IT Options History — March 2015

In March 2015, IT traded between $79.87 and $84.10. ATM implied volatility averaged 20.9%, placing in the 17.5% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 2.4% (HV 20d: 18.5%). Max pain ranged from $85.00 to $85.00. Net GEX was positive for 1 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 0.72.

Notable Days

  • 2015-03-26: Highest Volume — 1,935 contracts
  • 2015-03-03: Largest IV spike — 55.3% change
  • 2015-03-03: Highest IV Rank — 55.0%
  • 2015-03-03: Largest Expected Move — 10.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$81.82$79.87$84.10$82.46$83.87
Max Pain$85.00$85.00$85.00$85.00$85.00
ATM IV20.9%16.9%37.3%24.0%18.1%
Expected Move5.9%4.9%10.7%6.9%5.2%
HV 20d18.5%12.5%33.2%33.2%16.4%
HV 60d23.7%22.6%24.5%24.5%23.6%
IV Rank17.5%7.8%55.0%26.0%10.5%
IV Percentile56.4%15.5%97.6%71.8%36.1%
Term Structure1.6%-14.5%6.6%-8.7%5.1%
VWIV17.9%14.7%22.4%15.0%18.3%
Skew 25d4.0%-9.4%29.6%7.6%-9.4%
Skew 10d5.7%-19.2%36.6%11.1%-18.3%
Call IV 25d19.5%14.5%29.7%14.5%29.7%
Put IV 25d23.4%16.9%49.1%22.1%20.3%
Bid-Ask Spread %103.3796.57110.55100.84109.73
Gamma HHI0.460.350.630.630.38
Net GEX-574.9K-1.5M26.6K-1.5M-143.1K
Net DEX9.0M1.1M14.5M9.8M1.7M
Net VEX-35.5K-49.7K-18.3K-47.4K-20.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.720.004.670.330.72
Total Volume673.04501,9351,4611,896
Total OI3,886.9551,6004,9544,7601,743

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-03-02$82.46$85.0024.0%6.9%33.2%26.0%15.0%7.6%-8.7%-1.5M9.8M-47.4K0.33100.841,0973641,2443,516
2015-03-03$82.17$85.0037.3%10.7%32.9%55.0%19.2%29.6%-14.5%-978.7K10.3M-49.7K0.34110.551,0973731,2553,647
2015-03-04$81.19$85.0019.9%5.7%32.4%17.0%18.4%3.3%-1.1%-908.1K11.8M-47.6K0.33104.311,1023691,2553,656
2015-03-05$81.57$85.0020.0%5.6%32.3%17.2%15.1%14.3%2.5%-946.6K11.8M-47.2K0.3397.761,1063691,2603,656
2015-03-06$80.99$85.0019.2%5.4%16.9%15.5%14.7%-1.7%3.9%-761.7K12.9M-46.0K0.3398.161,1023691,2553,656
2015-03-09$81.20$85.0023.2%5.5%16.8%24.3%0.0%2.8%3.0%-612.0K13.2M-40.9K0.0099.39001,2553,636
2015-03-10$79.87$85.0021.3%5.5%17.7%20.0%0.0%16.2%3.3%-386.7K14.5M-41.4K0.00104.353001,2553,636
2015-03-11$79.92$85.0019.3%5.5%17.7%14.0%20.9%0.3%3.6%-436.3K14.4M-42.0K0.0096.57011,2853,636
2015-03-12$80.44$85.0019.3%5.5%17.7%13.9%20.0%1.1%3.4%-776.9K13.0M-43.3K0.00100.00011,2853,637
2015-03-13$80.35$85.0019.0%5.4%16.2%12.4%22.4%2.1%3.3%-449.7K14.4M-41.8K0.0098.09011,2853,638
2015-03-16$81.45$85.0019.6%5.6%15.6%13.9%0.0%3.2%2.7%-788.7K11.1M-43.0K0.00101.48001,2853,639
2015-03-17$81.65$85.0019.5%5.6%15.2%13.7%19.1%9.3%3.3%-892.7K11.0M-41.4K4.67106.166281,2853,639
2015-03-18$81.60$85.0019.6%5.6%12.9%13.9%0.0%0.7%3.0%-800.7K13.0M-39.1K0.00104.10021,2873,667
2015-03-19$81.73$85.0019.3%5.5%12.5%13.2%0.0%2.3%2.7%-1.0M10.8M-38.0K0.56103.981,0005571,2873,667
2015-03-20$83.03$85.0019.0%5.5%13.1%12.6%16.2%-4.2%2.4%26.6K13.0M-34.0K0.00102.69801,2873,661
2015-03-23$83.78$85.0017.2%4.9%13.5%8.3%17.2%2.3%5.5%-216.0K1.7M-19.0K0.35106.1171252061,394
2015-03-24$83.13$85.0022.2%6.4%13.2%19.7%16.8%0.2%4.9%-200.0K1.6M-19.9K0.00104.25022771,419
2015-03-25$81.47$85.0022.1%6.3%14.9%19.5%0.0%5.5%1.2%-219.5K2.1M-19.9K0.00107.58002771,421
2015-03-26$81.62$85.0019.1%5.5%14.6%12.6%17.8%-0.1%5.7%-221.7K2.3M-21.2K0.69103.821,1427932791,431
2015-03-27$82.42$85.0024.2%6.9%15.1%24.2%0.0%1.8%-6.7%-218.1K1.9M-19.4K0.00107.61002801,421
2015-03-30$84.10$85.0016.9%4.9%16.4%7.8%17.0%0.4%6.6%-165.1K1.1M-18.3K0.72106.681,1037932821,431
2015-03-31$83.87$85.0018.1%5.2%16.4%10.5%18.3%-9.4%5.1%-143.1K1.7M-20.4K0.72109.731,1037933121,431