IT Options History — October 2015

In October 2015, IT traded between $82.89 and $91.06. ATM implied volatility averaged 28.1%, placing in the 36.2% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 10.8% (HV 20d: 17.4%). Max pain ranged from $85.00 to $85.00. Net GEX was positive for 1 of 22 trading days. Term structure was in contango for 1 of 22 days. Put/call ratio averaged 1.64.

Notable Days

  • 2015-10-29: Highest Volume — 422 contracts
  • 2015-10-13: Largest IV spike — 61.7% change
  • 2015-10-13: Highest IV Rank — 89.8%
  • 2015-10-30: Largest Expected Move — 8.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$86.41$82.89$91.06$82.89$90.76
Max Pain$85.00$85.00$85.00$85.00$85.00
ATM IV28.1%23.4%53.3%29.1%29.3%
Expected Move7.8%6.7%8.4%8.3%8.4%
HV 20d17.4%15.3%20.2%19.9%15.3%
HV 60d21.1%20.3%21.5%20.8%20.3%
IV Rank36.2%23.6%89.8%36.3%40.8%
IV Percentile74.9%55.6%99.6%83.7%84.9%
Term Structure-2.7%-5.8%3.5%-1.0%-5.8%
VWIV28.5%24.2%33.3%26.6%30.5%
Skew 25d6.1%-0.8%15.6%9.4%5.0%
Skew 10d12.5%-13.3%22.1%17.1%13.8%
Call IV 25d25.9%22.4%32.3%25.7%27.2%
Put IV 25d32.1%27.1%41.7%35.1%32.3%
Bid-Ask Spread %85.9776.43100.82100.8280.75
Gamma HHI0.500.330.660.560.33
Net GEX-65.6K-105.7K48.3K-63.6K48.3K
Net DEX835.4K-568.4K1.5M1.4M-568.4K
Net VEX-7.8K-9.1K-7.3K-7.3K-9.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.640.564.830.561.14
Total Volume219.31825422153300
Total OI683.545573917573917

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-10-01$82.89$85.0029.1%8.3%19.9%36.3%26.6%9.4%-1.0%-63.6K1.4M-7.3K0.56100.829855196377
2015-10-02$83.83$85.0023.4%6.7%20.2%23.6%26.1%4.7%3.5%-66.7K1.4M-7.3K1.1995.6188105202377
2015-10-05$84.25$0.0024.2%7.8%19.7%25.4%27.6%7.4%-2.4%-86.4K1.4M-7.5K1.0884.471213202427
2015-10-06$84.00$85.0024.5%7.7%17.3%26.1%26.9%6.1%-2.5%-105.7K1.5M-7.6K1.2776.4391116204440
2015-10-07$84.00$85.0026.2%7.8%16.7%29.8%26.9%5.3%-1.3%-99.8K1.5M-7.5K0.9681.32114110204440
2015-10-08$84.36$85.0023.4%7.6%16.8%23.8%29.0%2.8%-2.1%-100.1K1.3M-7.9K1.4881.0788130238444
2015-10-09$85.09$85.0025.3%7.5%16.5%28.0%30.7%6.7%-1.4%-92.9K1.2M-8.0K1.4892.0588130248464
2015-10-12$86.27$85.0033.0%7.7%17.2%44.8%28.3%5.1%-2.9%-73.3K847.3K-8.1K1.6781.9390150261464
2015-10-13$86.16$85.0053.3%7.8%16.2%89.8%33.3%15.6%-3.2%-75.4K997.5K-8.0K1.6787.9190150263484
2015-10-14$84.65$85.0027.1%7.8%16.8%31.8%24.2%4.8%-2.2%-101.1K1.3M-7.9K1.8886.1190169263484
2015-10-15$86.30$85.0026.8%7.7%18.4%34.7%29.1%6.0%-2.4%-95.1K1.1M-7.8K1.8890.3390169263503
2015-10-16$86.07$85.0027.2%7.8%18.4%35.7%31.5%-0.8%-2.8%-87.4K955.3K-8.1K2.0194.5884169263503
2015-10-19$86.84$85.0027.1%7.8%18.3%35.5%32.2%7.1%-3.1%-89.7K914.1K-7.8K4.8390.6824116158438
2015-10-20$86.73$85.0027.4%7.8%18.0%36.2%27.7%6.0%-2.6%-87.5K863.0K-7.8K2.6186.2744115160438
2015-10-21$85.92$85.0027.7%7.9%18.2%36.9%27.2%5.8%-3.1%-84.1K1.0M-7.6K2.5084.4646115178439
2015-10-22$87.59$85.0029.0%8.3%18.1%40.1%30.4%5.2%-3.4%-64.4K818.5K-7.6K2.7490.9042115178439
2015-10-23$87.96$85.0026.0%7.5%18.1%32.9%26.9%6.4%-3.8%-69.3K631.8K-7.6K0.9981.53116115179439
2015-10-26$88.48$85.0025.6%7.3%15.5%31.8%26.7%7.1%-3.1%-15.2K198.9K-8.2K1.1280.20116130271439
2015-10-27$88.31$85.0026.9%7.7%15.3%34.9%28.1%7.4%-4.1%-20.2K237.6K-8.2K1.2478.56116144271438
2015-10-28$89.57$85.0027.8%8.0%15.8%37.2%29.0%6.2%-5.3%-13.8K-71.5K-7.8K1.2481.74116144271450
2015-10-29$91.06$85.0028.8%8.3%15.3%39.7%28.6%5.8%-5.0%-630-445.6K-7.7K0.6183.70262160271450
2015-10-30$90.76$85.0029.3%8.4%15.3%40.8%30.5%5.0%-5.8%48.3K-568.4K-9.1K1.1480.75140160420497