IT Options History — June 2017

In June 2017, IT traded between $118.36 and $124.72. ATM implied volatility averaged 17.3%, placing in the 15.8% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded above realized volatility by 3.5% (HV 20d: 13.8%). Max pain ranged from $105.00 to $120.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 1.15.

Notable Days

  • 2017-06-05: Highest Volume — 342 contracts
  • 2017-06-14: Largest IV drop — 16.7% change
  • 2017-06-12: Highest IV Rank — 35.6%
  • 2017-06-16: Largest Expected Move — 5.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$121.97$118.36$124.72$120.46$123.84
Max Pain$117.50$105.00$120.00$105.00$120.00
ATM IV17.3%15.7%21.7%16.4%15.7%
Expected Move4.8%4.5%5.1%4.7%4.5%
HV 20d13.8%11.4%16.3%14.3%12.3%
HV 60d12.4%11.5%14.3%14.3%11.8%
IV Rank15.8%8.5%35.6%11.6%8.5%
IV Percentile27.3%4.0%70.2%11.1%4.0%
Term Structure4.5%0.5%6.9%0.5%6.9%
VWIV17.9%15.7%19.7%16.8%19.0%
Skew 25d2.6%1.1%3.6%1.1%1.4%
Skew 10d6.0%2.6%8.7%3.9%2.6%
Call IV 25d16.2%14.8%17.4%16.1%16.9%
Put IV 25d18.8%17.2%19.7%17.2%18.3%
Bid-Ask Spread %81.4870.7393.0891.7390.75
Gamma HHI0.320.220.510.490.30
Net GEX105.2K16.1K215.7K139.2K68.9K
Net DEX-25.9M-47.7M-1.2M-45.7M-1.8M
Net VEX-12.3K-13.3K-9.2K-10.2K-13.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.150.702.212.210.92
Total Volume279.136181342324219
Total OI4,145.9097017,0596,789819

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-06-01$120.46$105.0016.4%4.7%14.3%11.6%16.8%1.1%0.5%139.2K-45.7M-10.2K2.2191.731012233,9642,825
2017-06-02$120.83$105.0016.0%4.6%14.2%9.7%15.7%2.9%0.7%112.5K-46.1M-9.2K1.1693.081541793,9612,825
2017-06-05$120.74$115.0017.7%5.0%14.2%17.4%18.2%2.5%3.5%133.3K-46.3M-11.2K0.7477.171971454,0352,836
2017-06-06$120.25$115.0017.6%5.0%14.4%17.3%17.9%2.7%3.5%168.2K-46.1M-12.2K1.0276.771471504,0872,844
2017-06-07$119.86$115.0017.7%5.0%14.6%17.8%17.8%2.6%3.2%200.3K-45.9M-12.5K0.9573.421581504,1242,850
2017-06-08$120.32$115.0017.5%4.9%14.4%16.7%16.7%2.7%3.4%211.1K-46.3M-12.8K1.0176.751581594,1322,851
2017-06-09$118.36$115.0019.2%5.1%15.8%24.6%18.2%2.7%2.7%170.5K-44.8M-12.9K1.6680.491131884,1312,861
2017-06-12$119.24$120.0021.7%5.1%15.9%35.6%18.7%2.1%3.6%190.1K-45.4M-12.4K1.6276.261191934,1322,896
2017-06-13$120.80$120.0021.2%4.9%16.3%33.3%17.4%3.1%3.8%215.7K-46.6M-12.3K1.5082.761291934,1322,914
2017-06-14$121.55$120.0017.6%5.1%16.2%17.4%18.7%3.2%3.8%197.8K-47.0M-12.4K1.3489.201341804,1332,914
2017-06-15$122.65$120.0016.4%4.7%13.7%11.8%17.9%2.9%4.2%153.5K-47.7M-12.9K1.4683.831201754,1322,927
2017-06-16$122.22$120.0017.9%5.1%13.9%18.7%18.7%3.3%3.8%16.1K-47.5M-12.8K1.4085.691241734,1282,928
2017-06-19$123.63$120.0015.8%4.5%14.1%9.2%17.4%2.0%6.0%28.3K-1.3M-11.9K1.4170.7379111299402
2017-06-20$123.19$120.0016.7%4.8%14.3%13.0%18.2%2.7%5.3%24.6K-1.2M-12.3K1.1879.308398308404
2017-06-21$123.31$120.0016.0%4.6%14.2%9.8%17.4%3.0%6.6%57.2K-1.4M-13.3K0.8875.55123108356410
2017-06-22$123.07$120.0016.4%4.7%12.6%11.7%17.1%2.1%6.3%43.8K-1.4M-13.1K0.7583.62157117350410
2017-06-23$123.98$120.0016.3%4.7%11.5%11.2%16.6%2.9%6.2%23.3K-1.4M-12.8K0.7384.89157115328420
2017-06-26$123.73$120.0016.2%4.6%11.4%10.9%17.7%2.7%6.8%23.8K-1.4M-12.3K1.0279.22113115328432
2017-06-27$123.11$120.0017.1%4.9%11.7%15.0%19.5%2.7%5.4%20.1K-1.3M-12.5K0.7081.57165115329432
2017-06-28$124.72$120.0016.1%4.6%11.7%10.6%18.1%3.3%6.5%64.1K-1.9M-13.0K0.7180.29163115378432
2017-06-29$123.54$120.0017.2%4.9%12.3%15.3%19.7%3.6%5.6%52.4K-1.7M-13.3K0.8779.56121105379432
2017-06-30$123.84$120.0015.7%4.5%12.3%8.5%19.0%1.4%6.9%68.9K-1.8M-13.1K0.9290.75114105387432