IT Options History — May 2016

In May 2016, IT traded between $87.18 and $102.30. ATM implied volatility averaged 19.4%, placing in the 16.6% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded below realized volatility by 10.8% (HV 20d: 30.2%). Max pain ranged from $85.00 to $90.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 2.68.

Notable Days

  • 2016-05-06: Highest Volume — 1,159 contracts
  • 2016-05-11: Largest IV spike — 41.6% change
  • 2016-05-03: Highest IV Rank — 48.8%
  • 2016-05-03: Largest Expected Move — 9.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$97.19$87.18$102.30$88.35$101.70
Max Pain$86.19$85.00$90.00$85.00$90.00
ATM IV19.4%13.8%32.5%28.1%18.9%
Expected Move5.6%4.8%9.3%8.0%5.4%
HV 20d30.2%13.5%34.0%13.5%32.7%
HV 60d21.5%15.1%23.0%16.8%22.0%
IV Rank16.6%2.6%48.8%37.9%15.3%
IV Percentile28.3%1.2%92.9%79.4%27.8%
Term Structure0.3%-7.7%3.0%-6.6%-0.5%
VWIV22.3%17.6%38.0%33.2%21.2%
Skew 25d5.3%3.3%8.1%6.7%3.9%
Skew 10d10.0%-9.2%18.5%13.4%6.3%
Call IV 25d16.9%13.4%27.7%25.8%16.4%
Put IV 25d22.2%18.2%35.5%32.5%20.3%
Bid-Ask Spread %88.6575.8497.9186.6593.53
Gamma HHI0.470.220.640.450.46
Net GEX120.4K14.2K189.8K189.8K105.5K
Net DEX-5.3M-7.6M-1.2M-2.9M-3.5M
Net VEX-7.0K-12.9K-4.8K-8.7K-5.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.680.879.649.641.43
Total Volume640.5242751,159819297
Total OI2,001.6671,1942,5021,4041,350

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-05-02$88.35$85.0028.1%8.0%13.5%37.9%33.2%6.7%-6.6%189.8K-2.9M-8.7K9.6486.6577742652752
2016-05-03$87.18$85.0032.5%9.3%13.5%48.8%38.0%7.7%-7.7%14.2K-1.2M-12.1K2.6283.941534016471,267
2016-05-04$87.75$85.0027.3%7.8%13.7%35.9%36.5%8.1%-5.8%51.1K-2.0M-12.9K5.8883.72804707331,285
2016-05-05$95.30$85.0020.1%5.6%32.2%18.1%19.3%4.2%1.4%71.3K-6.0M-5.3K0.9875.845125007351,328
2016-05-06$97.38$85.0019.1%5.7%32.7%15.9%19.6%5.7%0.8%112.6K-6.7M-6.4K0.9385.406025578371,426
2016-05-09$95.93$85.0020.9%5.5%33.2%20.3%23.2%4.7%1.7%93.4K-6.3M-6.8K2.7183.822045528851,495
2016-05-10$97.94$85.0013.8%4.9%33.7%2.6%17.9%6.6%2.5%72.5K-6.8M-7.7K2.4487.092265528911,532
2016-05-11$97.27$85.0019.5%5.6%34.0%16.7%19.9%5.2%1.1%116.1K-6.9M-7.7K2.8690.221935529521,532
2016-05-12$98.04$85.0017.2%4.9%33.3%11.2%19.7%4.6%2.8%124.6K-7.1M-7.3K2.9586.441875529471,532
2016-05-13$97.58$85.0017.5%5.0%33.3%11.8%19.6%3.4%3.0%116.2K-7.0M-7.3K2.9486.331885529591,532
2016-05-16$98.03$85.0017.3%5.0%33.3%11.4%19.2%6.4%2.6%156.4K-7.2M-7.0K2.9491.451885529601,532
2016-05-17$97.74$85.0017.8%5.1%33.4%12.6%20.0%6.9%2.4%134.5K-7.1M-6.4K2.9492.141885529601,532
2016-05-18$97.63$85.0017.3%5.0%33.4%11.5%20.2%5.8%2.9%135.8K-7.0M-6.9K2.9791.081865529701,532
2016-05-19$98.18$85.0017.2%4.9%32.8%11.0%20.9%6.3%2.9%165.2K-7.3M-6.0K2.9892.311865559701,532
2016-05-20$99.05$85.0017.1%4.9%32.7%10.8%21.1%6.1%2.6%174.3K-7.6M-5.6K3.0291.701865619691,527
2016-05-23$98.84$85.0016.9%4.8%32.6%10.4%20.9%3.7%0.3%165.5K-3.1M-5.7K0.8783.92149129477717
2016-05-24$101.17$90.0017.0%4.9%33.2%10.7%20.6%4.0%-0.1%159.5K-3.7M-5.0K0.9091.22145130489729
2016-05-25$101.57$90.0017.5%5.0%33.0%11.8%21.7%3.3%-0.1%161.0K-3.8M-4.8K1.3792.82146200497730
2016-05-26$102.14$90.0017.4%5.0%32.4%11.5%17.6%3.9%0.3%111.5K-3.8M-5.4K1.7094.07141240498801
2016-05-27$102.30$90.0017.5%5.0%32.4%11.9%18.7%3.8%-0.0%97.7K-3.8M-5.7K1.2497.91141175502842
2016-05-31$101.70$90.0018.9%5.4%32.7%15.3%21.2%3.9%-0.5%105.5K-3.5M-5.9K1.4393.53122175502848