IT Options History — July 2018

In July 2018, IT traded between $132.99 and $140.93. ATM implied volatility averaged 24.9%, placing in the 36.4% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 9.6% (HV 20d: 15.3%). Max pain ranged from $135.00 to $150.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 2.47.

Notable Days

  • 2018-07-11: Highest Volume — 1,839 contracts
  • 2018-07-11: Largest IV spike — 49.5% change
  • 2018-07-31: Highest IV Rank — 58.2%
  • 2018-07-31: Largest Expected Move — 9.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$138.24$132.99$140.93$132.99$135.26
Max Pain$148.57$135.00$150.00$135.00$150.00
ATM IV24.9%17.6%31.7%21.1%31.7%
Expected Move7.5%5.2%9.1%6.0%9.1%
HV 20d15.3%13.1%16.0%14.4%14.7%
HV 60d18.3%17.8%18.9%18.7%18.3%
IV Rank36.4%13.1%58.2%24.3%58.2%
IV Percentile70.8%29.0%94.4%53.6%94.4%
Term Structure-3.0%-7.9%7.2%4.7%-7.9%
VWIV24.4%17.7%35.6%25.3%35.6%
Skew 25d4.3%-0.3%5.3%-0.3%5.3%
Skew 10d9.5%5.6%12.3%5.7%12.1%
Call IV 25d24.7%17.0%29.9%24.2%29.9%
Put IV 25d29.0%20.1%35.2%23.9%35.2%
Bid-Ask Spread %37.4217.2583.2383.2322.58
Gamma HHI0.260.180.430.180.23
Net GEX160.1K4.7K414.7K4.7K86.5K
Net DEX-815.8K-6.2M7.8M7.8M475.9K
Net VEX-55.1K-68.6K-45.7K-62.6K-46.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.471.194.501.283.07
Total Volume1,625.7141,3291,8391,7561,355
Total OI4,734.4764,1765,2835,1184,504

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-07-02$132.99$135.0021.1%6.0%14.4%24.3%25.3%-0.3%4.7%4.7K7.8M-62.6K1.2883.237699872,3192,799
2018-07-03$134.88$135.0018.1%5.2%15.3%14.7%19.3%3.2%7.2%39.2K6.1M-63.3K1.2453.537899782,3192,799
2018-07-05$136.26$150.0020.6%7.4%14.8%22.8%23.4%4.8%-2.4%92.3K4.5M-67.1K1.2426.167929812,3282,802
2018-07-06$138.00$150.0018.5%7.2%15.5%16.1%23.4%4.2%-2.9%148.4K1.9M-68.6K1.2117.708119812,3542,814
2018-07-09$139.07$150.0018.8%6.9%15.7%17.0%23.0%3.8%-1.5%185.3K470.4K-62.7K1.1965.288249782,3632,814
2018-07-10$140.02$150.0017.6%7.5%15.8%13.1%24.2%4.8%-3.3%160.5K-846.0K-67.0K1.1922.438359942,3352,830
2018-07-11$139.97$150.0026.3%7.5%15.7%40.8%24.5%4.9%-3.3%137.3K90.7K-67.1K1.2317.608231,0162,3442,841
2018-07-12$140.93$150.0026.5%7.6%15.7%41.6%24.6%5.1%-3.8%164.6K-2.1M-64.4K1.5220.807121,0822,3412,847
2018-07-13$139.78$150.0026.6%7.6%16.0%41.8%24.7%4.7%-4.1%161.3K-496.7K-62.0K1.5217.257121,0832,3432,940
2018-07-16$139.68$150.0027.1%7.8%15.9%43.4%26.2%4.6%-3.8%141.1K-4.2M-49.3K2.9626.523951,1681,8432,442
2018-07-17$140.23$150.0027.2%7.8%15.9%44.0%25.9%5.0%-4.3%272.3K-6.2M-50.5K2.9725.613931,1682,0152,537
2018-07-18$140.19$150.0025.6%7.3%15.8%38.8%19.6%4.4%-2.5%323.4K-5.7M-48.7K3.0441.333821,1612,0172,544
2018-07-19$139.76$150.0027.0%7.7%15.8%43.1%26.3%5.0%-4.8%414.7K-5.4M-47.5K3.2123.303641,1702,0172,545
2018-07-20$138.92$150.0025.2%7.2%15.6%37.4%20.2%4.0%-2.9%213.1K-3.5M-46.4K3.5260.073571,2572,0472,560
2018-07-23$139.46$150.0025.6%7.3%15.6%38.8%20.5%4.8%-3.2%182.9K-3.4M-46.2K3.2839.913451,1321,8722,304
2018-07-24$137.73$150.0026.7%7.6%15.0%42.2%27.5%5.0%-4.2%142.6K-655.9K-50.8K2.6233.213941,0321,8732,304
2018-07-25$139.38$150.0026.7%7.7%15.4%42.3%17.7%4.9%-4.6%191.7K-3.4M-45.9K4.0742.802621,0671,9162,348
2018-07-26$139.28$150.0027.1%7.8%13.1%43.6%20.3%3.3%-4.3%194.9K-3.4M-45.7K4.5063.212621,1801,9412,366
2018-07-27$136.32$150.0028.4%8.1%14.2%47.6%29.5%4.5%-4.8%43.7K201.8K-45.8K3.3340.313661,2201,9412,481
2018-07-30$134.90$150.0030.0%8.6%14.7%52.9%31.9%4.5%-5.9%60.7K708.2K-48.5K3.6043.003401,2232,0452,430
2018-07-31$135.26$150.0031.7%9.1%14.7%58.2%35.6%5.3%-7.9%86.5K475.9K-46.5K3.0722.583331,0222,0712,433