IT Options History — July 2019

In July 2019, IT traded between $138.34 and $170.96. ATM implied volatility averaged 24.0%, placing in the 28.8% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded above realized volatility by 4.8% (HV 20d: 19.2%). Max pain ranged from $150.00 to $170.00. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 1.51.

Notable Days

  • 2019-07-30: Highest Volume — 2,686 contracts
  • 2019-07-10: Largest IV spike — 67.0% change
  • 2019-07-29: Highest IV Rank — 56.8%
  • 2019-07-29: Largest Expected Move — 9.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$165.59$138.34$170.96$163.21$139.93
Max Pain$165.45$150.00$170.00$160.00$150.00
ATM IV24.0%14.8%32.9%16.7%27.3%
Expected Move7.3%4.6%9.4%4.8%7.8%
HV 20d19.2%11.8%76.4%14.3%76.4%
HV 60d20.9%18.1%46.9%18.1%46.9%
IV Rank28.8%0.0%56.8%4.3%39.4%
IV Percentile47.1%0.0%81.3%1.2%65.1%
Term Structure-2.7%-9.4%9.0%7.6%-4.3%
VWIV25.8%17.1%31.5%17.1%27.5%
Skew 25d3.8%2.3%4.9%3.1%2.7%
Skew 10d8.8%5.0%12.6%7.2%5.0%
Call IV 25d23.9%14.3%30.4%16.1%26.8%
Put IV 25d27.6%17.2%35.3%19.2%29.5%
Bid-Ask Spread %51.7535.5681.2081.2078.13
Gamma HHI0.220.140.350.170.16
Net GEX188.7K-282.7K1.3M-66.5K91.0K
Net DEX-9.6M-17.6M12.9M-6.8M7.4M
Net VEX-41.9K-63.6K-28.4K-49.9K-52.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.510.046.910.830.77
Total Volume579.955112,686112,168
Total OI3,666.1362,1457,2663,3807,266

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-07-01$163.21$160.0016.7%4.8%14.3%4.3%17.1%3.1%7.6%-66.5K-6.8M-49.9K0.8381.20651,2542,126
2019-07-02$164.51$160.0016.0%4.6%14.2%2.0%20.0%2.4%9.0%46.3K-9.3M-45.0K6.9172.30432971,2562,121
2019-07-03$167.38$160.0016.4%4.7%13.9%3.3%20.7%2.9%8.9%71.3K-11.9M-43.2K6.6271.81452981,2882,267
2019-07-05$168.59$160.0014.9%7.1%13.9%0.0%26.2%3.8%-2.6%90.5K-13.3M-38.0K1.1635.561732011,2562,268
2019-07-08$167.36$160.0017.6%7.6%13.3%8.8%25.8%4.1%-3.6%123.8K-12.9M-39.3K0.3436.75283951,3242,269
2019-07-09$167.59$165.0014.8%7.2%13.1%0.0%25.8%4.0%-2.8%126.6K-13.5M-44.2K0.3438.333051041,4172,354
2019-07-10$168.57$165.0024.8%7.1%11.9%31.3%25.2%3.8%-3.0%236.3K-15.0M-41.7K0.1543.32274421,4602,354
2019-07-11$169.34$165.0024.9%7.1%11.9%31.6%25.3%3.8%-3.0%261.6K-16.1M-39.5K0.0543.05274141,4632,354
2019-07-12$169.85$165.0024.6%7.1%11.9%30.8%25.3%3.8%-3.0%311.4K-16.9M-37.2K0.1545.46282411,4752,355
2019-07-15$170.96$165.0025.6%7.3%11.8%34.1%25.6%4.0%-3.7%293.2K-17.6M-36.5K0.8246.091191,4852,391
2019-07-16$169.01$165.0025.8%7.4%13.0%34.5%25.8%3.9%-4.0%329.4K-16.4M-34.8K3.5848.6324861,4832,400
2019-07-17$168.54$170.0025.9%7.4%13.2%35.0%25.9%4.0%-3.9%233.9K-15.2M-39.4K1.2845.9467861,4892,477
2019-07-18$168.55$170.0025.8%7.4%13.2%34.7%25.8%3.9%-3.9%303.1K-15.3M-38.7K3.4448.0625861,5232,477
2019-07-19$166.10$170.0026.8%7.7%14.5%37.8%25.8%4.2%-4.1%178.9K-13.3M-38.5K0.9845.4043421,5222,477
2019-07-22$167.62$170.0027.2%7.8%14.7%39.0%27.5%4.4%-4.9%12.6K-3.3M-38.0K4.2548.724177971,348
2019-07-23$169.03$170.0027.9%8.0%14.9%41.1%27.8%4.4%-6.0%27.2K-4.1M-37.0K0.2550.51256647971,357
2019-07-24$168.99$170.0027.9%8.0%14.7%41.1%27.9%4.1%-5.9%113.5K-5.3M-46.4K0.2749.89256691,0201,362
2019-07-25$168.05$170.0028.3%8.1%13.5%42.5%28.5%4.2%-6.1%122.5K-5.0M-43.6K0.2751.82271731,0201,367
2019-07-26$170.75$170.0029.1%8.4%14.3%45.1%27.5%4.4%-6.9%180.2K-6.6M-45.8K0.0450.071,624581,0581,370
2019-07-29$170.60$170.0032.9%9.4%14.4%56.8%31.5%4.9%-9.4%1.3M-13.5M-63.6K0.2549.451,5613912,4291,369
2019-07-30$138.34$170.0027.6%7.9%76.3%40.3%28.0%2.3%-4.4%-282.7K12.9M-28.4K0.4858.061,8128744,0701,640
2019-07-31$139.93$150.0027.3%7.8%76.4%39.4%27.5%2.7%-4.3%91.0K7.4M-52.0K0.7778.131,2259435,2951,971