IT Options History — November 2017

In November 2017, IT traded between $116.04 and $125.55. ATM implied volatility averaged 18.2%, placing in the 16.7% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded below realized volatility by 1.8% (HV 20d: 20.0%). Max pain ranged from $120.00 to $145.00. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 4.55.

Notable Days

  • 2017-11-01: Highest Volume — 2,397 contracts
  • 2017-11-02: Largest IV drop — 36.0% change
  • 2017-11-01: Highest IV Rank — 66.6%
  • 2017-11-01: Largest Expected Move — 8.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$118.37$116.04$125.55$125.55$120.77
Max Pain$121.19$120.00$145.00$145.00$120.00
ATM IV18.2%15.5%29.4%29.4%16.6%
Expected Move5.2%4.4%8.4%8.4%4.7%
HV 20d20.0%11.9%21.8%11.9%21.8%
HV 60d16.3%14.7%17.0%14.7%17.0%
IV Rank16.7%4.8%66.6%66.6%9.5%
IV Percentile44.1%3.2%91.3%91.3%22.2%
Term Structure1.1%-7.0%4.0%-7.0%-0.2%
VWIV18.8%16.7%30.4%30.4%17.6%
Skew 25d4.2%3.2%7.1%5.9%3.2%
Skew 10d9.6%6.8%16.7%16.7%6.8%
Call IV 25d16.5%11.8%29.3%29.3%15.4%
Put IV 25d20.7%18.6%35.1%35.1%18.6%
Bid-Ask Spread %62.1831.4695.0375.0585.08
Gamma HHI0.360.240.440.240.31
Net GEX-173.0K-257.7K5.6K5.6K-73.9K
Net DEX5.0M-62.5K10.0M5.6M-62.5K
Net VEX-23.1K-25.3K-21.5K-24.8K-25.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.550.8412.5412.541.57
Total Volume579.8572152,3972,397319
Total OI1,834.7141,4012,2362,0671,681

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-11-01$125.55$145.0029.4%8.4%11.9%66.6%30.4%5.9%-7.0%5.6K5.6M-24.8K12.5475.051772,2206051,462
2017-11-02$120.46$120.0018.8%5.1%19.2%19.4%17.5%3.4%1.8%-130.4K8.5M-21.8K8.2066.24897306091,506
2017-11-03$118.58$120.0017.8%5.0%19.9%15.1%19.4%3.8%2.7%-164.1K9.1M-21.9K8.2275.22856996211,506
2017-11-06$118.62$120.0018.2%4.9%19.5%16.8%19.2%4.1%2.6%-169.4K9.1M-21.8K7.6947.64987546421,516
2017-11-07$117.78$120.0017.8%4.9%19.5%14.9%19.0%3.9%2.8%-216.4K9.8M-23.6K7.7746.71967466391,597
2017-11-08$118.84$120.0017.1%4.9%19.9%11.7%19.1%3.7%2.9%-188.3K9.1M-23.6K7.8572.31957466421,572
2017-11-09$117.40$120.0019.3%5.5%20.2%21.7%19.5%4.1%1.5%-220.8K9.7M-23.1K8.5675.05867366451,570
2017-11-10$117.50$120.0019.1%5.5%20.1%20.8%19.3%3.9%1.9%-226.9K9.7M-22.8K8.4977.76867306461,581
2017-11-13$116.33$120.0019.2%5.5%20.2%21.1%19.5%3.5%2.0%-257.7K10.0M-22.1K3.1471.98782456461,580
2017-11-14$117.55$120.0017.1%4.9%20.4%12.0%19.3%4.2%2.6%-230.3K3.6M-22.1K3.1566.94782466601,101
2017-11-15$117.23$120.0018.9%5.4%20.4%20.0%19.4%3.4%2.2%-253.1K3.7M-21.8K3.8050.50793006601,096
2017-11-16$119.05$120.0015.9%4.5%21.1%6.3%17.0%3.6%4.0%-191.2K1.8M-21.9K3.8148.19793016621,025
2017-11-17$116.85$120.0018.2%5.2%20.8%16.9%18.0%4.1%2.4%-185.6K2.6M-21.5K3.3035.89902976621,023
2017-11-20$116.59$120.0017.9%5.1%20.8%15.4%17.6%4.1%0.1%-211.1K2.6M-22.7K1.4737.35136200496905
2017-11-21$117.21$120.0017.6%5.0%20.5%14.0%17.4%4.2%-0.4%-174.7K1.8M-24.9K0.8470.21133112569908
2017-11-22$116.04$120.0017.5%5.0%20.3%13.7%17.9%4.0%-0.1%-208.6K2.3M-24.4K0.8856.11134118573910
2017-11-24$116.39$120.0017.1%4.9%20.1%11.9%16.7%3.4%0.3%-200.7K2.2M-24.3K0.8995.03133118578916
2017-11-27$118.09$120.0015.9%4.6%21.0%6.6%17.9%4.4%0.3%-149.3K1.4M-24.0K1.1131.46103114585916
2017-11-28$119.50$120.0015.5%4.4%21.6%4.8%16.7%7.0%0.7%-91.7K653.6K-23.9K1.1373.73101114594916
2017-11-29$119.37$120.0016.9%4.9%21.3%11.2%17.0%7.1%-0.3%-93.6K739.3K-23.8K1.1447.31176200592916
2017-11-30$120.77$120.0016.6%4.7%21.8%9.5%17.6%3.2%-0.2%-73.9K-62.5K-25.3K1.5785.081241956671,014