IT Options History — December 2014

In December 2014, IT traded between $82.77 and $87.24. ATM implied volatility averaged 18.9%, placing in the 14.8% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 0.8% (HV 20d: 18.1%). Max pain ranged from $80.00 to $80.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 2.46.

Notable Days

  • 2014-12-08: Highest Volume — 372 contracts
  • 2014-12-10: Largest IV spike — 11.2% change
  • 2014-12-16: Highest IV Rank — 19.4%
  • 2014-12-30: Largest Expected Move — 7.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$84.79$82.77$87.24$84.91$84.21
Max Pain$80.00$80.00$80.00$80.00$80.00
ATM IV18.9%17.4%21.0%18.7%18.4%
Expected Move6.3%4.6%7.3%6.1%6.9%
HV 20d18.1%12.1%22.2%21.8%20.1%
HV 60d19.6%19.0%20.4%19.1%19.8%
IV Rank14.8%11.6%19.4%14.5%13.8%
IV Percentile49.9%27.0%69.8%51.6%47.6%
Term Structure2.3%-4.8%6.3%-1.1%5.5%
VWIV24.6%21.3%28.7%25.8%22.3%
Skew 25d1.2%-11.0%11.2%4.9%10.3%
Skew 10d4.8%-6.4%16.7%7.8%15.8%
Call IV 25d22.0%14.7%32.5%15.6%16.5%
Put IV 25d23.2%18.8%29.2%20.4%26.8%
Bid-Ask Spread %83.0064.29107.9267.9293.17
Gamma HHI0.690.300.980.830.62
Net GEX-644.1K-1.2M-6.6K-845.0K-55.1K
Net DEX1.6M-1.3M5.0M1.9M84.8K
Net VEX-8.4K-12.7K-4.9K-12.7K-5.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.460.003.912.353.91
Total Volume252.04503723650
Total OI2,003.9553942,8282,700461

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-12-01$84.91$80.0018.7%6.1%21.8%14.5%25.8%4.9%-1.1%-845.0K1.9M-12.7K2.3567.921092563912,309
2014-12-02$84.57$80.0018.3%6.1%22.0%13.6%25.5%-2.1%-0.5%-883.0K2.2M-12.7K2.3065.241092513922,309
2014-12-03$84.89$80.0017.9%6.2%21.9%12.6%22.8%-4.1%-0.1%-914.7K1.8M-11.7K2.5171.861002513922,309
2014-12-04$84.14$80.0017.7%6.2%22.2%12.2%0.0%4.6%0.1%-939.8K2.8M-11.7K0.0080.38603932,309
2014-12-05$84.71$80.0017.4%5.9%12.3%11.6%24.1%-10.8%3.5%-990.6K2.0M-11.3K2.6181.51962513992,309
2014-12-08$83.28$80.0018.6%6.1%12.9%14.1%22.3%1.2%2.8%-944.5K3.7M-10.1K2.8864.29962763992,309
2014-12-09$83.83$80.0018.3%6.0%13.0%13.5%21.3%1.8%2.8%-929.1K3.3M-8.9K2.7570.07962643992,324
2014-12-10$83.82$80.0020.3%6.5%12.8%17.9%26.3%-10.2%4.2%-1.0M3.2M-9.9K2.1282.601002123992,337
2014-12-11$84.38$80.0018.3%6.2%12.1%13.6%25.6%-11.0%3.9%-1.1M2.5M-9.4K2.1284.191002124042,340
2014-12-12$82.77$80.0019.9%6.4%13.8%17.1%28.7%-1.3%2.8%-870.5K5.0M-10.1K2.5277.64862174042,340
2014-12-15$84.43$80.0020.7%6.6%15.6%18.7%24.4%0.5%2.3%-821.2K2.8M-9.5K2.4978.91872174162,346
2014-12-16$83.10$80.0021.0%6.6%16.4%19.4%27.2%0.2%3.0%-958.2K4.5M-8.6K2.7473.80972664152,346
2014-12-17$85.16$80.0020.4%6.7%18.8%18.2%25.1%-4.0%3.1%-865.6K2.1M-9.0K2.6881.81992654252,401
2014-12-18$87.24$80.0020.3%6.5%20.4%17.8%22.7%5.0%1.8%-781.9K-1.1M-7.1K2.9173.48912654242,404
2014-12-19$86.51$80.0019.6%6.4%20.1%16.4%22.3%2.0%2.3%-1.2M-1.3M-6.2K0.0080.06604242,404
2014-12-22$85.69$0.0018.8%7.1%20.5%14.6%0.0%5.8%4.5%-8.6K-239.1K-5.0K3.2694.6747153151243
2014-12-23$85.73$0.0017.8%6.9%20.2%12.3%0.0%3.9%4.4%-6.6K-247.0K-5.4K2.9493.2052153162243
2014-12-24$85.92$0.0017.7%4.6%20.2%12.2%0.0%7.1%-4.8%-8.1K-262.9K-5.2K3.00102.2751153161243
2014-12-26$85.46$0.0017.9%7.0%20.3%12.8%0.0%11.2%6.3%-7.4K-296.4K-5.1K3.00107.9251153162243
2014-12-29$85.63$0.0018.9%4.9%19.9%14.8%0.0%7.4%-1.5%-7.5K-260.9K-4.9K3.91105.6447184162243
2014-12-30$85.01$0.0018.9%7.3%19.9%14.7%0.0%4.1%5.9%-36.1K-62.2K-5.3K0.0095.39020164277
2014-12-31$84.21$0.0018.4%6.9%20.1%13.8%0.0%10.3%5.5%-55.1K84.8K-5.4K0.0093.1700164297