IT Options History — September 2015

In September 2015, IT traded between $83.37 and $88.26. ATM implied volatility averaged 26.9%, placing in the 31.4% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded above realized volatility by 2.4% (HV 20d: 24.4%). Max pain ranged from $85.00 to $90.00. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 2.08.

Notable Days

  • 2015-09-01: Highest Volume — 1,024 contracts
  • 2015-09-22: Largest IV spike — 30.8% change
  • 2015-09-04: Highest IV Rank — 59.2%
  • 2015-09-02: Largest Expected Move — 10.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$86.03$83.37$88.26$83.37$83.95
Max Pain$86.43$85.00$90.00$85.00$85.00
ATM IV26.9%19.9%39.5%34.9%26.2%
Expected Move7.4%5.7%10.9%10.0%7.5%
HV 20d24.4%20.5%27.2%26.6%20.5%
HV 60d19.9%18.6%20.7%18.6%20.7%
IV Rank31.4%15.8%59.2%49.2%30.0%
IV Percentile71.0%45.6%96.8%94.0%71.4%
Term Structure0.8%-10.8%13.5%-9.6%-0.1%
VWIV26.1%19.5%39.7%35.2%28.0%
Skew 25d7.2%-17.9%27.7%7.1%27.7%
Skew 10d17.4%2.9%46.2%39.8%46.2%
Call IV 25d25.8%17.7%45.3%33.2%27.3%
Put IV 25d33.0%25.8%56.7%40.3%54.9%
Bid-Ask Spread %97.4985.27105.31100.10105.30
Gamma HHI0.530.310.740.480.55
Net GEX144.3K-50.5K428.9K157.0K-50.5K
Net DEX-986.1K-4.2M1.2M-486.9K1.2M
Net VEX-9.3K-13.1K-6.5K-12.8K-6.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.080.472.570.472.57
Total Volume400.85701,0241,024350
Total OI1,076.9525041,4431,400528

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-09-01$83.37$85.0034.9%10.0%26.6%49.2%35.2%7.1%-9.6%157.0K-486.9K-12.8K0.47100.10698326854546
2015-09-02$84.83$85.0037.9%10.9%24.6%55.9%39.7%16.9%-10.8%162.3K-953.3K-13.1K2.09105.31156326864546
2015-09-03$85.51$90.0036.3%7.3%23.9%52.3%27.0%1.4%1.2%190.4K-1.4M-12.9K2.0985.27156326863546
2015-09-04$84.34$90.0039.5%8.9%24.2%59.2%30.1%10.9%-2.4%158.0K-982.1K-13.0K2.1087.79156328863546
2015-09-08$86.47$90.0029.0%7.3%25.7%36.1%0.0%3.1%0.2%293.2K-2.2M-11.3K0.0095.8600864538
2015-09-09$85.27$90.0025.6%7.3%25.9%28.5%25.4%11.7%-0.4%334.3K-1.4M-11.0K2.0891.55158328864548
2015-09-10$85.45$90.0023.1%6.6%25.9%23.0%23.5%5.6%2.2%410.3K-1.6M-10.6K2.0889.29158328874548
2015-09-11$86.47$90.0023.9%6.8%26.4%24.7%23.8%7.7%1.5%355.5K-2.3M-10.4K2.0691.09159328874548
2015-09-14$86.00$85.0024.1%6.9%26.2%25.3%23.5%4.0%1.0%428.9K-2.2M-9.4K2.1791.65151328875548
2015-09-15$87.36$85.0023.7%6.8%26.9%24.4%0.0%7.9%1.2%362.9K-3.2M-8.6K0.0099.7600875538
2015-09-16$88.13$85.0025.0%7.2%27.2%27.2%19.5%11.1%0.1%151.0K-2.5M-9.5K2.19100.86154338875548
2015-09-17$87.95$85.0019.9%5.7%27.1%15.8%22.6%10.2%2.4%280.3K-3.8M-7.9K2.09101.62162338875558
2015-09-18$87.42$85.0023.6%6.8%26.5%24.2%20.0%6.2%0.6%-28.9K-4.2M-7.4K1.8399.63165302885558
2015-09-21$88.26$85.0019.9%5.7%24.7%16.0%19.7%8.1%4.8%-18.7K465.9K-7.3K2.2298.3597215178326
2015-09-22$87.38$85.0026.1%7.5%21.4%29.6%21.8%6.5%1.1%-10.8K562.4K-7.4K2.2297.2497215195326
2015-09-23$87.75$85.0025.3%7.3%21.3%27.9%21.6%6.7%2.6%-17.7K486.8K-7.4K2.2599.1797218195326
2015-09-24$86.05$85.0021.0%6.0%21.9%18.4%20.9%8.2%13.5%-17.1K794.4K-7.3K2.25101.4597218195336
2015-09-25$86.44$85.0023.7%6.8%21.1%24.3%39.7%-17.9%6.0%-19.4K785.5K-7.3K2.25105.3097218195336
2015-09-28$84.34$85.0026.4%7.6%22.8%30.4%27.3%1.9%2.1%-43.9K1.1M-6.8K2.2599.1497218195336
2015-09-29$83.85$85.0029.4%8.4%22.5%37.1%27.3%6.0%-0.7%-47.8K1.2M-6.6K2.25101.5497218195333
2015-09-30$83.95$85.0026.2%7.5%20.5%30.0%28.0%27.7%-0.1%-50.5K1.2M-6.5K2.57105.3098252195333