IT Options History — May 2017

In May 2017, IT traded between $111.50 and $119.65. ATM implied volatility averaged 19.3%, placing in the 25.1% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 9.2% (HV 20d: 10.2%). Max pain ranged from $105.00 to $110.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 2.13.

Notable Days

  • 2017-05-03: Highest Volume — 1,099 contracts
  • 2017-05-04: Largest IV drop — 36.6% change
  • 2017-05-03: Highest IV Rank — 84.1%
  • 2017-05-03: Largest Expected Move — 9.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$114.35$111.50$119.65$114.42$119.65
Max Pain$105.23$105.00$110.00$105.00$105.00
ATM IV19.3%16.1%32.4%30.9%17.2%
Expected Move5.5%4.6%9.3%8.9%4.9%
HV 20d10.2%8.0%14.9%8.0%14.9%
HV 60d13.6%13.1%14.3%13.4%14.3%
IV Rank25.1%10.3%84.1%77.2%15.1%
IV Percentile37.6%7.1%96.8%95.6%25.4%
Term Structure0.9%-8.8%4.0%-5.6%-0.5%
VWIV21.4%16.6%40.7%40.7%17.8%
Skew 25d3.5%-0.7%7.0%4.1%-0.7%
Skew 10d9.2%-0.4%22.0%22.0%-0.4%
Call IV 25d19.0%15.7%32.3%30.8%20.2%
Put IV 25d22.5%18.5%39.3%34.9%19.5%
Bid-Ask Spread %87.3775.2494.3191.4794.31
Gamma HHI0.670.370.840.550.52
Net GEX923.2K103.4K1.4M854.4K103.4K
Net DEX-37.4M-45.3M-31.6M-33.4M-45.3M
Net VEX-37.4K-65.1K-9.7K-64.1K-9.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.131.424.503.872.27
Total Volume472.7732541,099808324
Total OI7,586.6366,5818,1577,3906,797

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-05-01$114.42$105.0030.9%8.9%8.0%77.2%40.7%4.1%-5.6%854.4K-33.4M-64.1K3.8791.471666424,0593,331
2017-05-02$114.27$105.0031.6%9.1%8.0%80.6%38.6%4.8%-6.9%988.5K-35.1M-53.9K2.0385.801763584,0593,377
2017-05-03$113.15$110.0032.4%9.3%9.0%84.1%39.3%7.0%-8.8%1.0M-33.1M-57.5K4.5077.482008994,0813,490
2017-05-04$112.99$105.0020.5%5.9%8.7%30.6%24.5%6.5%1.8%751.2K-31.6M-65.1K2.4589.941513704,1073,997
2017-05-05$112.90$105.0017.6%4.9%8.4%17.2%18.8%3.0%3.2%1.2M-35.7M-48.6K1.8891.771763304,1273,985
2017-05-08$113.15$105.0018.7%5.0%8.3%22.3%18.5%2.0%3.4%1.1M-36.3M-43.9K1.9187.591683214,1463,995
2017-05-09$113.55$105.0017.7%4.9%8.2%17.8%19.0%4.0%4.0%1.0M-35.5M-48.3K1.8689.721713184,1483,994
2017-05-10$113.10$105.0017.0%4.9%8.3%14.6%18.7%3.9%3.6%1.2M-36.2M-42.8K1.8688.401713184,1503,998
2017-05-11$112.75$105.0016.9%4.8%8.3%14.1%18.6%3.3%3.8%1.3M-35.3M-45.2K1.8890.521713224,1513,998
2017-05-12$113.15$105.0016.8%4.8%8.3%13.6%18.1%3.9%4.0%1.2M-36.2M-41.5K1.9087.611673184,1513,998
2017-05-15$113.98$105.0016.9%4.9%8.4%14.1%18.1%3.1%3.6%1.2M-37.0M-39.1K1.8289.451723134,1524,000
2017-05-16$113.78$105.0017.1%4.9%8.4%14.7%17.9%3.4%3.7%1.1M-38.9M-31.8K1.8290.141723134,1583,999
2017-05-17$111.50$105.0019.3%5.5%10.3%24.6%19.1%3.3%2.3%1.4M-33.7M-43.3K2.0290.651553134,1583,999
2017-05-18$112.63$105.0017.7%5.1%10.3%17.4%19.0%3.5%3.6%1.3M-35.7M-40.2K2.0385.981543134,1583,999
2017-05-19$113.47$105.0017.1%4.9%10.6%14.9%18.4%3.8%3.6%1.1M-37.2M-35.9K1.9987.221573134,1563,999
2017-05-22$113.68$105.0016.9%4.9%10.5%14.1%18.1%2.5%0.3%1.0M-37.6M-26.8K2.1075.24821723,8522,729
2017-05-23$113.49$105.0016.8%4.8%10.5%13.4%18.2%2.9%0.3%1.0M-37.3M-27.5K2.1085.68821723,8662,762
2017-05-24$116.03$105.0017.3%5.0%13.0%15.9%18.7%3.8%0.2%635.7K-40.7M-20.1K1.7288.551031773,8662,762
2017-05-25$118.13$105.0016.1%4.6%14.4%10.3%16.7%2.8%0.9%184.1K-43.9M-11.2K1.4882.921181753,8902,765
2017-05-26$117.72$105.0016.2%4.6%14.4%10.9%16.6%2.5%0.1%338.9K-43.2M-14.7K1.4281.911532183,9092,787
2017-05-30$118.14$105.0016.8%4.8%14.4%13.5%17.5%2.8%0.1%207.4K-44.1M-12.2K1.8389.761192183,9662,835
2017-05-31$119.65$105.0017.2%4.9%14.9%15.1%17.8%-0.7%-0.5%103.4K-45.3M-9.7K2.2794.31992253,9622,835