IT Options History — October 2018

In October 2018, IT traded between $139.48 and $158.70. ATM implied volatility averaged 32.9%, placing in the 61.3% IV rank vs the trailing year. The 30-day expected move averaged 9.7%. IV traded above realized volatility by 11.6% (HV 20d: 21.3%). Max pain ranged from $150.00 to $160.00. Net GEX was positive for 9 of 23 trading days. Term structure was in contango for 3 of 23 days. Put/call ratio averaged 3.52.

Notable Days

  • 2018-10-09: Highest Volume — 4,313 contracts
  • 2018-10-10: Largest IV spike — 55.1% change
  • 2018-10-29: Highest IV Rank — 100.0%
  • 2018-10-30: Largest Expected Move — 13.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$149.00$139.48$158.70$157.89$148.07
Max Pain$154.78$150.00$160.00$155.00$150.00
ATM IV32.9%20.3%46.6%21.2%40.7%
Expected Move9.7%5.8%13.3%6.1%11.7%
HV 20d21.3%15.9%30.6%17.0%30.6%
HV 60d20.5%18.4%22.3%18.5%21.8%
IV Rank61.3%21.9%100.0%24.7%82.4%
IV Percentile86.1%42.9%100.0%54.0%98.0%
Term Structure-4.9%-17.5%6.6%3.7%-10.0%
VWIV40.9%30.1%49.9%36.8%48.6%
Skew 25d3.5%-5.1%11.2%0.9%5.3%
Skew 10d8.5%-1.5%22.3%9.2%17.1%
Call IV 25d36.2%21.1%47.0%22.1%47.0%
Put IV 25d39.7%23.0%55.4%23.0%52.3%
Bid-Ask Spread %68.1951.5384.6772.6354.63
Gamma HHI0.150.130.240.240.13
Net GEX-81.4K-579.9K560.4K-52.2K57.8K
Net DEX-1.4M-14.9M8.2M-12.9M-2.7M
Net VEX-91.5K-108.5K-70.5K-78.9K-88.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.520.536.765.360.53
Total Volume2,919.6521,9124,3133,3373,313
Total OI6,322.2174,3488,3656,1916,641

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-10-01$157.89$155.0021.2%6.1%17.0%24.7%36.8%0.9%3.7%-52.2K-12.9M-78.9K5.3672.635252,8122,1234,068
2018-10-02$158.32$155.0020.9%6.0%15.9%23.9%34.7%1.5%4.8%544.1K-14.7M-74.4K5.9583.134852,8862,1792,191
2018-10-03$158.70$155.0020.3%5.8%15.9%21.9%38.8%4.1%6.6%560.4K-14.9M-70.5K6.1784.674712,9042,1812,167
2018-10-04$155.98$160.0022.1%7.9%17.2%27.4%30.1%3.8%-2.1%400.7K-11.4M-71.8K6.7651.534763,2162,1822,197
2018-10-05$154.52$160.0023.5%8.1%17.1%32.0%30.7%4.8%-2.7%97.4K-7.4M-78.3K6.2764.694863,0492,1812,513
2018-10-08$153.13$160.0025.8%8.3%17.4%39.5%31.4%-0.1%-2.5%33.5K-5.7M-77.3K4.7167.227053,3222,1952,515
2018-10-09$152.91$160.0024.7%8.7%16.2%35.7%33.7%5.1%-2.2%50.7K-4.8M-91.7K3.5868.249413,3722,4852,888
2018-10-10$147.06$160.0038.3%11.0%21.1%79.0%37.3%5.1%-11.0%-159.1K2.0M-99.2K1.3074.979441,2302,8733,225
2018-10-11$146.37$155.0034.7%9.9%20.3%67.7%40.8%1.1%-5.0%-121.0K4.2M-101.2K1.3375.348941,1913,1763,393
2018-10-12$148.46$155.0034.5%9.9%21.2%67.1%41.3%5.4%-7.7%-94.2K1.9M-100.0K1.4774.967741,1383,1733,392
2018-10-15$147.49$155.0036.3%10.4%20.6%72.8%41.0%1.4%-7.0%-178.6K2.5M-97.6K1.4771.367741,1383,1733,397
2018-10-16$151.36$155.0031.1%8.9%22.8%56.2%42.6%4.0%-4.2%22.8K-3.5M-95.6K3.0866.578792,7033,1743,397
2018-10-17$149.06$155.0033.2%9.5%23.3%63.1%43.6%-2.7%-4.3%-195.3K726.6K-100.6K1.6968.801,1611,9593,3824,025
2018-10-18$145.16$155.0032.6%9.3%23.5%61.0%42.7%8.8%-3.7%-579.9K8.2M-108.5K1.7468.411,2732,2183,6344,726
2018-10-19$146.21$155.0033.1%9.5%23.4%62.6%39.0%4.1%-4.2%-563.3K5.7M-98.8K2.6767.268312,2173,6344,731
2018-10-22$147.90$155.0034.5%9.9%23.9%67.1%47.7%-2.4%-5.4%52.2K-2.9M-101.2K2.7770.557502,0742,9844,130
2018-10-23$146.35$155.0035.6%10.2%22.5%70.6%46.0%-5.1%-4.7%-90.5K-1.3M-101.3K3.9167.095452,1302,9884,130
2018-10-24$143.79$150.0038.9%11.2%23.0%81.2%44.4%7.8%-6.5%-289.4K4.1M-97.1K4.3565.304501,9583,0594,097
2018-10-25$144.43$150.0039.6%11.4%23.2%83.4%44.5%1.2%-7.5%-186.1K3.1M-96.5K3.8662.384591,7712,9613,929
2018-10-26$142.47$150.0041.8%12.0%23.4%90.5%46.3%5.9%-6.4%-365.3K4.9M-94.5K3.7758.064811,8142,7903,851
2018-10-29$139.48$150.0046.3%13.3%24.1%100.0%49.4%9.0%-17.5%-408.5K4.9M-93.4K4.2369.914291,8162,7893,852
2018-10-30$141.78$150.0046.6%13.3%25.2%100.0%49.9%11.2%-13.3%-409.1K7.0M-87.1K4.1060.794291,7592,7913,849
2018-10-31$148.07$150.0040.7%11.7%30.6%82.4%48.6%5.3%-10.0%57.8K-2.7M-88.9K0.5354.632,1611,1522,7923,849