IT Options History — December 2015

In December 2015, IT traded between $87.89 and $93.87. ATM implied volatility averaged 18.4%, placing in the 14.0% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded below realized volatility by 1.1% (HV 20d: 19.5%). Max pain ranged from $90.00 to $95.00. Net GEX was positive for 11 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 2.22.

Notable Days

  • 2015-12-02: Highest Volume — 247 contracts
  • 2015-12-02: Largest IV spike — 21.4% change
  • 2015-12-14: Highest IV Rank — 21.1%
  • 2015-12-14: Largest Expected Move — 6.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$90.61$87.89$93.87$93.87$91.02
Max Pain$92.50$90.00$95.00$90.00$90.00
ATM IV18.4%14.9%21.2%16.6%17.7%
Expected Move5.2%4.3%6.1%4.8%5.1%
HV 20d19.5%17.6%24.1%22.4%17.8%
HV 60d19.3%19.0%19.9%19.3%19.1%
IV Rank14.0%5.5%21.1%9.7%12.4%
IV Percentile22.0%1.6%46.8%5.2%15.5%
Term Structure3.6%-0.5%7.4%-0.3%5.1%
VWIV17.6%14.1%22.2%16.7%17.2%
Skew 25d4.4%3.1%7.6%3.6%3.6%
Skew 10d10.0%6.1%15.2%6.1%6.8%
Call IV 25d16.2%10.8%20.1%14.7%16.1%
Put IV 25d20.6%16.9%25.7%18.4%19.8%
Bid-Ask Spread %91.9279.63102.4194.6898.57
Gamma HHI0.480.320.800.800.52
Net GEX60.5K-90.5K315.4K315.4K-74.7K
Net DEX76.3K-2.4M1.2M-2.4M545.4K
Net VEX-6.0K-8.9K-4.5K-7.7K-4.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.221.253.162.042.67
Total Volume172.1361424776143
Total OI960.2274751,2551,159516

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-12-01$93.87$90.0016.6%4.8%22.4%9.7%16.7%3.6%-0.3%315.4K-2.4M-7.7K2.0494.682551569590
2015-12-02$92.46$90.0020.2%5.8%23.2%18.5%17.7%3.1%-0.5%228.0K-1.2M-8.9K1.9496.4784163594640
2015-12-03$90.86$95.0019.6%5.3%24.1%17.0%17.8%4.0%2.8%102.0K-219.5K-8.5K3.1683.5355174594649
2015-12-04$91.47$95.0018.3%5.2%17.6%13.8%17.5%4.3%3.1%161.7K-524.8K-8.0K2.3986.9567160594640
2015-12-07$90.81$95.0020.0%5.3%17.9%18.0%18.5%3.8%3.0%138.3K-290.9K-7.4K2.5087.76410611636
2015-12-08$91.20$95.0020.7%5.3%17.9%19.8%17.9%3.7%3.2%161.4K-466.3K-7.2K2.2183.3566146607631
2015-12-09$89.57$95.0019.0%5.4%19.1%15.5%17.7%3.6%2.6%59.5K280.1K-6.9K1.9285.3774142603636
2015-12-10$89.83$95.0018.3%5.2%19.1%13.7%17.6%4.0%3.5%104.2K94.6K-6.6K2.1187.6573154613632
2015-12-11$87.89$95.0020.7%5.9%20.1%19.8%22.2%5.0%2.1%-90.5K1.2M-6.5K1.9679.6377151610617
2015-12-14$88.44$95.0021.2%6.1%19.2%21.1%21.5%5.7%1.6%-64.0K1.2M-6.1K1.7185.1677132615612
2015-12-15$89.62$95.0019.9%5.7%19.4%17.8%19.7%4.1%2.2%173.3K216.6K-5.4K1.2584.74105131615611
2015-12-16$90.95$95.0019.0%5.4%19.9%15.4%17.9%4.0%3.2%220.0K-465.5K-5.5K1.4189.2493131614612
2015-12-17$90.62$95.0017.6%5.1%19.0%12.2%16.7%5.4%3.9%239.7K-405.3K-5.3K2.2894.6664146616612
2015-12-18$89.15$90.0018.2%5.2%20.0%13.5%18.7%4.0%3.5%-43.3K907.9K-5.1K1.8688.8164119626629
2015-12-21$88.68$90.0017.1%4.9%19.6%10.8%17.4%4.3%5.9%-56.2K876.7K-4.6K2.6791.723388197278
2015-12-22$89.81$90.0016.5%4.7%19.0%9.5%17.0%7.2%5.6%-62.3K730.7K-4.6K2.3898.913788197278
2015-12-23$90.81$90.0016.5%4.7%19.2%9.4%15.8%7.6%5.2%-43.3K459.8K-4.9K2.38100.683788201278
2015-12-24$91.15$90.0014.9%4.3%18.6%5.5%14.1%3.5%7.4%-43.7K379.0K-4.8K2.38101.173788201278
2015-12-28$91.40$90.0017.0%4.9%18.4%10.6%16.3%4.1%5.7%-37.3K348.7K-4.6K2.3898.973788201278
2015-12-29$92.11$90.0017.1%4.9%18.5%10.7%15.8%4.4%6.4%-12.4K182.5K-4.5K2.90102.4139113201278
2015-12-30$91.70$90.0018.1%5.2%18.4%13.5%15.1%4.5%5.1%-44.2K346.6K-5.0K2.41101.713994201314
2015-12-31$91.02$90.0017.7%5.1%17.8%12.4%17.2%3.6%5.1%-74.7K545.4K-4.8K2.6798.5739104201315