IT Options History — July 2015

In July 2015, IT traded between $85.30 and $88.59. ATM implied volatility averaged 24.5%, placing in the 26.2% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 11.4% (HV 20d: 13.1%). Max pain ranged from $85.00 to $90.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 2 of 22 days. Put/call ratio averaged 2.45.

Notable Days

  • 2015-07-10: Highest Volume — 235 contracts
  • 2015-07-10: Largest IV spike — 51.8% change
  • 2015-07-13: Highest IV Rank — 59.9%
  • 2015-07-29: Largest Expected Move — 8.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$86.64$85.30$88.59$86.13$88.59
Max Pain$85.45$85.00$90.00$90.00$85.00
ATM IV24.5%14.7%39.8%24.3%17.8%
Expected Move6.9%4.2%8.0%7.0%5.1%
HV 20d13.1%11.1%14.1%14.0%13.0%
HV 60d14.7%14.4%15.0%14.8%14.7%
IV Rank26.2%4.5%59.9%25.7%11.4%
IV Percentile64.2%2.4%97.2%68.7%27.4%
Term Structure-1.8%-4.8%10.3%-0.4%-0.5%
VWIV25.1%15.1%31.2%26.4%20.3%
Skew 25d4.5%-6.5%40.3%-5.9%-6.5%
Skew 10d12.7%-0.9%96.5%17.9%-0.9%
Call IV 25d28.6%17.8%49.0%49.0%26.8%
Put IV 25d33.1%15.6%58.2%43.1%20.3%
Bid-Ask Spread %97.8484.33111.08111.08105.04
Gamma HHI0.300.260.410.280.27
Net GEX-33.5K-64.3K-17.2K-39.0K-21.1K
Net DEX237.0K-83.6K634.8K329.1K-5.1K
Net VEX-5.0K-5.7K-3.9K-5.7K-4.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.451.033.171.881.19
Total Volume191.682118235225125
Total OI418.909364493419415

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-07-01$86.13$90.0024.3%7.0%14.0%25.7%26.4%-5.9%-0.4%-39.0K329.1K-5.7K1.88111.0878147129290
2015-07-02$86.58$90.0015.1%4.3%13.7%5.4%18.6%40.3%10.3%-37.5K400.6K-5.3K3.17107.9147149131300
2015-07-06$86.38$85.0020.7%7.1%13.5%17.8%24.2%14.2%-2.6%-40.3K419.2K-5.4K3.0593.5444134131303
2015-07-07$86.05$85.0019.0%7.3%12.8%14.0%25.4%0.5%-3.7%-38.8K473.5K-5.4K2.5996.0058150128305
2015-07-08$85.31$85.0025.3%7.2%13.2%27.9%25.2%3.2%-1.9%-45.5K634.8K-5.6K2.4692.1261150135321
2015-07-09$85.55$85.0021.3%7.3%12.8%19.1%26.5%-3.1%-0.9%-37.5K594.8K-5.6K2.6693.8362165140321
2015-07-10$86.26$85.0032.4%7.0%12.9%43.5%25.0%-2.4%-2.0%-64.3K362.0K-5.5K2.3694.9770165142341
2015-07-13$86.37$85.0039.8%7.1%12.9%59.9%25.6%-1.0%-0.8%-54.1K337.6K-5.3K2.36100.5470165152341
2015-07-14$86.89$85.0022.7%7.2%13.0%22.2%25.2%3.9%-3.6%-46.6K266.7K-5.1K2.3997.1469165152341
2015-07-15$86.84$85.0024.8%7.1%12.3%26.7%25.5%-1.3%-1.6%-43.7K167.2K-5.1K2.3998.0569165149316
2015-07-16$88.08$85.0023.5%6.7%13.3%23.9%23.7%3.9%-3.4%-30.9K40.4K-4.9K2.7596.4860165149316
2015-07-17$87.49$85.0024.3%7.0%13.5%25.6%24.3%7.5%-2.3%-19.1K-77.2K-5.0K3.1197.0353165150316
2015-07-20$87.55$85.0024.2%6.9%13.5%25.5%25.5%3.5%-3.1%-17.2K89.6K-4.9K2.8084.3346129119246
2015-07-21$86.46$85.0025.8%7.4%14.1%28.9%24.8%3.3%-3.5%-20.2K154.0K-4.8K2.6192.2246120118246
2015-07-22$87.04$85.0026.0%7.4%14.0%29.4%27.6%2.0%-2.9%-23.1K91.1K-4.7K2.6195.0146120118248
2015-07-23$86.61$85.0027.4%7.8%13.2%32.5%27.0%6.9%-4.1%-22.3K186.8K-5.0K2.6196.2546120118248
2015-07-24$86.30$85.0026.7%7.7%13.2%31.1%28.6%9.8%-3.9%-25.0K195.2K-4.8K2.61101.0246120118248
2015-07-27$85.30$85.0027.7%8.0%13.8%33.3%29.4%15.4%-2.1%-28.4K297.4K-4.7K2.61102.2146120118248
2015-07-28$85.83$85.0027.9%8.0%11.1%33.8%27.5%5.5%-4.8%-27.9K263.0K-4.6K2.6196.6046120118248
2015-07-29$87.09$85.0028.0%8.0%12.1%33.9%31.2%1.5%-3.3%-25.0K76.5K-4.4K2.1197.1557120118248
2015-07-30$87.29$85.0014.7%4.2%12.1%4.5%15.1%-2.4%1.9%-28.5K-83.6K-3.9K1.03103.865860129248
2015-07-31$88.59$85.0017.8%5.1%13.0%11.4%20.3%-6.5%-0.5%-21.1K-5.1K-4.7K1.19105.045768127288