IT Options History — June 2016

In June 2016, IT traded between $92.44 and $102.38. ATM implied volatility averaged 19.5%, placing in the 16.7% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 3.7% (HV 20d: 15.8%). Max pain ranged from $90.00 to $105.00. Net GEX was positive for 12 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 2.69.

Notable Days

  • 2016-06-17: Highest Volume — 604 contracts
  • 2016-06-24: Largest IV spike — 49.0% change
  • 2016-06-27: Highest IV Rank — 52.3%
  • 2016-06-27: Largest Expected Move — 9.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$99.35$92.44$102.38$101.39$97.15
Max Pain$99.77$90.00$105.00$90.00$100.00
ATM IV19.5%16.7%34.0%18.6%18.6%
Expected Move5.5%4.8%9.7%5.3%5.3%
HV 20d15.8%9.4%32.1%32.1%23.9%
HV 60d22.3%21.5%25.0%22.0%25.0%
IV Rank16.7%9.9%52.3%14.6%14.3%
IV Percentile30.3%7.9%95.6%25.8%25.8%
Term Structure2.5%-9.6%5.5%-1.0%5.5%
VWIV18.9%15.5%26.9%19.1%17.5%
Skew 25d4.7%3.3%7.2%4.5%3.3%
Skew 10d11.1%7.1%16.2%7.1%12.2%
Call IV 25d16.7%12.4%26.2%15.7%15.6%
Put IV 25d21.3%18.7%31.5%20.2%18.9%
Bid-Ask Spread %91.7282.91103.6196.06103.61
Gamma HHI0.500.320.850.510.43
Net GEX58.7K-90.3K358.4K110.2K-85.3K
Net DEX-1.9M-4.0M1.2M-3.5M332.7K
Net VEX-4.7K-5.8K-3.8K-5.8K-5.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.690.907.021.322.55
Total Volume392.136283604283433
Total OI1,0395151,3891,351662

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-06-01$101.39$90.0018.6%5.3%32.1%14.6%19.1%4.5%-1.0%110.2K-3.5M-5.8K1.3296.06122161503848
2016-06-02$102.38$105.0018.7%5.1%32.1%14.7%18.6%4.9%2.6%96.1K-3.8M-5.3K1.2786.25127161503850
2016-06-03$102.31$100.0018.5%5.1%15.8%14.4%16.9%4.2%2.1%102.0K-3.8M-5.1K1.1388.66143161508850
2016-06-06$102.19$100.0018.6%5.1%14.3%14.5%15.5%5.1%2.4%117.4K-4.0M-4.9K0.9391.62174161524850
2016-06-07$102.10$100.0019.5%5.1%12.9%16.9%16.4%4.7%2.4%124.5K-4.0M-5.1K0.9389.83174161538850
2016-06-08$101.73$100.0017.7%5.1%11.2%12.3%16.1%4.6%2.8%138.5K-3.9M-5.0K0.9390.75173161538850
2016-06-09$101.22$100.0017.4%5.0%11.1%11.5%16.1%4.0%3.3%157.5K-3.7M-5.0K0.9382.91173161539850
2016-06-10$100.47$100.0017.8%5.1%11.3%12.5%17.7%3.6%2.9%170.3K-3.5M-5.1K0.9086.79179161539850
2016-06-13$100.48$100.0018.3%5.2%11.1%13.8%17.6%4.0%2.9%184.8K-3.5M-4.7K0.9186.46175160529850
2016-06-14$100.83$100.0019.1%5.5%11.1%15.8%18.6%4.7%2.4%197.3K-3.6M-4.7K0.9088.06175158527851
2016-06-15$100.50$100.0018.7%5.4%11.1%14.7%18.2%4.1%2.8%253.8K-3.5M-4.7K1.9988.43185369527854
2016-06-16$100.24$100.0018.7%5.4%11.1%14.9%18.7%4.6%2.5%358.4K-3.4M-4.1K2.0487.75181369533779
2016-06-17$98.63$100.0018.5%5.3%12.6%14.4%20.9%4.2%2.5%-46.1K-2.3M-3.8K2.1885.08190414532779
2016-06-20$99.45$100.0017.6%5.1%12.6%12.2%20.7%4.9%4.7%-73.6K65.7K-4.2K7.0294.3951358136379
2016-06-21$98.76$100.0017.8%5.1%12.8%12.7%20.4%3.8%3.8%-79.2K179.0K-4.4K6.8295.4251348137383
2016-06-22$98.42$100.0017.7%5.1%9.4%12.2%19.3%6.5%4.7%-83.0K267.8K-4.3K5.9897.5551305137385
2016-06-23$99.71$100.0016.7%4.8%10.6%9.9%16.4%7.2%5.0%-84.6K95.1K-4.2K6.31100.3452328137386
2016-06-24$96.32$100.0024.9%7.1%15.7%30.0%23.2%6.0%2.0%-90.3K742.2K-4.6K5.0388.3167337138412
2016-06-27$92.44$100.0034.0%9.7%20.6%52.3%26.9%5.2%-9.6%-64.3K1.2M-4.6K3.4997.6995332154429
2016-06-28$93.82$100.0021.1%6.0%21.8%20.5%21.1%3.3%4.3%-47.3K871.0K-4.1K3.0394.73109330188408
2016-06-29$95.06$100.0019.8%5.7%22.6%17.4%18.8%4.8%4.5%-65.5K697.8K-4.9K2.7097.18122329204432
2016-06-30$97.15$100.0018.6%5.3%23.9%14.3%17.5%3.3%5.5%-85.3K332.7K-5.4K2.55103.61122311230432