IT Options History — October 2014

In October 2014, IT traded between $72.53 and $80.74. ATM implied volatility averaged 26.5%, placing in the 34.2% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 8.3% (HV 20d: 18.3%). Max pain ranged from $60.00 to $75.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 3 of 23 days. Put/call ratio averaged 4.89.

Notable Days

  • 2014-10-31: Highest Volume — 1,700 contracts
  • 2014-10-13: Largest IV spike — 161.8% change
  • 2014-10-14: Highest IV Rank — 100.0%
  • 2014-10-16: Largest Expected Move — 7.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$75.43$72.53$80.74$73.25$80.74
Max Pain$65.43$60.00$75.00$70.00$75.00
ATM IV26.5%14.4%57.9%18.9%32.7%
Expected Move6.5%6.0%7.2%6.0%6.9%
HV 20d18.3%15.6%19.5%15.6%17.7%
HV 60d16.4%15.2%17.5%15.3%15.8%
IV Rank34.2%7.2%100.0%21.5%45.0%
IV Percentile69.3%2.0%100.0%51.6%97.2%
Term Structure-2.2%-6.8%6.6%4.4%-6.8%
VWIV25.2%22.2%28.7%22.8%26.0%
Skew 25d3.6%-6.7%10.0%3.4%6.4%
Skew 10d9.9%-9.1%25.1%4.4%14.9%
Call IV 25d27.5%15.0%38.1%18.2%30.2%
Put IV 25d31.1%17.6%42.6%21.5%36.5%
Bid-Ask Spread %77.3558.1896.3772.3369.88
Gamma HHI0.660.500.740.640.66
Net GEX-369.9K-464.6K-220.0K-323.9K-356.7K
Net DEX3.8M1.0M6.3M4.6M1.0M
Net VEX-18.7K-21.6K-15.7K-19.6K-17.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.890.0040.0040.0011.69
Total Volume304.30431,700151,700
Total OI2,241.3041,9892,6131,9892,613

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-10-01$73.25$70.0018.9%6.0%15.6%21.5%22.8%3.4%4.4%-323.9K4.6M-19.6K0.0072.330153701,619
2014-10-02$73.81$60.0017.1%6.0%15.9%15.8%0.0%-1.1%6.2%-297.4K4.2M-19.3K40.0079.341403701,624
2014-10-03$75.61$60.0017.3%6.0%17.9%16.5%0.0%2.6%6.6%-287.1K3.1M-19.2K2.2466.0421473711,624
2014-10-06$75.31$60.0017.5%6.1%18.0%17.0%0.0%5.7%-1.9%-310.0K3.1M-18.8K0.0076.03093881,671
2014-10-07$74.44$60.0018.4%6.1%18.2%19.7%0.0%3.0%-1.8%-338.1K3.9M-18.9K0.0073.6602023881,680
2014-10-08$74.74$70.0017.2%6.2%17.6%16.0%23.3%-5.5%-1.8%-412.3K4.6M-20.8K5.7660.51714093881,887
2014-10-09$73.60$60.0014.4%6.3%18.2%7.2%0.0%3.5%-2.4%-396.1K5.1M-20.6K0.0080.697104031,874
2014-10-10$73.60$70.0014.5%6.0%18.1%7.6%25.8%7.2%-2.2%-220.0K5.1M-21.6K3.2291.641274094591,879
2014-10-13$72.53$60.0038.0%6.5%18.6%81.4%0.0%2.7%-3.1%-307.5K5.4M-19.7K2.0086.2710204591,874
2014-10-14$73.37$70.0057.9%6.7%19.3%100.0%28.6%9.3%-1.7%-324.4K5.0M-20.3K2.9990.751303894671,871
2014-10-15$72.61$70.0039.4%7.1%19.0%59.7%26.2%2.1%-5.8%-348.1K6.1M-18.8K1.8074.621402524681,871
2014-10-16$72.58$60.0027.4%7.2%18.8%33.5%25.2%10.0%-2.5%-355.0K6.3M-18.7K0.1983.1358114681,881
2014-10-17$73.60$60.0026.1%6.6%19.1%30.5%22.7%4.5%-1.7%-342.7K5.3M-18.8K0.0067.701104951,891
2014-10-20$74.37$60.0027.9%6.6%19.5%34.5%28.4%4.6%-3.9%-448.0K4.5M-18.0K0.5067.90212971,777
2014-10-21$75.74$70.0026.6%7.2%19.4%31.7%28.7%5.6%-2.9%-460.2K3.3M-17.7K3.4994.30491712971,783
2014-10-22$75.90$70.0026.7%6.6%18.8%31.8%27.7%5.0%-2.0%-452.7K3.0M-17.5K3.4296.37531812981,793
2014-10-23$77.17$70.0027.2%6.5%17.7%32.9%22.7%4.5%-3.6%-411.0K2.3M-16.6K3.4258.18531813001,793
2014-10-24$77.24$70.0028.0%6.5%17.7%34.7%24.3%1.6%-4.6%-430.0K2.3M-16.3K3.2361.86531713001,793
2014-10-27$77.03$60.0030.8%6.5%17.7%40.8%0.0%3.5%-4.7%-439.1K2.5M-15.7K8.4489.84413463001,808
2014-10-28$78.85$60.0028.9%6.1%19.0%36.7%23.5%6.2%-5.8%-464.6K2.8M-18.1K0.0884.22151123312,130
2014-10-29$78.97$70.0028.2%6.3%18.9%35.1%22.2%-6.7%-3.8%-433.9K2.0M-18.4K2.6391.811894984522,145
2014-10-30$79.74$70.0028.7%6.8%18.9%36.3%25.1%4.6%-5.0%-349.5K1.8M-18.9K2.7261.931895154522,148
2014-10-31$80.74$75.0032.7%6.9%17.7%45.0%26.0%6.4%-6.8%-356.7K1.0M-17.1K11.6969.881341,5664522,161