IT Options History — January 2018

In January 2018, IT traded between $124.90 and $142.03. ATM implied volatility averaged 23.4%, placing in the 42.1% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded above realized volatility by 8.7% (HV 20d: 14.7%). Max pain ranged from $125.00 to $130.00. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 2.16.

Notable Days

  • 2018-01-31: Highest Volume — 658 contracts
  • 2018-01-10: Largest IV spike — 56.3% change
  • 2018-01-31: Highest IV Rank — 80.1%
  • 2018-01-31: Largest Expected Move — 9.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$133.57$124.90$142.03$124.90$138.78
Max Pain$127.62$125.00$130.00$125.00$130.00
ATM IV23.4%13.4%32.2%15.5%32.2%
Expected Move7.2%4.5%9.2%4.5%9.2%
HV 20d14.7%13.5%16.3%14.5%16.3%
HV 60d17.4%15.9%18.2%16.6%15.9%
IV Rank42.1%0.0%80.1%5.2%80.1%
IV Percentile62.7%0.0%97.6%6.0%97.6%
Term Structure-3.6%-9.8%7.6%7.6%-9.8%
VWIV28.4%15.8%35.5%15.8%35.5%
Skew 25d3.6%1.7%5.8%3.7%4.3%
Skew 10d6.5%-11.1%13.0%8.2%-11.1%
Call IV 25d24.0%14.1%31.1%14.1%31.1%
Put IV 25d27.7%17.8%35.3%17.8%35.3%
Bid-Ask Spread %66.4120.6090.3620.6089.41
Gamma HHI0.230.140.370.230.18
Net GEX-23.6K-260.0K199.1K-260.0K199.1K
Net DEX-4.5M-8.9M-277.7K-314.5K-5.6M
Net VEX-22.0K-26.9K-16.2K-24.6K-26.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.160.954.271.991.10
Total Volume430.476301658341658
Total OI2,045.8571,5872,4081,5872,277

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-01-02$124.90$125.0015.5%4.5%14.5%5.2%15.8%3.7%7.6%-260.0K-314.5K-24.6K1.9920.601142275281,059
2018-01-03$125.16$125.0016.6%4.7%14.0%9.7%16.7%2.8%6.8%-241.5K-277.7K-26.9K2.6790.36912435821,204
2018-01-04$127.39$125.0016.2%6.9%15.1%8.0%25.3%4.0%-2.1%-164.8K-2.3M-24.8K4.2750.96642736261,232
2018-01-05$129.30$125.0013.4%6.5%13.8%0.0%25.4%4.4%-2.2%-164.3K-3.3M-23.8K2.8454.43962736321,335
2018-01-08$130.32$125.0014.7%6.8%13.9%5.5%26.9%4.5%-3.0%-91.6K-4.2M-21.7K2.7557.86972676621,335
2018-01-09$128.99$125.0015.0%6.7%14.8%6.5%27.3%3.9%-2.5%-225.3K-3.2M-23.3K1.9649.921212376861,394
2018-01-10$128.12$125.0023.4%6.7%14.9%42.6%27.1%4.2%-2.6%-173.0K-2.6M-24.5K2.3148.871082507331,415
2018-01-11$129.48$125.0022.9%6.6%15.1%40.3%25.8%4.5%-1.4%5.0K-4.1M-23.6K2.2467.791082427841,433
2018-01-12$130.08$125.0024.2%6.9%15.1%46.1%27.9%2.1%-3.6%58.5K-5.0M-21.3K3.5668.71662357801,443
2018-01-16$130.17$125.0025.6%7.3%14.3%51.8%28.4%4.5%-4.1%130.9K-4.9M-20.7K2.5558.451042657931,450
2018-01-17$132.15$130.0027.0%7.7%13.8%58.1%29.4%2.8%-5.7%97.1K-6.7M-19.5K3.0355.87882678281,491
2018-01-18$133.89$130.0025.8%7.4%13.5%52.9%29.9%2.3%-4.6%-30.9K-6.9M-20.8K1.9959.501282558281,521
2018-01-19$137.34$130.0024.8%7.1%15.0%48.3%26.9%1.7%-3.1%-20.1K-8.9M-16.5K2.1483.881783818511,557
2018-01-22$138.45$130.0025.7%7.4%14.9%52.3%31.1%4.7%-5.1%15.7K-4.3M-16.2K1.7555.532043575361,180
2018-01-23$139.24$130.0026.0%7.5%14.3%53.7%32.0%5.8%-4.6%15.7K-4.2M-19.6K2.5065.331483705781,209
2018-01-24$140.21$130.0027.9%8.0%14.3%61.8%32.3%3.1%-6.6%13.7K-4.7M-19.3K1.4377.431712445951,242
2018-01-25$140.00$130.0026.3%7.5%14.1%54.9%32.8%2.5%-4.8%61.9K-5.2M-18.6K0.9582.202692566521,259
2018-01-26$142.03$130.0026.7%7.6%14.4%56.6%33.4%3.6%-6.1%56.9K-5.9M-21.1K1.3183.831902497111,282
2018-01-29$139.81$130.0031.2%8.9%16.3%75.8%33.3%2.3%-8.4%72.6K-5.2M-23.5K0.9686.812592497631,303
2018-01-30$139.24$130.0030.7%8.8%16.2%73.7%34.4%4.6%-9.2%148.7K-5.5M-24.1K0.9586.973273118741,320
2018-01-31$138.78$130.0032.2%9.2%16.3%80.1%35.5%4.3%-9.8%199.1K-5.6M-26.6K1.1089.413133459471,330