IT Options History — August 2018

In August 2018, IT traded between $130.40 and $149.75. ATM implied volatility averaged 19.4%, placing in the 18.9% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded below realized volatility by 3.4% (HV 20d: 22.7%). Max pain ranged from $120.00 to $150.00. Net GEX was positive for 3 of 23 trading days. Term structure was in contango for 16 of 23 days. Put/call ratio averaged 1.92.

Notable Days

  • 2018-08-29: Highest Volume — 8,301 contracts
  • 2018-08-07: Largest IV spike — 17.3% change
  • 2018-08-13: Highest IV Rank — 25.9%
  • 2018-08-20: Largest Expected Move — 6.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$142.15$130.40$149.75$130.40$149.75
Max Pain$139.57$120.00$150.00$150.00$140.00
ATM IV19.4%15.3%21.6%18.2%18.0%
Expected Move5.6%4.4%6.1%5.2%5.2%
HV 20d22.7%14.2%25.4%19.0%14.2%
HV 60d18.2%17.8%19.9%19.9%18.1%
IV Rank18.9%6.0%25.9%15.1%14.5%
IV Percentile42.5%5.2%57.1%33.3%28.6%
Term Structure1.1%-1.4%4.2%-0.1%1.6%
VWIV21.1%17.1%24.4%19.2%18.6%
Skew 25d1.7%-4.8%4.4%3.4%-4.0%
Skew 10d4.5%-4.0%10.5%5.0%-4.0%
Call IV 25d20.3%15.3%27.9%16.7%26.5%
Put IV 25d22.0%17.4%24.8%20.1%22.5%
Bid-Ask Spread %58.5419.2290.6521.8090.65
Gamma HHI0.440.190.610.190.25
Net GEX-1.3M-2.5M358.3K-217.2K-1.2M
Net DEX1.9M-13.2M15.9M6.0M-11.4M
Net VEX-107.8K-159.8K-33.5K-39.4K-147.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.920.786.681.630.91
Total Volume2,686.3911,8248,3011,8692,026
Total OI7,870.6524,10710,1964,54610,196

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-08-01$130.40$150.0018.2%5.2%19.0%15.1%19.2%3.4%-0.1%-217.2K6.0M-39.4K1.6321.807111,1582,0852,461
2018-08-02$134.42$150.0017.3%5.0%21.8%12.3%22.3%2.6%1.2%-28.6K2.0M-39.8K1.5790.217351,1561,5422,565
2018-08-03$138.02$150.0015.3%4.4%23.4%6.0%19.1%2.0%1.1%199.2K-2.1M-36.4K1.5621.937511,1731,5502,615
2018-08-06$140.02$120.0016.0%4.9%23.8%8.3%17.1%2.7%2.5%358.3K-4.3M-33.5K1.4825.177351,0891,5732,600
2018-08-07$138.72$120.0018.8%5.4%23.9%17.1%19.8%0.1%2.4%222.6K-3.2M-36.4K3.6884.257972,9351,6102,594
2018-08-08$138.20$140.0017.6%5.4%24.0%13.2%19.0%3.5%2.9%-945.2K9.5M-80.5K2.8822.338162,3471,6524,462
2018-08-09$139.55$140.0018.3%5.7%24.1%15.6%19.6%3.0%2.2%-1.4M12.5M-99.3K2.0253.901,1732,3711,6545,258
2018-08-10$140.22$140.0018.6%5.8%24.0%16.6%24.4%-4.8%2.9%-1.5M12.5M-114.1K2.3282.217441,7251,9655,853
2018-08-13$139.21$140.0021.6%5.8%24.1%25.9%23.7%4.4%4.0%-1.5M15.9M-111.9K2.3357.487421,7281,9715,900
2018-08-14$140.85$140.0020.0%6.0%24.5%20.9%22.5%3.7%0.2%-1.4M10.6M-106.8K2.4173.027461,7991,9785,890
2018-08-15$139.78$140.0020.2%5.8%24.6%21.5%22.2%3.0%2.4%-1.6M13.5M-105.8K2.4560.196971,7111,9885,892
2018-08-16$141.27$140.0019.7%5.6%24.9%19.9%20.6%2.6%2.7%-1.6M9.9M-104.7K2.5444.286961,7651,9885,878
2018-08-17$142.96$140.0019.6%5.6%25.1%19.7%20.9%1.3%4.2%-1.7M5.0M-96.9K3.1483.681,2123,8071,9805,915
2018-08-20$144.89$140.0021.3%6.1%25.4%25.2%22.5%-0.9%-1.4%-2.5M2.2M-150.9K0.9580.971,0941,0372,7076,916
2018-08-21$144.24$140.0021.0%6.0%25.0%24.2%21.7%2.1%0.2%-2.5M2.8M-159.8K0.7856.951,2891,0012,9796,916
2018-08-22$145.26$140.0021.2%6.1%24.8%24.6%22.2%1.8%-0.7%-2.2M-517.1K-157.2K0.8067.991,0578413,0266,924
2018-08-23$145.20$140.0020.9%6.0%24.8%23.8%21.6%1.4%-0.2%-2.3M-1.3M-154.5K0.8070.071,0578433,0396,923
2018-08-24$145.16$140.0020.6%5.9%23.2%22.9%22.3%1.9%0.1%-2.2M-758.6K-151.5K0.7919.221,0708433,0396,925
2018-08-27$147.20$140.0021.2%6.1%22.9%24.8%22.3%2.7%-0.3%-1.6M-6.1M-141.0K0.8049.111,0548433,0506,925
2018-08-28$148.22$140.0020.4%5.9%22.9%22.2%20.7%2.5%-1.1%-1.5M-12.2M-130.4K0.8364.421,0929013,0626,925
2018-08-29$148.72$140.0019.0%5.5%17.0%17.8%23.5%2.5%0.3%-1.3M-13.2M-128.7K6.6843.701,0817,2203,0646,983
2018-08-30$147.17$140.0020.4%5.8%15.6%22.1%20.3%0.8%-1.0%-1.8M-3.4M-153.2K0.8382.921,1559643,0676,940
2018-08-31$149.75$140.0018.0%5.2%14.2%14.5%18.6%-4.0%1.6%-1.2M-11.4M-147.0K0.9190.651,0599673,1937,003