IT Options History — April 2015

In April 2015, IT traded between $82.88 and $84.57. ATM implied volatility averaged 25.8%, placing in the 27.8% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded above realized volatility by 11.8% (HV 20d: 14.0%). Max pain ranged from $75.00 to $85.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 0.75.

Notable Days

  • 2015-04-02: Highest Volume — 1,898 contracts
  • 2015-04-07: Largest IV drop — 32.1% change
  • 2015-04-30: Highest IV Rank — 41.4%
  • 2015-04-30: Largest Expected Move — 9.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$83.69$82.88$84.57$83.32$82.97
Max Pain$82.38$75.00$85.00$85.00$85.00
ATM IV25.8%18.4%31.8%22.6%31.8%
Expected Move7.4%6.5%9.1%6.5%9.1%
HV 20d14.0%11.3%15.9%15.9%11.3%
HV 60d22.6%21.6%23.3%23.3%21.6%
IV Rank27.8%11.1%41.4%20.7%41.4%
IV Percentile77.4%40.9%94.4%69.4%94.4%
Term Structure-3.5%-7.8%0.7%0.7%-7.8%
VWIV31.0%22.6%45.7%22.6%31.4%
Skew 25d-1.7%-14.0%12.1%-2.2%2.4%
Skew 10d5.2%-26.6%52.1%-26.6%2.4%
Call IV 25d33.2%22.2%46.7%22.2%34.5%
Put IV 25d31.4%20.0%40.1%20.0%36.9%
Bid-Ask Spread %99.2192.56107.98107.9895.36
Gamma HHI0.410.340.520.410.44
Net GEX-162.0K-227.6K-79.3K-177.4K-209.6K
Net DEX1.1M744.7K1.9M1.6M1.3M
Net VEX-15.6K-19.1K-13.5K-19.1K-14.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.750.671.700.720.67
Total Volume1,778.143271,8981,8961,821
Total OI1,730.6671,6191,7981,7431,714

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-04-01$83.32$85.0022.6%6.5%15.9%20.7%22.6%-2.2%0.7%-177.4K1.6M-19.1K0.72107.981,1037933121,431
2015-04-02$83.28$75.0023.6%6.9%15.9%22.9%33.7%1.1%-2.2%-166.4K1.6M-19.0K0.7296.841,1037953121,431
2015-04-06$83.61$80.0027.0%7.0%15.6%30.6%45.7%-4.2%-1.8%-163.0K1.4M-17.2K0.7298.571,1037953121,433
2015-04-07$83.74$80.0018.4%6.9%15.6%11.1%28.1%1.8%-2.1%-136.3K1.1M-17.3K0.7295.781,1037953121,433
2015-04-08$84.32$80.0023.4%6.7%14.2%22.5%0.0%-10.2%-2.4%-111.9K910.2K-16.1K1.70102.5710173101,423
2015-04-09$84.43$80.0024.0%6.9%14.1%23.8%27.7%2.8%-3.1%-118.5K950.2K-16.4K0.7192.561,1077873221,450
2015-04-10$84.57$80.0023.9%6.9%14.1%23.5%27.7%3.4%-2.8%-105.1K834.4K-16.3K0.7193.851,1077903281,450
2015-04-13$83.92$80.0025.0%7.2%14.5%26.0%44.4%-14.0%-2.8%-123.7K1.1M-15.4K0.71101.891,1077903281,470
2015-04-14$84.00$80.0025.3%7.2%13.8%26.6%31.0%4.4%-3.3%-132.1K1.0M-15.6K0.7399.931,0827903281,470
2015-04-15$84.17$80.0025.3%7.2%13.8%26.5%31.8%-2.9%-3.6%-109.8K1.0M-14.8K0.7399.741,0827903231,470
2015-04-16$84.36$80.0024.7%7.1%13.8%25.3%29.4%-12.5%-3.0%-79.3K1.1M-14.1K0.7399.271,0827913231,470
2015-04-17$83.13$85.0025.2%7.2%15.0%26.5%30.5%-4.2%-2.6%-227.6K1.9M-15.7K0.7296.891,0807813231,471
2015-04-20$83.90$85.0025.9%7.4%14.3%27.9%32.3%-9.3%-4.3%-203.2K975.3K-13.5K0.70102.421,0777552241,395
2015-04-21$83.58$85.0026.3%7.5%14.0%28.9%28.8%-0.1%-4.0%-204.4K962.0K-14.0K0.68101.421,1167552291,400
2015-04-22$82.88$85.0027.6%7.9%14.1%31.9%25.9%-7.7%-1.7%-216.2K1.6M-16.2K0.69101.241,0887552641,400
2015-04-23$84.31$85.0026.8%7.7%13.2%30.0%30.3%12.1%-5.2%-176.7K744.7K-13.7K0.6997.961,0937552641,400
2015-04-24$83.50$85.0026.8%7.7%13.8%30.0%27.5%3.8%-5.2%-173.7K826.5K-14.5K0.6998.451,0937553021,400
2015-04-27$83.02$85.0029.1%8.4%13.6%35.3%30.3%-7.4%-4.7%-189.6K851.1K-14.0K0.69100.271,0937553021,400
2015-04-28$83.31$85.0029.6%8.5%11.5%36.4%32.5%11.0%-7.6%-185.0K844.4K-14.0K0.67100.811,0947373021,400
2015-04-29$83.15$85.0029.6%8.5%11.5%36.3%28.5%-4.5%-4.0%-191.6K1.2M-14.9K0.6799.581,0857313031,410
2015-04-30$82.97$85.0031.8%9.1%11.3%41.4%31.4%2.4%-7.8%-209.6K1.3M-14.7K0.6795.361,0897323031,411