IT Options History — July 2014

In July 2014, IT traded between $68.42 and $72.08. ATM implied volatility averaged 23.3%, placing in the 48.9% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 7.5% (HV 20d: 15.8%). Max pain ranged from $50.00 to $75.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 2.55.

Notable Days

  • 2014-07-31: Highest Volume — 265 contracts
  • 2014-07-10: Largest IV spike — 38.7% change
  • 2014-07-31: Highest IV Rank — 81.5%
  • 2014-07-17: Largest Expected Move — 7.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$70.40$68.42$72.08$72.08$68.42
Max Pain$63.57$50.00$75.00$70.00$50.00
ATM IV23.3%15.9%30.8%15.9%30.8%
Expected Move6.4%4.6%7.2%4.6%6.4%
HV 20d15.8%11.2%16.9%15.3%11.2%
HV 60d21.0%15.2%23.4%23.2%15.3%
IV Rank48.9%16.6%81.5%16.6%81.5%
IV Percentile68.5%10.3%98.8%10.3%98.8%
Term Structure-2.1%-8.2%10.8%10.8%-8.2%
VWIV24.0%16.4%30.7%16.4%27.4%
Skew 25d4.4%2.2%10.7%2.4%10.7%
Skew 10d7.7%-6.2%29.2%1.9%29.2%
Call IV 25d22.8%12.2%27.0%16.0%26.0%
Put IV 25d27.2%16.3%36.8%18.4%36.8%
Bid-Ask Spread %86.8355.78108.1899.3878.64
Gamma HHI0.270.240.280.240.27
Net GEX-39.6K-69.8K-18.1K-30.4K-69.8K
Net DEX1.5M758.5K2.5M758.5K2.5M
Net VEX-18.7K-19.9K-16.1K-18.8K-16.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.550.0035.000.020.05
Total Volume43.273026585265
Total OI1,995.51,6762,1301,6762,130

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-07-01$72.08$70.0015.9%4.6%15.3%16.6%16.4%2.4%10.8%-30.4K758.5K-18.8K0.0299.388325861,090
2014-07-02$70.67$70.0016.5%4.7%15.7%19.3%0.0%2.5%5.3%-38.4K1.2M-18.5K0.9899.9960596631,088
2014-07-03$71.46$70.0016.1%4.6%16.2%17.6%0.0%5.4%7.1%-22.8K1.0M-19.6K0.0098.921007231,143
2014-07-07$70.99$70.0018.0%6.6%16.3%25.5%27.8%3.0%-1.5%-32.8K1.2M-19.7K0.0098.660107311,143
2014-07-08$70.70$70.0017.9%6.7%16.3%25.2%23.7%4.0%-2.2%-45.0K1.4M-19.0K0.0091.492907311,153
2014-07-09$71.29$70.0017.3%6.8%16.4%22.5%0.0%5.1%-1.8%-28.2K1.1M-19.5K35.0093.711357411,153
2014-07-10$70.47$70.0024.0%6.9%16.6%51.7%0.0%5.1%-2.0%-65.9K1.8M-18.7K0.0091.37007421,188
2014-07-11$70.95$70.0024.6%7.1%16.5%54.4%24.7%5.6%-2.5%-59.8K1.4M-19.1K0.0088.8110007421,188
2014-07-14$71.11$70.0024.3%7.0%16.5%53.2%23.2%3.4%-2.4%-35.3K986.5K-19.9K0.0090.13308101,188
2014-07-15$71.00$70.0024.5%7.0%16.3%53.9%23.8%2.8%-2.6%-39.4K1.1M-19.4K0.0096.501008111,188
2014-07-16$70.85$70.0024.2%6.9%16.2%52.7%24.1%2.7%-2.8%-37.8K1.1M-19.4K0.0190.389018211,188
2014-07-17$69.91$70.0024.9%7.2%16.9%55.9%25.6%3.9%-3.3%-29.3K1.6M-19.6K0.0093.240319111,188
2014-07-18$70.31$70.0024.3%7.0%16.8%53.3%0.0%4.0%-2.9%-18.1K1.6M-19.7K0.0089.34509111,217
2014-07-21$69.96$0.0025.3%6.5%16.9%57.5%17.0%2.5%-3.3%-58.2K1.9M-18.6K0.21108.1872158121,195
2014-07-22$70.20$75.0024.9%6.4%16.8%55.6%30.7%2.6%-3.3%-24.2K1.5M-19.1K0.0065.580118801,210
2014-07-23$70.25$50.0025.2%6.5%16.5%57.0%0.0%2.2%-4.1%-22.1K1.4M-19.3K0.0055.78008801,220
2014-07-24$70.05$50.0026.5%6.7%16.3%62.9%0.0%3.4%-5.0%-27.6K1.6M-18.8K0.6377.84858801,220
2014-07-25$69.89$50.0025.9%6.3%16.0%59.9%0.0%4.4%-4.2%-35.3K1.7M-18.0K0.0062.69008851,224
2014-07-28$69.49$50.0027.0%6.4%14.7%64.9%0.0%5.5%-4.7%-50.4K2.0M-17.6K2.2079.035118851,224
2014-07-29$69.22$50.0027.1%6.4%14.6%65.5%0.0%10.1%-6.0%-54.9K2.1M-16.9K1.6772.726108891,214
2014-07-30$69.47$50.0027.9%6.4%12.0%68.9%0.0%4.7%-5.8%-44.9K2.0M-17.0K0.0087.781508951,220
2014-07-31$68.42$50.0030.8%6.4%11.2%81.5%27.4%10.7%-8.2%-69.8K2.5M-16.1K0.0578.64253129101,220