IT Options History — November 2018

In November 2018, IT traded between $140.68 and $153.99. ATM implied volatility averaged 27.9%, placing in the 43.7% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded below realized volatility by 2.8% (HV 20d: 30.7%). Max pain ranged from $145.00 to $150.00. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 2.49.

Notable Days

  • 2018-11-01: Highest Volume — 2,611 contracts
  • 2018-11-12: Largest IV spike — 34.3% change
  • 2018-11-13: Highest IV Rank — 60.5%
  • 2018-11-01: Largest Expected Move — 8.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$146.22$140.68$153.99$141.79$153.57
Max Pain$145.48$145.00$150.00$150.00$145.00
ATM IV27.9%24.2%33.5%29.6%25.0%
Expected Move7.6%6.7%8.5%8.5%7.2%
HV 20d30.7%21.1%33.6%33.4%21.1%
HV 60d24.2%23.5%25.1%23.6%25.1%
IV Rank43.7%32.5%60.5%48.8%35.0%
IV Percentile78.2%62.7%92.9%86.9%62.7%
Term Structure-0.6%-3.1%2.7%-2.2%-1.8%
VWIV32.0%28.8%37.9%37.6%30.3%
Skew 25d4.3%1.9%6.3%6.3%4.2%
Skew 10d9.4%4.7%14.3%14.3%8.5%
Call IV 25d25.2%23.2%27.4%27.4%24.3%
Put IV 25d29.5%25.9%33.8%33.8%28.5%
Bid-Ask Spread %61.7431.7777.7970.1174.86
Gamma HHI0.180.140.200.150.20
Net GEX-86.9K-1.0M603.9K-648.3K603.9K
Net DEX-990.7K-11.2M9.7M7.3M-11.0M
Net VEX-56.7K-76.0K-45.2K-76.0K-46.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.490.664.340.752.27
Total Volume1,4221,0592,6112,6111,404
Total OI6,151.5713,6907,9807,5994,032

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-11-01$141.79$150.0029.6%8.5%33.4%48.8%37.6%6.3%-2.2%-648.3K7.3M-76.0K0.7570.111,4881,1233,6653,934
2018-11-02$141.82$150.0029.6%8.5%33.4%48.7%33.2%6.2%-2.0%-722.7K7.1M-71.9K0.6672.931,4879753,6893,938
2018-11-05$140.68$145.0032.2%7.6%33.4%56.5%30.7%3.5%0.3%-1.0M9.7M-68.0K1.6250.135128293,7014,105
2018-11-06$141.55$145.0031.0%7.5%33.6%53.0%29.5%3.7%1.1%-1.0M8.3M-66.5K1.7243.605128803,7394,105
2018-11-07$145.53$145.0025.7%7.0%32.6%36.9%29.6%3.5%1.1%-614.0K1.5M-64.8K1.8364.824898953,7394,156
2018-11-08$146.47$145.0028.2%6.9%32.7%44.5%32.3%3.1%1.9%239.2K-2.1M-67.1K1.9376.634448573,7734,172
2018-11-09$147.78$145.0024.2%6.7%32.4%32.5%28.8%1.9%2.7%364.8K-4.1M-63.0K2.5865.223719593,7724,184
2018-11-12$146.11$145.0032.5%7.3%32.6%57.6%30.8%4.4%1.0%-50.9K-1.3M-58.8K2.5360.373819653,7734,162
2018-11-13$145.07$145.0033.5%7.3%31.1%60.5%29.8%3.4%1.5%-405.3K791.0K-56.0K1.9346.384999623,7734,178
2018-11-14$143.19$145.0026.2%7.5%31.0%38.7%30.6%3.9%0.8%-820.9K3.4M-54.2K1.8931.775029483,8014,179
2018-11-15$145.51$145.0025.7%7.4%30.2%37.0%30.3%4.4%1.4%-388.8K-925.3K-54.0K1.7658.094818473,8084,159
2018-11-16$147.36$145.0025.9%7.4%30.5%37.7%29.9%3.7%-0.1%298.9K-4.4M-51.5K1.9055.194438433,8104,160
2018-11-19$145.16$145.0026.0%7.5%30.6%37.9%32.2%5.0%-2.8%181.7K-1.4M-50.8K3.2034.742528071,6852,005
2018-11-20$144.34$145.0028.3%8.1%30.5%44.9%34.3%5.8%-1.0%124.9K-1.0M-50.5K3.2066.092578221,6872,004
2018-11-21$146.14$145.0027.8%8.0%30.1%43.3%34.4%5.6%-3.1%218.5K-2.3M-50.8K3.9068.842469591,6882,031
2018-11-23$146.13$145.0027.9%8.0%30.1%43.6%37.9%5.4%-1.8%172.9K-2.3M-51.0K4.0477.792469931,6912,140
2018-11-26$147.20$145.0028.4%8.1%29.7%45.2%31.8%4.2%-2.6%231.0K-3.3M-49.0K3.7065.792841,0511,6912,176
2018-11-27$147.80$145.0027.3%7.8%28.5%41.9%32.2%4.4%-2.6%276.3K-3.7M-49.7K4.3465.402421,0511,7272,226
2018-11-28$153.43$145.0025.6%7.3%30.7%36.7%33.6%3.0%-1.6%564.9K-9.8M-45.2K4.2771.072199361,7292,226
2018-11-29$153.99$145.0025.8%7.4%26.9%37.4%31.9%4.5%-2.1%580.4K-11.2M-45.7K2.2876.744279741,7472,223
2018-11-30$153.57$145.0025.0%7.2%21.1%35.0%30.3%4.2%-1.8%603.9K-11.0M-46.7K2.2774.864309741,7902,242