IT Options History — April 2018

In April 2018, IT traded between $114.92 and $121.26. ATM implied volatility averaged 27.8%, placing in the 45.8% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 7.9% (HV 20d: 19.9%). Max pain ranged from $115.00 to $120.00. Net GEX was positive for 3 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 0.90.

Notable Days

  • 2018-04-03: Highest Volume — 627 contracts
  • 2018-04-03: Largest IV drop — 30.7% change
  • 2018-04-02: Highest IV Rank — 80.5%
  • 2018-04-02: Largest Expected Move — 11.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$117.74$114.92$121.26$116.01$121.26
Max Pain$119.29$115.00$120.00$115.00$120.00
ATM IV27.8%22.0%38.7%38.7%29.3%
Expected Move8.2%6.7%11.1%11.1%8.4%
HV 20d19.9%16.8%23.1%23.1%17.7%
HV 60d27.6%27.0%27.9%27.9%27.6%
IV Rank45.8%27.4%80.5%80.5%50.5%
IV Percentile84.7%60.7%98.8%98.8%91.7%
Term Structure-3.7%-10.4%4.4%-10.4%-6.7%
VWIV29.3%26.4%41.7%41.7%30.7%
Skew 25d3.9%-1.1%14.4%14.4%3.3%
Skew 10d8.8%2.8%25.1%25.1%7.5%
Call IV 25d28.4%23.9%43.0%43.0%28.4%
Put IV 25d32.3%27.7%57.4%57.4%31.7%
Bid-Ask Spread %38.4214.01103.77103.7714.01
Gamma HHI0.180.140.250.220.18
Net GEX-163.9K-337.6K100.6K100.6K-248.7K
Net DEX1.6M-491.3K5.3M196.0K-308.0K
Net VEX-60.0K-66.6K-55.5K-66.6K-58.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.900.351.470.351.20
Total Volume488.333385627572503
Total OI4,179.8573,3694,6954,1503,659

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-04-02$116.01$115.0038.7%11.1%23.1%80.5%41.7%14.4%-10.4%100.6K196.0K-66.6K0.35103.774251472,2751,875
2018-04-03$116.80$115.0026.8%7.7%21.5%42.6%28.3%-1.1%1.4%56.3K737.4K-63.1K0.4992.434222052,2861,889
2018-04-04$117.98$115.0023.3%6.7%21.5%31.3%26.4%3.8%4.4%-12.4K255.5K-62.0K0.6418.493352152,3111,970
2018-04-05$118.99$120.0022.0%8.0%20.9%27.4%28.0%3.3%-2.3%43.3K-491.3K-61.8K0.8317.392351962,3161,993
2018-04-06$116.26$120.0025.6%8.5%21.2%38.8%29.6%4.0%-2.3%-87.5K1.9M-62.2K0.9141.172121932,3232,014
2018-04-09$116.72$120.0026.1%8.5%19.8%40.5%30.0%3.6%-3.0%-88.9K1.4M-60.1K0.9718.042212152,3452,039
2018-04-10$117.52$120.0024.0%8.2%19.3%33.7%29.7%3.4%-2.7%-60.4K1.2M-61.6K0.9117.122352152,3302,116
2018-04-11$116.45$120.0029.0%8.3%19.4%49.7%30.0%3.4%-2.8%-154.4K2.6M-61.3K1.4719.982153162,3092,145
2018-04-12$117.04$120.0028.8%8.3%19.5%49.0%29.1%4.0%-3.1%-184.8K2.8M-62.2K1.3419.432132852,3092,253
2018-04-13$114.92$120.0028.5%8.2%20.3%48.1%29.4%3.9%-2.9%-290.6K5.3M-61.3K1.2221.692342852,3122,305
2018-04-16$116.93$120.0029.3%8.4%21.1%50.5%28.6%3.4%-4.2%-265.1K3.1M-60.3K1.2621.502242822,2932,305
2018-04-17$117.94$120.0026.6%7.6%21.5%42.0%27.7%3.4%-3.3%-259.9K2.0M-58.3K0.9724.582272212,2832,336
2018-04-18$118.37$120.0026.6%7.6%21.4%41.9%27.6%3.4%-3.4%-209.0K1.4M-57.3K0.7415.982531862,2822,325
2018-04-19$119.09$120.0026.1%7.5%21.3%40.3%26.7%3.1%-3.2%-92.9K868.3K-57.1K0.4356.714341862,2702,301
2018-04-20$117.67$120.0028.9%8.3%19.5%49.2%28.0%5.1%-3.9%-267.5K1.9M-60.1K0.4478.693611582,3522,343
2018-04-23$117.86$120.0026.6%7.6%18.7%41.9%26.5%3.2%-4.7%-283.2K2.1M-55.5K0.6317.662721711,2882,081
2018-04-24$117.49$120.0031.2%8.9%17.8%56.4%30.3%3.4%-5.1%-284.5K2.6M-58.0K1.0883.422052211,2802,122
2018-04-25$117.04$120.0031.1%8.9%16.8%56.1%30.1%4.4%-7.5%-337.6K3.3M-57.5K0.7278.672241611,2882,165
2018-04-26$119.06$120.0027.7%7.9%17.7%45.4%28.5%3.4%-4.9%-272.1K1.4M-57.3K0.9724.192232171,2972,161
2018-04-27$121.17$120.0027.8%8.0%18.6%45.8%28.6%3.6%-5.9%-241.6K-455.2K-58.6K1.2721.822232841,3182,313
2018-04-30$121.26$120.0029.3%8.4%17.7%50.5%30.7%3.3%-6.7%-248.7K-308.0K-58.0K1.2014.012292741,3182,341