IT Options History — September 2016

In September 2016, IT traded between $88.23 and $91.38. ATM implied volatility averaged 17.7%, placing in the 12.1% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 6.0% (HV 20d: 11.7%). Max pain ranged from $90.00 to $90.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 4.36.

Notable Days

  • 2016-09-13: Highest Volume — 1,159 contracts
  • 2016-09-09: Largest IV spike — 16.6% change
  • 2016-09-13: Highest IV Rank — 21.1%
  • 2016-09-14: Largest Expected Move — 5.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$89.80$88.23$91.38$90.75$88.83
Max Pain$90.00$90.00$90.00$90.00$90.00
ATM IV17.7%15.6%21.3%16.4%16.8%
Expected Move5.0%4.5%5.5%4.7%4.8%
HV 20d11.7%9.9%13.0%9.9%13.0%
HV 60d16.7%13.7%18.6%18.1%14.0%
IV Rank12.1%7.1%21.1%8.9%10.0%
IV Percentile24.4%5.6%53.6%9.1%14.7%
Term Structure3.6%1.2%6.4%1.2%5.2%
VWIV18.1%16.2%21.8%16.8%17.0%
Skew 25d3.7%2.3%5.2%2.9%5.2%
Skew 10d5.9%-4.2%12.4%4.1%10.5%
Call IV 25d16.7%13.5%18.2%13.5%16.3%
Put IV 25d20.4%16.2%21.7%16.4%21.5%
Bid-Ask Spread %97.5987.42107.87107.87100.30
Gamma HHI0.630.420.910.550.46
Net GEX-299.2K-1.2M-29.9K-229.1K-29.9K
Net DEX1.1M262.3K2.8M652.2K699.7K
Net VEX-7.8K-9.2K-6.7K-8.1K-8.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.360.4210.714.111.66
Total Volume528.81821,159797170
Total OI4,235.1436227,8907,328781

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-09-01$90.75$90.0016.4%4.7%9.9%8.9%16.8%2.9%1.2%-229.1K652.2K-8.1K4.11107.871566416,382946
2016-09-02$91.38$90.0015.6%4.5%10.4%7.1%18.0%2.7%1.5%-217.0K262.3K-7.5K5.48101.571176416,365946
2016-09-06$91.24$90.0017.3%5.2%10.1%11.3%16.5%5.0%2.2%-259.0K342.9K-6.7K5.9587.421176966,364946
2016-09-07$91.17$90.0017.6%5.1%10.1%12.0%16.5%4.3%2.6%-294.5K638.9K-8.0K5.7795.071216986,3641,007
2016-09-08$90.16$90.0017.1%4.9%10.6%10.6%17.9%3.0%4.2%-378.5K1.3M-7.8K7.4691.14947016,3641,007
2016-09-09$89.07$90.0019.9%5.1%11.1%17.6%18.4%3.2%2.7%-359.4K1.7M-7.8K6.8490.82926296,371971
2016-09-12$89.89$90.0021.1%5.2%11.5%20.5%18.7%4.0%2.0%-401.3K1.3M-7.2K6.7091.16976506,371978
2016-09-13$89.21$90.0021.3%5.3%11.6%21.1%21.1%3.6%2.1%-420.6K2.0M-6.9K10.7197.76991,0606,3721,003
2016-09-14$88.67$90.0019.1%5.5%10.4%15.5%20.8%3.5%2.1%-647.2K2.8M-9.2K10.1499.691041,0556,3851,467
2016-09-15$90.27$90.0018.0%5.2%12.1%12.9%21.8%5.0%3.1%-857.1K1.4M-8.7K5.8097.251428236,3831,482
2016-09-16$89.80$90.0017.6%5.1%12.2%12.0%21.3%4.9%2.8%-1.2M1.9M-8.1K8.9398.45918136,3901,500
2016-09-19$89.49$90.0017.7%5.1%12.2%12.2%17.8%3.0%3.0%-128.4K995.4K-8.0K1.8196.843258145477
2016-09-20$89.02$90.0017.6%5.1%12.3%12.0%17.4%3.2%4.2%-141.4K1.1M-7.9K1.3495.403547144478
2016-09-21$89.57$90.0016.3%4.7%12.5%8.8%16.8%3.7%4.9%-133.1K980.2K-7.7K1.07100.914548147480
2016-09-22$90.49$90.0016.9%4.8%12.7%10.2%17.1%3.3%5.0%-100.3K621.0K-7.4K1.55100.905890156480
2016-09-23$90.20$90.0016.9%4.8%12.6%10.1%16.9%4.1%4.9%-91.0K632.6K-7.4K1.55102.475890169458
2016-09-26$89.67$90.0017.2%4.9%12.6%11.0%17.7%4.1%5.2%-101.6K734.8K-7.5K1.63103.265691169458
2016-09-27$89.36$90.0017.4%5.0%12.3%11.4%17.7%3.7%4.8%-113.3K909.1K-7.8K1.2697.186582178460
2016-09-28$89.34$90.0016.2%4.6%12.3%8.4%16.2%2.3%6.4%-118.8K873.9K-7.5K0.4294.4819482179461
2016-09-29$88.23$90.0017.3%5.0%12.6%11.1%17.2%4.0%5.2%-45.6K732.4K-8.6K1.3599.537196293461
2016-09-30$88.83$90.0016.8%4.8%13.0%10.0%17.0%5.2%5.2%-29.9K699.7K-8.6K1.66100.3064106304477