IT Options History — May 2018

In May 2018, IT traded between $120.68 and $135.63. ATM implied volatility averaged 22.3%, placing in the 28.3% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 0.4% (HV 20d: 21.9%). Max pain ranged from $120.00 to $130.00. Net GEX was positive for 8 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 1.18.

Notable Days

  • 2018-05-08: Highest Volume — 1,092 contracts
  • 2018-05-08: Largest IV drop — 46.3% change
  • 2018-05-07: Highest IV Rank — 71.1%
  • 2018-05-02: Largest Expected Move — 9.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$130.42$120.68$135.63$122.10$132.00
Max Pain$123.86$120.00$130.00$120.00$130.00
ATM IV22.3%17.7%35.8%32.1%19.9%
Expected Move6.0%5.1%9.4%9.2%5.7%
HV 20d21.9%16.2%24.2%17.7%23.2%
HV 60d22.9%20.9%27.4%27.4%21.0%
IV Rank28.3%13.5%71.1%59.4%20.7%
IV Percentile60.0%42.5%97.6%96.0%52.4%
Term Structure-0.3%-8.1%3.1%-8.1%-1.1%
VWIV24.3%19.4%41.5%32.6%27.8%
Skew 25d2.7%-5.0%4.5%4.0%3.2%
Skew 10d6.7%-4.5%10.1%0.9%7.8%
Call IV 25d20.7%16.9%41.3%31.2%18.4%
Put IV 25d23.4%19.7%36.3%35.2%21.6%
Bid-Ask Spread %44.5912.5096.0988.9517.03
Gamma HHI0.200.160.330.170.19
Net GEX-42.4K-278.6K286.0K-246.1K-40.6K
Net DEX-7.7M-14.9M151.1K-907.8K-6.9M
Net VEX-54.7K-61.7K-42.9K-58.0K-56.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.180.642.041.261.47
Total Volume814.8645151,092515895
Total OI4,537.2273,6735,2743,6734,665

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-05-01$122.10$120.0032.1%9.2%17.7%59.4%32.6%4.0%-8.1%-246.1K-907.8K-58.0K1.2688.952282871,3212,352
2018-05-02$120.68$120.0032.6%9.4%18.1%61.2%41.5%-5.0%-7.7%-271.5K151.1K-58.3K1.4096.092533541,3282,378
2018-05-03$121.28$120.0032.0%7.0%18.0%59.2%26.2%2.5%-1.9%-238.8K-271.3K-57.4K1.4875.612874261,3542,329
2018-05-04$123.13$120.0031.6%6.3%16.2%57.8%24.5%2.9%-0.2%-214.3K-2.1M-55.9K2.0423.302044161,3782,394
2018-05-07$123.69$120.0035.8%6.8%16.2%71.1%26.2%3.1%-1.7%-278.6K-1.9M-56.1K1.2520.924045061,3852,556
2018-05-08$130.06$120.0019.2%5.2%23.3%18.4%21.1%3.6%2.7%-81.4K-8.7M-50.7K1.8736.183807121,4752,754
2018-05-09$133.59$120.0019.3%5.5%23.9%18.5%24.5%2.6%0.9%84.1K-12.3M-46.8K1.7587.213506111,6252,950
2018-05-10$134.11$120.0017.7%5.1%23.9%13.5%21.4%2.5%2.4%109.4K-13.1M-46.2K1.2916.933604651,6643,010
2018-05-11$134.95$120.0019.0%5.4%22.0%17.6%24.7%2.7%0.9%209.9K-13.9M-43.5K1.2489.283153921,6883,028
2018-05-14$134.96$120.0017.8%5.1%21.9%13.9%20.6%2.8%2.7%210.2K-13.9M-42.9K1.1412.503804321,7023,079
2018-05-15$134.91$120.0018.4%5.3%22.1%15.7%19.4%2.8%2.7%191.7K-13.0M-55.5K1.0914.504394771,8393,248
2018-05-16$135.63$125.0018.7%5.4%22.0%16.7%20.0%2.9%2.2%286.0K-14.9M-52.8K1.0042.854414431,9183,274
2018-05-17$133.17$125.0018.4%5.3%23.8%15.7%20.9%2.2%2.6%93.5K-11.4M-56.8K0.8039.054293431,9203,312
2018-05-18$134.26$125.0018.3%5.2%22.9%15.5%19.9%3.0%3.1%6.8K-12.4M-55.5K0.7513.414393311,9503,324
2018-05-21$132.16$125.0019.9%5.7%24.2%20.5%24.4%3.1%-0.9%-28.5K-7.8M-57.1K0.6471.384703021,6322,823
2018-05-22$131.55$125.0020.1%5.8%24.2%21.2%22.0%2.7%-2.1%-89.1K-6.7M-56.0K0.8546.564183561,6222,880
2018-05-23$131.44$130.0019.2%5.5%24.1%18.3%23.9%2.6%0.0%-139.0K-5.7M-58.9K0.8223.904683861,6322,938
2018-05-24$131.47$130.0019.5%5.6%23.8%19.3%23.1%2.6%-0.3%-124.2K-5.9M-60.9K0.8243.174713871,6933,047
2018-05-25$130.72$130.0018.5%5.3%23.6%16.0%22.4%2.9%0.9%-195.5K-4.9M-61.7K0.8068.415074081,7033,047
2018-05-29$130.87$130.0021.6%6.2%23.6%25.9%23.1%4.5%-1.6%-137.8K-5.3M-59.0K0.9025.973903511,7433,058
2018-05-30$132.45$130.0022.1%6.3%23.7%27.5%24.8%4.5%-2.3%-39.3K-7.3M-56.7K1.2727.784475671,7413,060
2018-05-31$132.00$130.0019.9%5.7%23.2%20.7%27.8%3.2%-1.1%-40.6K-6.9M-56.1K1.4717.033625331,7242,941