IT Options History — October 2017

In October 2017, IT traded between $122.23 and $125.30. ATM implied volatility averaged 22.7%, placing in the 37.1% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 10.0% (HV 20d: 12.8%). Max pain ranged from $120.00 to $145.00. Net GEX was positive for 14 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 10.79.

Notable Days

  • 2017-10-20: Highest Volume — 2,919 contracts
  • 2017-10-11: Largest IV spike — 47.2% change
  • 2017-10-31: Highest IV Rank — 68.4%
  • 2017-10-31: Largest Expected Move — 8.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$123.80$122.23$125.30$124.39$125.30
Max Pain$133.64$120.00$145.00$120.00$145.00
ATM IV22.7%15.4%29.8%15.4%29.8%
Expected Move6.9%4.4%8.5%4.4%8.5%
HV 20d12.8%9.3%16.1%15.7%12.9%
HV 60d15.8%15.5%16.2%15.7%16.2%
IV Rank37.1%4.5%68.4%4.5%68.4%
IV Percentile58.9%2.8%91.7%2.8%91.7%
Term Structure-2.4%-7.6%7.3%7.0%-7.6%
VWIV24.0%16.9%31.0%17.1%31.0%
Skew 25d4.2%-1.7%6.1%2.9%5.3%
Skew 10d9.5%-8.9%14.3%7.4%12.7%
Call IV 25d23.2%14.9%28.7%15.2%28.7%
Put IV 25d27.4%18.0%34.1%18.1%34.1%
Bid-Ask Spread %58.0021.2488.1271.8967.59
Gamma HHI0.260.170.700.230.23
Net GEX148.1K-83.2K1.9M96.9K-6.9K
Net DEX8.0M-1.0M31.1M-955.9K5.7M
Net VEX-24.1K-27.3K-23.0K-23.1K-25.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio10.790.5836.241.3612.11
Total Volume1,434.4091792,9191792,386
Total OI2,158.6361,2874,1701,2872,064

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-10-02$124.39$120.0015.4%4.4%15.7%4.5%17.1%2.9%7.0%96.9K-955.9K-23.1K1.3671.8976103529758
2017-10-03$124.49$120.0015.7%4.5%15.5%5.7%16.9%3.0%6.8%105.6K-1.0M-23.1K1.3023.6279103533776
2017-10-04$122.89$125.0015.8%4.5%16.1%6.0%17.4%-1.7%7.3%66.1K-381.6K-23.1K1.4388.1279113532776
2017-10-05$122.72$125.0015.7%6.5%15.5%5.6%23.1%3.5%-1.9%55.4K-171.8K-23.4K0.5821.24180105532786
2017-10-06$122.40$125.0018.0%7.1%14.7%16.1%25.7%4.5%-2.5%143.7K-208.0K-23.9K1.7726.5687154612788
2017-10-09$123.59$125.0016.4%6.8%14.8%8.7%25.8%3.6%-2.4%220.0K-911.1K-23.2K2.2343.3382183611851
2017-10-10$123.72$125.0015.8%6.6%14.7%6.2%23.9%4.4%-1.7%244.3K-935.0K-23.1K2.2745.59117265610851
2017-10-11$124.00$125.0023.3%6.7%14.8%39.5%24.1%5.0%-2.6%127.6K-332.0K-23.9K2.6155.8794245574939
2017-10-12$123.56$125.0023.4%6.7%10.6%40.0%24.0%4.1%-2.7%110.8K34.7K-23.5K2.6158.1794245564959
2017-10-13$124.08$125.0023.6%6.8%10.2%41.0%24.4%4.6%-2.5%150.8K-185.0K-23.8K2.6660.8492245564979
2017-10-16$123.95$125.0024.2%6.9%9.3%43.4%24.8%4.5%-3.0%170.8K-134.9K-23.0K2.0863.31112233566979
2017-10-17$122.23$125.0026.1%7.5%10.4%52.0%23.2%5.2%-4.0%31.4K763.4K-23.0K26.2463.551042,729591974
2017-10-18$122.26$145.0026.2%7.5%10.0%52.6%24.1%5.2%-4.5%-23.6K31.1M-24.0K26.6666.831042,7736473,478
2017-10-19$123.08$145.0024.4%7.0%9.9%44.6%23.8%5.3%-3.3%97.5K30.9M-23.8K21.3264.841292,7506473,497
2017-10-20$125.13$145.0024.5%7.0%11.4%45.1%19.9%3.5%-3.8%1.9M28.3M-27.3K16.2762.361692,7506703,500
2017-10-23$124.76$145.0026.0%7.5%11.3%51.8%21.7%4.6%-4.4%-83.2K30.3M-24.3K36.2462.45742,6825263,344
2017-10-24$122.95$145.0026.3%7.5%12.4%52.7%24.2%4.2%-4.9%-66.2K30.9M-24.2K29.9164.37742,2135393,371
2017-10-25$124.04$145.0026.7%7.7%12.7%54.7%27.5%4.3%-5.1%-42.3K6.3M-25.3K12.7265.221732,2005391,425
2017-10-26$124.80$145.0026.3%7.5%12.8%53.1%27.5%4.2%-4.1%-25.6K5.9M-24.7K11.4468.491922,1965491,427
2017-10-27$125.01$145.0027.6%7.9%12.4%58.6%28.0%5.0%-5.3%-6.5K6.0M-25.4K11.6266.231892,1975681,439
2017-10-30$124.31$145.0029.1%8.3%12.6%65.4%30.4%6.1%-7.4%-9.6K5.9M-24.5K12.0465.491832,2045841,442
2017-10-31$125.30$145.0029.8%8.5%12.9%68.4%31.0%5.3%-7.6%-6.9K5.7M-25.3K12.1167.591822,2046041,460