%6.0%16.2%41.5%0.0%7.7%0.4%265.0K-27.2M-58.9K0.0091.53006,2843,649
2014-01-21$69.40$0.0023.4%6.7%16.1%51.3%23.3%7.3%-1.7%337.2K-28.3M-53.7K25.0093.321256,1923,500
2014-01-22$69.72$70.0022.1%6.3%15.1%45.8%0.0%7.8%-0.5%320.5K-28.5M-52.9K0.0093.76016,1933,525
2014-01-23$69.52$70.0022.0%6.3%14.6%45.4%22.3%7.5%-1.1%341.0K-28.4M-53.0K0.0094.50506,1933,526
2014-01-24$68.19$70.0023.5%6.7%15.5%51.4%0.0%3.2%-1.9%328.3K-25.4M-53.1K10.5093.554426,1983,525
2014-01-27$68.03$70.0022.8%6.5%14.5%48.5%24.6%4.0%-1.5%335.1K-24.3M-53.1K35.0097.282706,1993,536
2014-01-28$69.03$75.0024.4%7.0%15.0%55.3%24.6%6.1%-3.0%307.0K-26.2M-51.1K0.0094.591006,1993,606
2014-01-29$68.80$75.0024.2%6.9%14.9%54.6%24.2%6.9%-1.9%345.9K-25.2M-54.9K0.0094.090806,2093,606
2014-01-30$70.32$75.0025.9%7.4%16.8%61.6%24.7%9.1%-3.3%291.5K-29.6M-49.5K0.0095.2402736,2093,685
2014-01-31$70.33$75.0026.4%7.6%15.5%63.8%26.4%10.4%-4.4%188.0K-28.7M-50.7K11.0096.571116,2093,956