IT Options History — March 2016

In March 2016, IT traded between $82.66 and $89.52. ATM implied volatility averaged 18.9%, placing in the 15.4% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 1.2% (HV 20d: 17.7%). Max pain ranged from $85.00 to $85.00. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 3.60.

Notable Days

  • 2016-03-18: Highest Volume — 1,252 contracts
  • 2016-03-29: Largest IV drop — 36.0% change
  • 2016-03-07: Highest IV Rank — 23.3%
  • 2016-03-02: Largest Expected Move — 6.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$85.35$82.66$89.52$83.96$89.52
Max Pain$85.00$85.00$85.00$85.00$85.00
ATM IV18.9%12.8%22.1%20.5%15.6%
Expected Move5.4%3.7%6.1%5.9%4.5%
HV 20d17.7%12.7%25.6%25.6%13.3%
HV 60d23.4%22.3%24.0%24.0%22.3%
IV Rank15.4%0.2%23.3%19.3%7.1%
IV Percentile26.1%0.4%46.4%36.5%3.6%
Term Structure3.6%-1.3%6.9%0.1%5.7%
VWIV19.0%12.3%25.2%25.2%14.5%
Skew 25d5.3%0.8%8.7%7.8%4.1%
Skew 10d11.6%1.8%20.2%20.2%14.7%
Call IV 25d16.8%12.0%23.5%17.7%15.2%
Put IV 25d22.1%18.2%25.5%25.5%19.3%
Bid-Ask Spread %93.8184.85101.0295.10101.02
Gamma HHI0.710.230.950.440.44
Net GEX471.0K-26.8K2.4M-25.0K263.4K
Net DEX-1.9M-4.5M942.5K942.5K-4.1M
Net VEX-7.0K-9.2K-4.4K-7.9K-7.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.600.1910.841.550.22
Total Volume550.6821941,2521,087743
Total OI1,518.3189001,9041,4381,100

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-03-01$83.96$85.0020.5%5.9%25.6%19.3%25.2%7.8%0.1%-25.0K942.5K-7.9K1.5595.104266613571,081
2016-03-02$83.88$85.0021.2%6.1%24.3%21.1%21.7%0.8%-1.3%374.1K-1.0M-8.0K1.5592.944276617501,081
2016-03-03$84.13$85.0019.4%5.6%24.4%16.5%19.6%5.9%3.2%331.3K-851.0K-9.2K10.8485.46616617481,081
2016-03-04$85.50$85.0020.7%5.6%22.6%19.8%19.7%5.2%3.3%383.5K-2.0M-8.7K5.0687.99321627481,081
2016-03-07$85.18$85.0022.1%5.9%22.0%23.3%20.4%4.7%2.5%403.0K-1.8M-8.1K5.0689.21321627481,080
2016-03-08$84.07$85.0021.6%5.8%18.2%22.0%20.2%4.9%2.7%445.2K-1.2M-7.0K5.0990.39321637481,080
2016-03-09$83.72$85.0020.6%5.9%17.9%19.4%20.4%5.2%2.6%475.3K-825.4K-6.6K5.7286.10291667481,078
2016-03-10$82.66$85.0020.2%5.8%18.6%18.4%20.2%5.4%2.8%359.6K-4.2K-5.7K5.7286.47291667491,083
2016-03-11$83.58$85.0019.1%5.5%18.4%15.8%20.8%4.8%3.1%519.7K-787.9K-5.9K8.1584.85332697491,047
2016-03-14$83.38$85.0020.1%5.8%18.4%18.2%21.9%8.2%2.6%458.9K16.4K-5.7K8.1594.82332697541,150
2016-03-15$83.69$85.0019.6%5.6%17.4%17.0%20.0%7.7%2.9%692.9K-386.4K-5.7K6.8294.69332257551,135
2016-03-16$84.41$85.0018.7%5.4%16.7%14.8%19.2%8.7%3.6%1.2M-849.7K-5.6K5.7799.19392257551,137
2016-03-17$85.20$85.0017.2%4.9%16.2%11.0%16.7%8.2%5.0%2.4M-2.3M-5.3K7.5099.77302257651,137
2016-03-18$85.84$85.0018.5%5.3%15.9%14.2%18.4%4.2%4.0%-26.8K-4.5M-4.4K0.1995.231,0541987551,137
2016-03-21$86.49$85.0019.2%5.5%16.0%16.0%19.2%5.2%4.3%304.3K-2.8M-8.6K0.2694.55533138663237
2016-03-22$86.89$85.0018.9%5.4%15.9%15.2%18.7%4.1%4.8%301.2K-3.1M-8.3K0.2695.32534139663243
2016-03-23$86.41$85.0018.4%5.3%14.8%14.1%18.2%5.1%5.0%326.4K-2.9M-8.3K0.4898.26536256665248
2016-03-24$86.14$85.0018.4%5.3%13.2%14.0%18.4%5.5%4.9%342.5K-2.7M-8.3K0.2595.29537133668343
2016-03-28$86.85$85.0020.0%5.7%13.2%17.9%20.0%4.4%4.3%324.3K-3.1M-7.8K0.2199.33537114669347
2016-03-29$87.90$85.0012.8%3.7%13.6%0.2%12.3%4.0%6.3%286.8K-3.8M-6.6K0.21100.82554116669349
2016-03-30$88.27$85.0014.0%4.0%12.7%3.2%12.6%3.2%6.9%240.3K-4.4M-5.6K0.2297.08607135671351
2016-03-31$89.52$85.0015.6%4.5%13.3%7.1%14.5%4.1%5.7%263.4K-4.1M-7.1K0.22101.02608135728372