IT Options History — March 2017

In March 2017, IT traded between $103.24 and $111.90. ATM implied volatility averaged 18.3%, placing in the 23.2% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 2.4% (HV 20d: 15.9%). Max pain ranged from $100.00 to $105.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 23 of 23 days. Put/call ratio averaged 0.85.

Notable Days

  • 2017-03-03: Highest Volume — 820 contracts
  • 2017-03-13: Largest IV spike — 9.5% change
  • 2017-03-14: Highest IV Rank — 32.7%
  • 2017-03-27: Largest Expected Move — 5.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$107.81$103.24$111.90$104.53$108.12
Max Pain$102.17$100.00$105.00$100.00$105.00
ATM IV18.3%17.3%20.3%17.9%17.5%
Expected Move5.2%5.0%5.4%5.1%5.0%
HV 20d15.9%11.0%19.7%11.8%18.7%
HV 60d30.4%29.5%30.9%30.1%30.5%
IV Rank23.2%16.7%32.7%22.3%16.7%
IV Percentile45.9%29.4%66.3%42.5%32.1%
Term Structure5.0%0.0%7.9%0.5%7.9%
VWIV18.9%15.7%20.4%16.3%18.9%
Skew 25d2.4%0.4%4.5%4.5%0.7%
Skew 10d6.0%-1.6%13.9%13.9%-0.6%
Call IV 25d17.7%16.5%19.0%16.8%18.4%
Put IV 25d20.1%19.0%21.3%21.3%19.0%
Bid-Ask Spread %93.7288.12100.34100.3497.10
Gamma HHI0.560.390.720.390.55
Net GEX888.4K350.3K1.3M354.1K945.8K
Net DEX-22.2M-32.3M-10.8M-11.4M-22.1M
Net VEX-94.5K-103.3K-82.9K-85.7K-100.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.850.101.870.151.34
Total Volume470.348230820568570
Total OI6,769.8265,8877,5196,2096,689

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-03-01$104.53$100.0017.9%5.1%11.8%22.3%16.3%4.5%0.5%354.1K-11.4M-85.7K0.15100.34494742,9133,296
2017-03-02$103.95$100.0018.1%5.2%11.7%23.0%16.9%4.0%0.0%431.9K-11.5M-95.1K0.1597.20493763,1633,296
2017-03-03$103.36$100.0017.3%5.0%12.0%19.6%19.1%3.6%0.8%350.3K-10.8M-93.0K0.1098.69744763,1623,298
2017-03-06$103.24$100.0018.5%5.1%11.8%24.6%19.9%2.8%4.5%529.0K-13.0M-102.2K0.3292.27248793,6623,298
2017-03-07$103.33$100.0018.9%5.1%11.5%26.2%19.4%2.1%4.3%506.5K-12.9M-102.0K0.3290.70248793,6623,301
2017-03-08$104.23$100.0017.7%5.2%11.5%21.2%19.2%2.2%5.7%798.7K-16.3M-97.0K0.1394.26621793,6623,301
2017-03-09$104.71$100.0018.0%5.3%11.5%22.7%19.3%2.8%5.2%1.0M-18.6M-103.3K0.3191.46270833,9973,301
2017-03-10$105.54$100.0018.2%5.2%11.0%23.5%19.1%2.6%4.9%1.2M-20.5M-100.6K0.3193.05269834,0033,311
2017-03-13$109.18$100.0020.0%5.1%15.6%31.0%19.3%1.9%5.4%1.3M-27.2M-94.7K0.3690.20270984,0033,311
2017-03-14$109.17$100.0020.3%5.1%15.7%32.7%18.5%2.0%5.8%1.3M-27.5M-95.2K0.4288.123021284,0683,357
2017-03-15$111.90$100.0018.4%5.3%17.2%24.5%15.7%2.1%4.1%1.0M-31.6M-90.3K0.4290.703121314,1093,384
2017-03-16$111.41$100.0018.2%5.2%17.2%23.4%18.5%2.2%4.9%1.2M-31.1M-92.2K0.4592.792901304,1053,404
2017-03-17$111.57$100.0017.9%5.1%17.2%22.2%20.2%1.8%5.5%942.8K-32.3M-82.9K0.6694.761691124,1143,405
2017-03-20$111.39$105.0017.7%5.1%17.1%21.4%17.0%2.5%6.0%996.6K-28.3M-83.7K1.4293.04951353,7382,149
2017-03-21$109.14$105.0018.3%5.2%19.2%23.7%19.2%1.9%5.4%1.0M-25.3M-87.0K1.7095.752384053,7392,197
2017-03-22$110.30$105.0018.4%5.3%18.8%24.4%19.8%3.3%6.0%968.5K-26.1M-95.3K1.2791.612272893,8902,513
2017-03-23$108.91$105.0018.6%5.3%19.7%25.1%20.1%2.6%5.8%828.4K-23.4M-100.0K1.2794.172272893,8862,578
2017-03-24$109.20$105.0017.8%5.1%19.5%21.6%19.4%3.1%7.5%927.2K-23.7M-100.0K1.3190.752232923,8862,578
2017-03-27$109.37$105.0018.8%5.4%19.4%25.8%20.4%2.3%5.6%964.5K-24.7M-91.9K1.7491.971622823,8862,581
2017-03-28$109.67$105.0017.8%5.1%18.8%21.9%19.8%2.1%6.4%1.0M-25.5M-89.6K1.8793.401582963,8922,590
2017-03-29$108.73$105.0017.8%5.1%19.0%18.4%19.8%2.7%6.3%973.1K-24.0M-90.7K1.8096.721582853,8932,615
2017-03-30$108.61$105.0017.6%5.1%18.8%17.5%19.3%0.4%7.5%888.7K-22.1M-101.2K1.6796.521983313,8932,627
2017-03-31$108.12$105.0017.5%5.0%18.7%16.7%18.9%0.7%7.9%945.8K-22.1M-100.2K1.3497.102443263,9442,745