IT Options History — August 2017

In August 2017, IT traded between $116.90 and $128.25. ATM implied volatility averaged 20.7%, placing in the 26.0% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 4.1% (HV 20d: 16.6%). Max pain ranged from $110.00 to $125.00. Net GEX was positive for 3 of 23 trading days. Term structure was in contango for 18 of 23 days. Put/call ratio averaged 1.85.

Notable Days

  • 2017-08-25: Highest Volume — 550 contracts
  • 2017-08-08: Largest IV drop — 43.5% change
  • 2017-08-07: Highest IV Rank — 100.0%
  • 2017-08-02: Largest Expected Move — 9.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$120.79$116.90$128.25$128.25$120.65
Max Pain$115.00$110.00$125.00$125.00$115.00
ATM IV20.7%15.4%36.8%29.5%15.4%
Expected Move5.5%4.4%9.1%8.5%4.4%
HV 20d16.6%10.1%19.5%10.4%19.5%
HV 60d14.4%12.2%15.9%12.2%14.9%
IV Rank26.0%1.3%100.0%69.1%1.3%
IV Percentile41.3%1.2%100.0%91.7%1.2%
Term Structure0.8%-7.6%4.1%-6.3%2.0%
VWIV21.1%17.5%31.6%31.0%18.0%
Skew 25d3.4%2.0%4.7%4.7%3.8%
Skew 10d8.2%4.6%10.8%10.1%7.4%
Call IV 25d18.3%14.2%30.1%28.6%14.2%
Put IV 25d21.7%17.5%34.5%33.3%18.0%
Bid-Ask Spread %73.8458.5287.5071.4983.18
Gamma HHI0.230.170.420.200.17
Net GEX-120.7K-352.8K18.3K18.3K-55.9K
Net DEX939.4K-1.4M3.3M-1.4M-115.2K
Net VEX-18.9K-23.5K-14.7K-16.7K-22.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.850.994.162.561.80
Total Volume425.13217550363535
Total OI1,273.3049971,4821,1801,241

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-08-01$128.25$125.0029.5%8.5%10.4%69.1%31.0%4.7%-6.3%18.3K-1.4M-16.7K2.5671.49102261436744
2017-08-02$126.84$125.0031.7%9.1%11.0%79.7%31.6%4.4%-7.6%1.8K-980.9K-17.1K4.1666.3661254441744
2017-08-03$127.40$110.0032.7%6.8%10.7%84.5%25.3%2.4%-1.1%9.3K-1.1M-17.1K3.7969.9167254442744
2017-08-04$126.99$110.0035.0%6.9%10.5%95.5%25.5%4.5%-1.2%-20-817.0K-17.4K1.8963.9775142438744
2017-08-07$126.33$110.0036.8%7.1%10.1%100.0%26.2%4.3%-2.5%-1.5K-680.2K-17.7K1.4066.58124173466767
2017-08-08$122.30$110.0020.8%5.2%15.3%26.1%18.0%3.6%2.7%-149.5K1.2M-15.6K1.1973.77154183531809
2017-08-09$119.83$115.0017.7%5.1%16.2%11.7%19.6%2.6%2.8%-160.2K2.0M-15.6K1.2669.26149188539782
2017-08-10$116.90$115.0019.5%5.6%17.9%20.0%20.4%3.5%2.4%-178.6K2.9M-15.1K1.0480.85151157527797
2017-08-11$116.91$115.0020.1%5.8%17.6%22.6%20.9%4.4%1.0%-174.6K3.0M-15.1K0.9983.17163162531794
2017-08-14$117.85$115.0017.1%4.9%18.1%8.7%20.2%4.2%3.7%-184.6K2.7M-14.7K1.9185.57142271536790
2017-08-15$117.27$115.0018.5%5.3%18.0%15.6%18.9%3.2%3.0%-233.3K3.3M-18.0K1.6865.57161271544905
2017-08-16$118.87$115.0016.4%4.7%18.3%5.6%19.0%3.3%4.1%-230.3K2.7M-18.4K1.7277.91162279566905
2017-08-17$120.28$115.0016.4%4.7%19.1%5.7%18.8%2.9%3.9%-300.9K2.0M-18.0K1.7185.08167286568912
2017-08-18$119.65$115.0016.8%4.8%18.9%7.8%18.9%3.2%3.9%-352.8K2.4M-17.8K1.6063.16167268560922
2017-08-21$118.84$115.0016.8%4.8%18.8%7.5%19.5%3.6%0.9%-108.2K820.6K-17.3K1.7177.70194332328669
2017-08-22$119.42$115.0016.7%4.8%19.0%7.3%19.9%3.3%0.9%-94.2K570.9K-23.5K1.7958.52187335436770
2017-08-23$118.80$115.0016.7%4.8%18.7%7.2%19.4%2.8%0.9%-102.6K645.8K-23.3K1.7687.50192337439775
2017-08-24$118.84$115.0016.6%4.7%18.6%6.5%19.7%2.9%0.8%-103.0K639.7K-23.2K1.7675.74191337443775
2017-08-25$118.89$115.0015.5%4.4%18.5%1.6%19.5%3.5%1.6%-105.1K614.5K-22.9K1.5885.05213337445775
2017-08-28$118.80$115.0016.5%4.7%18.2%6.1%19.4%3.6%0.8%-100.0K566.6K-22.8K1.7564.77193337457775
2017-08-29$118.06$115.0016.2%4.6%18.2%4.7%18.8%2.0%1.2%-114.0K711.9K-22.8K1.7568.18193338462775
2017-08-30$120.16$115.0015.7%4.5%19.5%2.7%17.5%2.4%1.3%-55.8K-66.5K-22.1K1.7374.97195338462775
2017-08-31$120.65$115.0015.4%4.4%19.5%1.3%18.0%3.8%2.0%-55.9K-115.2K-22.3K1.8083.18191344466775