IT Options History — March 2018

In March 2018, IT traded between $113.96 and $124.33. ATM implied volatility averaged 22.5%, placing in the 28.8% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded below realized volatility by 4.8% (HV 20d: 27.3%). Max pain ranged from $115.00 to $130.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.52.

Notable Days

  • 2018-03-01: Highest Volume — 2,871 contracts
  • 2018-03-28: Largest IV spike — 14.9% change
  • 2018-03-28: Highest IV Rank — 41.9%
  • 2018-03-28: Largest Expected Move — 7.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$120.78$113.96$124.33$113.96$117.65
Max Pain$116.43$115.00$130.00$130.00$115.00
ATM IV22.5%19.6%26.6%22.9%22.9%
Expected Move6.3%5.6%7.6%6.6%6.6%
HV 20d27.3%21.9%38.1%34.8%24.1%
HV 60d26.9%25.5%27.9%25.5%27.7%
IV Rank28.8%19.5%41.9%30.3%30.3%
IV Percentile67.1%59.5%84.1%68.7%64.7%
Term Structure3.2%-2.1%5.5%-0.4%4.7%
VWIV23.2%20.6%30.1%26.1%24.1%
Skew 25d2.7%2.0%3.9%2.7%2.8%
Skew 10d5.7%3.4%7.9%5.3%6.8%
Call IV 25d22.0%19.3%26.3%22.6%23.2%
Put IV 25d24.7%22.2%29.4%25.2%26.0%
Bid-Ask Spread %46.8817.8187.5380.2265.06
Gamma HHI0.380.170.700.200.17
Net GEX843.6K-426.1K3.6M-426.1K49.6K
Net DEX17.6M-5.9M49.3M49.3M-52.0K
Net VEX-74.2K-93.0K-64.6K-72.8K-64.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.520.201.030.200.36
Total Volume911.2864352,8712,871531
Total OI7,643.1433,65910,96910,5214,153

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-03-01$113.96$130.0022.9%6.6%34.8%30.3%26.1%2.7%-0.4%-426.1K49.3M-72.8K0.2080.222,3964754,1216,400
2018-03-02$116.77$130.0025.3%7.3%36.8%37.9%23.8%3.9%-2.1%-217.1K46.1M-78.5K0.6983.615894064,1416,415
2018-03-05$119.57$115.0023.7%6.5%38.1%32.7%23.6%2.6%2.2%323.9K41.7M-79.9K0.6537.956224034,1656,441
2018-03-06$120.89$115.0024.5%6.5%37.9%35.3%22.5%2.6%2.4%715.3K36.7M-86.7K0.8521.746455514,1876,439
2018-03-07$122.80$115.0022.4%6.2%31.1%28.5%22.2%3.1%2.6%781.2K28.3M-93.0K1.0365.744704824,2746,319
2018-03-08$120.32$115.0023.8%6.7%29.7%32.9%23.4%2.6%2.2%525.6K37.5M-83.3K0.4621.117433394,2626,345
2018-03-09$122.72$115.0020.8%6.1%25.4%23.5%22.4%2.1%3.4%1.7M30.6M-88.4K0.4720.017643604,5886,353
2018-03-12$124.33$115.0023.4%6.2%25.5%31.9%21.6%2.2%2.8%2.5M23.3M-83.4K0.4617.817243364,5566,345
2018-03-13$124.25$115.0023.3%6.0%24.9%31.3%21.3%2.6%3.4%3.6M25.8M-81.4K0.2869.281,1303164,5606,409
2018-03-14$123.27$115.0021.3%6.1%25.2%24.9%22.7%2.0%3.1%3.1M23.0M-74.0K0.4432.588383664,1975,672
2018-03-15$123.16$115.0020.7%5.9%24.7%23.0%22.3%2.2%3.4%3.1M24.8M-72.4K0.8021.774683754,2025,664
2018-03-16$124.29$115.0019.6%5.6%23.4%19.5%22.6%3.0%4.4%383.5K20.0M-67.9K0.4777.415752684,1805,124
2018-03-19$123.57$115.0020.1%5.8%23.6%21.2%21.5%3.0%5.3%343.0K-4.8M-67.1K0.6021.433342021,9341,725
2018-03-20$124.32$115.0019.9%5.7%22.2%20.7%20.6%2.2%5.3%380.0K-5.9M-65.9K0.3823.253851461,9351,767
2018-03-21$122.89$115.0019.8%5.7%21.9%20.4%21.1%2.3%5.5%344.3K-4.6M-69.3K0.4781.643211502,0491,792
2018-03-22$119.57$115.0021.7%6.2%24.3%26.2%23.1%3.1%5.0%180.0K-1.6M-67.9K0.4818.982941412,0881,789
2018-03-23$117.81$115.0023.3%6.7%24.7%31.3%24.1%3.1%4.3%70.8K67.2K-65.7K0.4436.753221422,0911,810
2018-03-26$119.67$115.0022.9%6.6%25.1%30.3%23.9%2.6%4.7%164.2K-1.1M-66.0K0.4627.083251512,1621,825
2018-03-27$117.60$115.0023.2%6.6%25.4%30.9%24.2%3.8%4.2%73.9K239.7K-65.0K0.5173.433381712,1751,830
2018-03-28$116.95$115.0026.6%7.6%24.1%41.9%30.1%3.1%1.8%83.7K263.4K-65.6K0.4087.533891542,1751,847
2018-03-29$117.65$115.0022.9%6.6%24.1%30.3%24.1%2.8%4.7%49.6K-52.0K-64.6K0.3665.063891422,2751,878