IT Options History — August 2016

In August 2016, IT traded between $90.11 and $100.08. ATM implied volatility averaged 18.6%, placing in the 14.4% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 2.0% (HV 20d: 16.6%). Max pain ranged from $90.00 to $95.00. Net GEX was positive for 13 of 23 trading days. Term structure was in contango for 19 of 23 days. Put/call ratio averaged 5.23.

Notable Days

  • 2016-08-08: Highest Volume — 883 contracts
  • 2016-08-04: Largest IV drop — 27.2% change
  • 2016-08-03: Highest IV Rank — 45.4%
  • 2016-08-03: Largest Expected Move — 8.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$93.31$90.11$100.08$100.08$91.04
Max Pain$93.70$90.00$95.00$95.00$90.00
ATM IV18.6%15.4%31.2%28.8%17.1%
Expected Move5.2%4.4%8.9%8.3%4.9%
HV 20d16.6%11.1%18.6%11.1%16.4%
HV 60d18.2%17.2%18.8%17.9%18.1%
IV Rank14.4%6.6%45.4%39.7%10.6%
IV Percentile22.6%4.0%90.5%84.1%17.5%
Term Structure1.0%-9.0%4.0%-6.5%1.1%
VWIV20.7%11.4%32.7%25.0%17.0%
Skew 25d3.1%-2.8%8.1%4.3%3.8%
Skew 10d6.2%-4.9%19.3%6.6%2.9%
Call IV 25d17.4%12.9%30.9%28.5%12.9%
Put IV 25d20.5%14.6%34.5%32.8%16.7%
Bid-Ask Spread %99.7291.15107.7697.69107.18
Gamma HHI0.480.380.850.490.46
Net GEX857.3K-532.6K2.9M2.8M-178.1K
Net DEX-3.8M-25.4M1.9M-25.4M599.8K
Net VEX-23.4K-82.8K-8.2K-82.8K-8.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.230.1321.062.245.01
Total Volume634.8268883476769
Total OI7,170.3046,6157,7856,6157,279

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-08-01$100.08$95.0028.8%8.3%11.1%39.7%25.0%4.3%-6.5%2.8M-25.4M-82.8K2.2497.691473296,310305
2016-08-02$99.07$95.0030.3%8.7%11.7%43.3%32.7%3.2%-7.9%2.9M-21.0M-73.8K2.2894.231473356,313305
2016-08-03$99.23$95.0031.2%8.9%11.6%45.4%31.5%4.5%-9.0%2.9M-21.1M-74.9K1.2793.842583286,315315
2016-08-04$95.42$95.0022.7%4.8%18.4%24.5%20.0%3.7%3.6%1.8M-5.1M-28.2K1.9691.152945776,417317
2016-08-05$95.00$95.0016.7%4.6%17.9%9.6%21.6%4.2%4.0%1.6M-4.2M-24.1K2.1795.392635706,594566
2016-08-08$94.22$95.0017.0%4.5%18.0%10.4%20.7%2.6%3.6%1.7M-4.8M-27.1K2.3694.752636206,598571
2016-08-09$94.20$95.0016.0%4.6%17.8%8.0%17.9%4.0%2.5%1.5M-3.9M-24.3K2.3698.782636206,598619
2016-08-10$94.42$95.0015.4%4.4%17.9%6.6%17.6%2.9%3.5%1.6M-3.8M-23.4K2.3798.082626206,598619
2016-08-11$94.40$95.0015.6%4.5%17.8%6.9%20.0%3.4%3.5%1.6M-3.7M-23.0K1.4997.962483696,598619
2016-08-12$93.40$95.0016.0%4.6%18.0%7.9%19.9%1.9%3.4%1.4M-3.4M-24.0K4.3496.87853696,604619
2016-08-15$93.39$95.0015.5%4.4%18.0%6.7%19.6%4.8%3.7%1.1M-1.9M-14.7K4.3098.48883786,625621
2016-08-16$91.85$95.0017.8%5.1%18.6%12.4%17.9%1.0%2.6%654.8K-1.0M-15.3K7.47100.40836206,625624
2016-08-17$90.95$95.0017.4%5.0%17.9%11.5%20.9%3.6%2.3%-287.2K1.7M-9.5K21.06103.58173586,626869
2016-08-18$90.99$95.0017.0%4.9%17.9%10.5%11.4%3.3%3.6%-532.6K1.9M-10.4K0.00100.46086,6401,145
2016-08-19$91.26$95.0016.5%4.7%17.3%9.3%21.8%4.4%3.7%-169.3K1.5M-8.8K9.0898.62766906,6401,143
2016-08-22$91.06$95.0017.3%5.0%17.3%11.3%28.4%8.1%-0.4%30.6K927.6K-11.0K11.16102.27616816,192884
2016-08-23$90.94$95.0016.1%4.6%16.4%8.3%21.3%4.0%0.1%-239.9K1.4M-8.2K9.59105.92716816,222884
2016-08-24$90.11$90.0016.8%4.8%16.4%9.9%16.6%-2.8%0.8%-153.6K1.0M-9.3K0.13107.761526,276882
2016-08-25$90.65$90.0016.1%4.6%16.9%8.1%19.9%2.4%1.8%-227.1K1.0M-8.2K6.11102.121076546,287884
2016-08-26$90.98$90.0016.0%4.6%15.9%8.0%21.0%1.6%1.9%-135.2K639.5K-9.3K5.16103.611276556,292932
2016-08-29$91.63$90.0017.3%5.0%16.4%11.1%17.2%1.6%0.4%-36.7K188.7K-9.8K6.62103.59996556,335933
2016-08-30$91.81$90.0016.9%4.8%16.4%10.1%16.4%2.0%1.0%-41.0K93.3K-9.1K6.46100.71996406,339938
2016-08-31$91.04$90.0017.1%4.9%16.4%10.6%17.0%3.8%1.1%-178.1K599.8K-8.4K5.01107.181286416,339940