IT Options History — August 2015

In August 2015, IT traded between $83.49 and $91.95. ATM implied volatility averaged 23.6%, placing in the 24.1% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 3.7% (HV 20d: 19.9%). Max pain ranged from $85.00 to $90.00. Net GEX was positive for 3 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 1.38.

Notable Days

  • 2015-08-31: Highest Volume — 1,034 contracts
  • 2015-08-24: Largest IV spike — 54.1% change
  • 2015-08-31: Highest IV Rank — 69.2%
  • 2015-08-31: Largest Expected Move — 12.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$88.73$83.49$91.95$88.73$85.54
Max Pain$87.86$85.00$90.00$85.00$85.00
ATM IV23.6%17.8%44.0%19.5%44.0%
Expected Move6.5%4.9%12.6%5.6%12.6%
HV 20d19.9%12.9%25.6%13.0%25.3%
HV 60d15.8%14.5%18.0%14.6%18.0%
IV Rank24.1%11.3%69.2%15.0%69.2%
IV Percentile59.0%26.6%98.8%48.4%98.8%
Term Structure-0.5%-16.3%3.7%-2.8%-16.3%
VWIV23.1%17.3%41.1%19.6%41.1%
Skew 25d3.1%-4.9%14.5%-4.9%3.9%
Skew 10d9.3%-4.9%44.7%-4.9%8.6%
Call IV 25d22.3%11.9%33.4%25.4%33.4%
Put IV 25d25.3%18.2%43.1%20.5%37.4%
Bid-Ask Spread %99.7193.18105.71103.42100.77
Gamma HHI0.340.260.570.270.40
Net GEX-24.5K-150.9K220.3K-18.7K137.4K
Net DEX-99.6K-2.0M1.5M-181.0K-1.5M
Net VEX-8.0K-13.9K-4.1K-4.2K-13.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.380.005.005.000.46
Total Volume465.905101,034241,034
Total OI811.814171,3804171,380

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-08-03$88.73$85.0019.5%5.6%13.0%15.0%19.6%-4.9%-2.8%-18.7K-181.0K-4.2K5.00103.42420134283
2015-08-04$89.16$85.0017.8%5.1%12.9%11.3%17.3%1.5%-0.4%-21.3K-212.0K-4.2K2.08103.3351106138312
2015-08-05$91.95$85.0018.0%5.2%15.9%11.8%18.0%7.3%0.2%-8.9K-478.4K-4.1K1.13104.27174196138342
2015-08-06$89.86$90.0019.3%4.9%18.5%14.6%18.7%1.6%3.7%-43.7K-129.7K-6.2K1.1799.83168196242444
2015-08-07$89.71$90.0024.3%5.2%18.4%25.6%19.2%2.0%1.7%-51.8K118.4K-6.5K1.1997.04165196244444
2015-08-10$90.81$90.0021.0%5.1%18.8%18.4%18.3%2.2%3.0%-21.3K-338.0K-6.0K1.1994.84165196244444
2015-08-11$90.15$90.0022.1%5.1%19.1%20.9%0.0%0.6%2.9%-44.2K-162.0K-5.9K0.0094.77200244434
2015-08-12$90.48$90.0019.4%5.6%19.0%14.9%18.3%6.9%0.9%-56.0K-112.3K-6.4K1.0899.88181196251444
2015-08-13$90.56$90.0019.1%5.5%18.5%14.2%19.2%-0.8%2.5%-34.6K-302.3K-5.9K1.0893.18181196251444
2015-08-14$91.08$90.0018.1%5.2%18.3%12.0%17.9%1.4%3.4%-32.1K-472.1K-5.8K0.6398.13191121251444
2015-08-17$91.62$90.0019.3%5.5%18.3%14.6%19.0%2.6%1.5%-25.4K-732.8K-5.6K1.6398.48191311271443
2015-08-18$91.60$90.0018.7%5.4%17.5%13.3%18.6%1.2%2.3%-62.6K-277.9K-8.9K1.7499.90179311271632
2015-08-19$90.83$90.0017.9%5.1%17.9%11.5%0.0%1.4%3.0%-139.3K-90.7K-9.1K0.00100.49010277622
2015-08-20$89.24$90.0019.5%5.6%19.1%15.1%20.7%3.3%2.1%-150.9K524.0K-9.4K1.79105.71179320277642
2015-08-21$86.77$90.0022.4%6.4%21.8%21.4%23.2%-0.0%0.9%-67.2K1.4M-9.3K1.74100.42188327277642
2015-08-24$83.84$85.0034.4%9.9%24.7%48.1%30.7%14.5%-5.6%-87.3K1.5M-9.7K1.9599.88167326257536
2015-08-25$83.49$85.0030.7%8.8%24.6%39.9%31.8%4.0%-6.0%-87.2K1.5M-9.3K2.3099.80142326267546
2015-08-26$84.88$85.0031.0%8.9%24.8%40.4%29.8%3.7%-1.5%-93.4K1.5M-9.3K0.48100.93676326262546
2015-08-27$86.37$85.0024.7%7.1%25.6%26.5%25.8%8.7%-0.4%220.3K-2.0M-13.5K0.4796.31698326802546
2015-08-28$86.64$85.0034.2%9.8%25.0%47.6%31.8%3.2%-6.0%174.2K-1.7M-13.9K0.47102.65698326834546
2015-08-31$85.54$85.0044.0%12.6%25.3%69.2%41.1%3.9%-16.3%137.4K-1.5M-13.8K0.46100.77708326834546