IT Options History — January 2019

In January 2019, IT traded between $123.72 and $135.49. ATM implied volatility averaged 35.4%, placing in the 64.8% IV rank vs the trailing year. The 30-day expected move averaged 10.2%. IV traded above realized volatility by 10.8% (HV 20d: 24.7%). Max pain ranged from $125.00 to $135.00. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 7.84.

Notable Days

  • 2019-01-25: Highest Volume — 623 contracts
  • 2019-01-09: Largest IV spike — 12.1% change
  • 2019-01-29: Highest IV Rank — 80.7%
  • 2019-01-29: Largest Expected Move — 11.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$129.25$123.72$135.49$125.52$135.49
Max Pain$128.81$125.00$135.00$130.00$135.00
ATM IV35.4%31.5%40.5%35.3%40.1%
Expected Move10.2%8.6%11.6%10.1%8.6%
HV 20d24.7%15.5%30.5%27.3%15.5%
HV 60d27.3%23.7%29.2%28.7%23.9%
IV Rank64.8%52.7%80.7%65.9%79.4%
IV Percentile91.5%83.7%97.6%92.9%96.8%
Term Structure-4.4%-9.5%2.3%2.3%-3.5%
VWIV37.0%31.2%43.4%35.6%31.2%
Skew 25d5.2%3.4%7.9%4.2%4.8%
Skew 10d11.7%4.6%28.4%28.4%11.1%
Call IV 25d33.3%27.7%36.8%34.8%27.7%
Put IV 25d38.5%32.5%42.9%39.0%32.5%
Bid-Ask Spread %52.9739.3279.8779.8754.13
Gamma HHI0.360.180.920.320.24
Net GEX665.6K-516.1K8.9M604.0K-450.9K
Net DEX3.7M1.3M5.7M1.4M3.5M
Net VEX-37.4K-41.1K-34.0K-38.0K-38.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio7.840.2436.640.754.45
Total Volume366.3332162321529
Total OI3,835.5242,7114,9713,6253,629

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-01-02$125.52$130.0035.3%10.1%27.3%65.9%35.6%4.2%2.3%604.0K1.4M-38.0K0.7579.871292,673952
2019-01-03$123.72$125.0035.0%10.6%27.0%65.1%37.0%4.8%-2.8%431.1K3.1M-34.0K4.6966.2813612,667958
2019-01-04$126.38$125.0033.1%10.5%29.1%59.5%36.8%4.8%-3.5%608.5K1.8M-36.3K0.2457.27248602,668989
2019-01-07$126.79$125.0035.4%10.7%29.3%66.2%43.4%7.9%-3.4%658.9K1.3M-36.2K36.6460.95114032,483989
2019-01-08$128.68$125.0031.5%10.2%30.1%52.7%39.3%3.4%-3.1%582.7K1.7M-38.4K11.9757.71354192,4891,383
2019-01-09$126.87$125.0035.3%10.1%30.2%64.4%39.3%5.1%-2.4%567.5K3.2M-37.0K8.1866.20514172,5131,395
2019-01-10$128.12$125.0034.4%9.9%30.5%61.0%36.1%5.2%-3.5%637.9K2.2M-34.9K8.6139.32645512,5351,366
2019-01-11$129.07$130.0033.3%9.6%30.4%57.7%35.1%5.1%-3.2%687.5K2.9M-41.1K5.0641.36964862,5441,797
2019-01-14$127.44$130.0034.9%10.0%30.5%62.8%33.7%5.0%-3.4%469.7K5.4M-38.0K17.0040.693512,5672,048
2019-01-15$128.98$130.0033.3%9.5%28.9%57.5%35.4%5.0%-3.3%812.5K3.9M-38.5K2.2842.1225572,5702,098
2019-01-16$129.19$130.0033.1%9.5%24.8%57.0%34.2%5.0%-4.0%1.1M3.5M-37.4K6.3049.71543402,5862,092
2019-01-17$129.26$130.0033.0%9.5%24.8%56.7%33.6%5.1%-4.2%1.6M3.5M-37.5K6.2752.09623892,6062,285
2019-01-18$129.75$130.0032.7%9.4%24.0%55.6%42.3%4.9%-3.8%8.9M4.6M-36.5K5.2643.44623262,6192,352
2019-01-22$129.37$130.0035.5%10.2%23.5%64.7%37.0%5.3%-5.4%-450.2K5.7M-35.2K1.2946.66971255262,185
2019-01-23$129.94$130.0035.9%10.3%23.1%65.9%37.6%5.3%-5.3%-447.2K5.4M-37.0K6.7846.25775225872,263
2019-01-24$130.32$130.0036.0%10.3%20.6%66.2%36.0%5.2%-5.4%-453.0K5.3M-37.9K7.5651.95685146162,678
2019-01-25$131.83$130.0036.7%10.5%18.5%68.4%36.9%5.4%-6.7%-441.3K4.5M-37.2K7.5353.61735506212,699
2019-01-28$132.09$130.0039.6%11.4%16.6%77.9%38.2%5.7%-8.4%-417.1K4.3M-36.4K9.3656.61252346522,695
2019-01-29$131.86$130.0040.5%11.6%16.7%80.7%39.0%5.9%-9.5%-516.1K5.4M-39.9K8.0054.76302406742,902
2019-01-30$133.66$130.0038.9%11.2%16.5%75.6%39.4%6.0%-9.1%-469.3K4.4M-39.4K6.4151.39412636822,913
2019-01-31$135.49$135.0040.1%8.6%15.5%79.4%31.2%4.8%-3.5%-450.9K3.5M-38.9K4.4554.13974326872,942