IT Options History — June 2015

In June 2015, IT traded between $85.54 and $89.01. ATM implied volatility averaged 19.7%, placing in the 14.4% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 5.4% (HV 20d: 14.3%). Max pain ranged from $80.00 to $90.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 2.97.

Notable Days

  • 2015-06-15: Highest Volume — 395 contracts
  • 2015-06-30: Largest IV spike — 51.8% change
  • 2015-06-05: Highest IV Rank — 41.8%
  • 2015-06-30: Largest Expected Move — 8.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$87.16$85.54$89.01$87.04$85.94
Max Pain$87.50$80.00$90.00$80.00$90.00
ATM IV19.7%12.7%32.0%21.5%29.5%
Expected Move5.3%3.6%8.5%6.2%8.5%
HV 20d14.3%11.4%17.9%17.9%14.2%
HV 60d14.8%13.9%15.3%15.3%14.8%
IV Rank14.4%0.0%41.8%18.2%37.3%
IV Percentile42.5%0.0%92.1%62.3%88.1%
Term Structure2.9%-5.5%9.0%-5.0%-5.5%
VWIV19.9%10.9%27.6%20.9%27.6%
Skew 25d0.7%-11.6%25.3%7.0%2.4%
Skew 10d4.5%-21.3%58.3%4.3%-18.1%
Call IV 25d23.6%11.2%35.1%15.2%25.5%
Put IV 25d24.3%16.5%45.3%22.2%27.9%
Bid-Ask Spread %104.20100.12108.38103.78106.78
Gamma HHI0.300.240.430.320.30
Net GEX-45.4K-143.9K-10.1K-25.7K-30.6K
Net DEX-272.4K-934.8K452.6K-865.0K452.6K
Net VEX-6.0K-6.8K-4.6K-4.6K-5.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.971.714.183.931.78
Total Volume290.2271395370225
Total OI1,390.6823911,8971,743419

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-06-01$87.04$80.0021.5%6.2%17.9%18.2%20.9%7.0%-5.0%-25.7K-865.0K-4.6K3.93103.78752952821,461
2015-06-02$86.67$80.0019.4%5.6%17.9%13.4%19.2%8.2%-1.5%-35.2K-458.1K-6.8K0.00106.88012811,551
2015-06-03$87.31$80.0016.9%4.8%17.3%7.7%17.2%1.8%6.0%-10.1K-660.8K-6.4K3.81101.23752862821,561
2015-06-04$86.48$90.0024.9%4.9%17.7%25.8%17.7%10.0%2.3%-28.6K-518.6K-6.5K3.81102.18752862821,561
2015-06-05$87.09$90.0032.0%5.0%17.4%41.8%19.9%4.8%4.4%-63.9K-482.7K-6.4K3.99102.13752992821,561
2015-06-08$86.03$90.0018.7%5.0%17.9%11.8%18.0%11.2%2.7%-34.4K-432.6K-6.1K4.04103.24742992821,571
2015-06-09$85.91$90.0019.2%5.1%17.2%12.9%23.2%-0.8%2.8%-45.0K-358.7K-6.2K4.18103.25743092821,571
2015-06-10$86.71$90.0017.6%5.1%17.1%9.4%22.4%-2.2%4.4%-27.5K-542.2K-6.1K3.96100.12783092821,571
2015-06-11$87.27$90.0018.5%5.3%14.3%11.3%23.9%-6.7%4.6%-10.6K-670.0K-6.2K3.96102.69783092871,571
2015-06-12$86.98$90.0021.3%6.1%12.1%17.6%19.8%-6.8%-2.7%-66.2K-401.7K-6.5K3.96104.78783092871,571
2015-06-15$86.57$90.0017.8%5.1%12.0%9.8%19.8%-2.3%4.0%-101.7K-187.6K-6.7K4.06105.16783172871,571
2015-06-16$87.55$90.0018.7%5.4%12.6%11.9%20.7%-4.8%4.6%-26.4K-649.8K-5.7K2.68102.45782092871,571
2015-06-17$87.79$90.0022.1%6.3%12.6%19.5%19.7%-8.3%4.9%-89.3K-399.6K-6.1K1.73103.051101902871,572
2015-06-18$88.03$85.0018.0%5.1%12.2%10.1%20.8%-6.2%2.2%-143.9K169.7K-6.7K1.74106.041091903191,578
2015-06-19$87.94$85.0018.2%5.2%12.1%10.6%16.5%25.3%0.0%-36.8K-934.8K-5.5K2.16108.38881903191,578
2015-06-22$88.31$85.0022.1%6.3%11.9%19.5%25.3%-11.6%6.8%-33.9K117.0K-5.6K2.15104.4162133112279
2015-06-23$89.01$85.0015.4%4.4%12.1%4.3%18.7%-6.2%5.3%-38.5K-6.2K-5.4K2.56106.1852133117279
2015-06-24$87.78$85.0016.8%4.8%11.7%7.5%20.1%-6.1%5.5%-33.4K83.5K-5.6K2.77104.5048133126279
2015-06-25$87.84$90.0012.7%3.6%11.6%0.0%10.9%-5.3%7.5%-44.1K157.0K-5.7K1.71104.1478133126285
2015-06-26$87.63$90.0013.5%3.9%11.4%1.7%15.8%-4.1%9.0%-45.0K155.7K-5.5K1.72104.9981139126285
2015-06-29$85.54$90.0019.5%5.6%14.2%15.0%19.4%15.8%2.0%-27.3K439.7K-5.5K1.78106.1281144129285
2015-06-30$85.94$90.0029.5%8.5%14.2%37.3%27.6%2.4%-5.5%-30.6K452.6K-5.6K1.78106.7881144129290