IT Options History — May 2015

In May 2015, IT traded between $83.63 and $88.48. ATM implied volatility averaged 24.5%, placing in the 25.0% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 8.3% (HV 20d: 16.2%). Max pain ranged from $80.00 to $80.00. Net GEX was positive for 12 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 2.41.

Notable Days

  • 2015-05-01: Highest Volume — 2,169 contracts
  • 2015-05-12: Largest IV spike — 140.7% change
  • 2015-05-12: Highest IV Rank — 73.5%
  • 2015-05-01: Largest Expected Move — 9.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$86.34$83.63$88.48$84.11$87.53
Max Pain$80.00$80.00$80.00$80.00$80.00
ATM IV24.5%15.7%46.1%33.7%19.0%
Expected Move5.5%4.5%9.7%9.7%5.4%
HV 20d16.2%12.3%19.2%12.3%18.2%
HV 60d15.5%14.6%21.7%21.7%15.2%
IV Rank25.0%5.1%73.5%45.5%12.4%
IV Percentile51.4%5.6%99.6%95.6%47.2%
Term Structure0.1%-11.7%6.6%-11.7%-0.1%
VWIV21.1%13.7%34.1%34.1%29.4%
Skew 25d1.8%-4.6%7.5%6.8%7.5%
Skew 10d4.6%-11.7%41.7%17.0%28.5%
Call IV 25d19.7%15.4%31.7%31.7%16.8%
Put IV 25d21.5%17.0%38.5%38.5%24.3%
Bid-Ask Spread %96.8586.03105.1495.36102.34
Gamma HHI0.550.340.890.400.38
Net GEX468.5K-167.6K2.3M-167.6K-35.3K
Net DEX-4.2M-13.9M813.3K813.3K-783.0K
Net VEX-9.4K-22.5K-3.6K-13.8K-4.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.410.005.260.182.63
Total Volume731.902,1692,169272
Total OI2,496.71,6813,3951,7191,716

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-05-01$84.11$80.0033.7%9.7%12.3%45.5%34.1%6.8%-11.7%-167.6K813.3K-13.8K0.1895.361,8333363071,412
2015-05-04$84.69$80.0041.1%7.0%12.5%62.2%24.6%1.5%-2.8%237.1K-3.4M-15.7K0.0092.3079901,0981,417
2015-05-05$83.63$80.0040.2%7.0%13.3%60.2%25.2%3.7%-1.7%639.2K-5.3M-22.2K0.1486.031,8472661,9211,427
2015-05-06$84.00$80.0041.1%6.8%13.2%62.1%26.3%6.0%-1.9%527.5K-4.4M-22.5K0.2586.101,1112811,8071,490
2015-05-07$85.03$80.0021.1%4.9%13.9%17.3%20.1%1.7%3.9%1.5M-6.9M-15.0K0.2299.471,0572361,8061,579
2015-05-08$85.61$80.0037.8%4.9%14.1%54.8%17.2%-0.2%2.6%858.4K-8.4M-13.6K5.0096.422101,8071,561
2015-05-11$84.47$80.0019.2%5.0%14.7%12.9%17.5%-1.8%2.2%2.3M-4.8M-11.5K4.5097.80291,8071,562
2015-05-12$83.86$80.0046.1%4.8%14.9%73.5%16.1%-2.4%2.8%864.1K-5.8M-12.1K0.1998.501,0572061,8061,581
2015-05-13$86.22$80.0017.2%4.9%17.9%8.4%13.7%3.3%2.7%2.0M-11.2M-9.1K0.1998.021,0572021,8091,581
2015-05-14$88.05$80.0016.8%4.8%19.2%7.4%19.7%3.4%2.1%793.8K-13.5M-5.5K0.1995.001,0582021,8091,586
2015-05-15$87.46$80.0019.1%5.5%18.5%12.6%25.1%4.5%0.6%-100.1K-13.9M-8.2K0.1994.751,0722041,8091,586
2015-05-18$87.76$80.0016.1%4.6%18.3%5.9%0.0%-0.9%-0.6%332-1.0M-4.1K0.0098.47002561,425
2015-05-19$87.42$80.0018.2%5.2%18.3%10.6%18.1%1.6%2.5%-13.7K-949.7K-4.6K3.5797.447252561,425
2015-05-20$88.23$80.0016.3%4.7%18.0%6.3%17.7%2.3%-0.7%-2.8K-1.0M-4.2K4.4799.45492192531,460
2015-05-21$87.78$80.0016.6%4.7%17.5%7.0%18.5%1.8%0.6%-25.8K-846.3K-4.7K5.2698.33422212531,460
2015-05-22$87.26$80.0017.9%5.1%17.2%10.0%22.3%-0.7%6.6%-23.7K-816.8K-4.5K4.6996.25421972521,462
2015-05-26$86.99$80.0018.5%5.3%17.0%11.4%19.5%1.3%-3.2%-25.5K-768.8K-4.3K4.69105.14421972521,464
2015-05-27$88.48$80.0015.7%4.5%17.8%5.1%18.9%-4.6%-0.5%5.5K-1.1M-3.6K4.69100.47421972521,464
2015-05-28$88.13$80.0019.5%5.6%17.9%13.7%17.6%1.6%-1.7%4.8K-1.0M-3.6K4.6999.41421972521,464
2015-05-29$87.53$80.0019.0%5.4%18.2%12.4%29.4%7.5%-0.1%-35.3K-783.0K-4.6K2.63102.34751972521,464