IT Options History — August 2019

In August 2019, IT traded between $126.61 and $138.01. ATM implied volatility averaged 27.8%, placing in the 40.7% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded below realized volatility by 40.9% (HV 20d: 68.7%). Max pain ranged from $135.00 to $145.00. Net GEX was positive for 12 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 0.45.

Notable Days

  • 2019-08-01: Highest Volume — 2,065 contracts
  • 2019-08-05: Largest IV spike — 31.1% change
  • 2019-08-05: Highest IV Rank — 72.0%
  • 2019-08-01: Largest Expected Move — 9.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$130.83$126.61$138.01$138.01$133.51
Max Pain$137.73$135.00$145.00$145.00$135.00
ATM IV27.8%22.7%37.7%31.4%23.7%
Expected Move7.6%6.5%9.0%9.0%6.8%
HV 20d68.7%27.4%78.9%75.9%27.4%
HV 60d47.3%46.0%47.7%46.0%47.5%
IV Rank40.7%24.8%72.0%52.2%28.1%
IV Percentile62.9%44.4%94.0%78.2%44.4%
Term Structure-0.5%-6.4%1.9%-6.4%-0.2%
VWIV26.4%23.2%31.5%31.5%24.7%
Skew 25d3.1%2.4%4.0%2.7%3.0%
Skew 10d6.9%5.6%7.9%6.4%7.3%
Call IV 25d25.5%22.3%31.2%31.2%23.1%
Put IV 25d28.6%25.3%33.9%33.9%26.1%
Bid-Ask Spread %61.3144.3878.2375.9475.38
Gamma HHI0.200.140.280.190.28
Net GEX4.6K-256.4K322.6K-86.3K322.6K
Net DEX9.9M1.7M16.9M9.8M1.7M
Net VEX-62.6K-69.1K-54.1K-68.8K-64.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.450.001.440.490.24
Total Volume337.091472,0652,065198
Total OI7,116.54,4989,3667,7645,145

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-08-01$138.01$145.0031.4%9.0%75.9%52.2%31.5%2.7%-6.4%-86.3K9.8M-68.8K0.4975.941,3826835,4262,338
2019-08-02$134.97$145.0028.7%8.2%75.7%43.9%29.2%2.4%-4.3%57.1K11.7M-69.1K0.9478.234524256,0332,313
2019-08-05$128.08$140.0037.7%8.3%77.1%72.0%31.0%4.0%-0.7%-49.7K15.9M-54.1K1.1347.302923316,2972,123
2019-08-06$128.45$140.0031.4%7.7%77.1%52.2%28.6%3.1%0.5%-111.0K16.5M-58.9K1.4448.092783996,4072,373
2019-08-07$129.84$140.0032.0%7.9%77.3%54.2%28.4%3.3%0.3%-79.0K15.0M-65.9K0.4644.38169776,5192,610
2019-08-08$132.57$140.0026.3%7.1%78.0%36.1%24.2%2.9%1.6%64.3K11.4M-68.8K0.1352.80453616,5612,601
2019-08-09$130.95$140.0025.4%7.1%77.8%33.3%24.3%3.0%1.5%-112.5K13.8M-64.9K0.1554.79211316,5662,619
2019-08-12$128.46$140.0032.0%7.8%77.5%54.2%27.1%3.4%0.4%-195.4K15.7M-60.7K0.2155.58101216,6292,599
2019-08-13$128.53$140.0029.2%7.3%77.7%45.4%24.8%3.3%1.2%-199.8K15.8M-58.5K0.0460.51283106,7062,594
2019-08-14$127.43$140.0029.7%8.5%77.6%46.8%28.4%3.1%-0.9%-228.4K16.4M-58.7K0.1257.49181216,6562,592
2019-08-15$126.61$135.0028.8%8.2%77.5%43.9%28.7%3.6%-0.2%-256.4K16.9M-55.9K0.6349.7764406,7842,582
2019-08-16$129.42$135.0025.4%7.3%78.5%33.2%25.3%3.1%1.9%245.8K14.1M-58.4K0.6856.4560416,8242,541
2019-08-19$131.57$135.0024.2%6.9%78.8%29.7%23.6%2.9%0.0%-88.9K5.6M-59.9K0.1564.54148222,6151,883
2019-08-20$132.40$135.0024.5%7.0%78.8%30.3%23.6%2.6%0.0%31.3K4.1M-62.9K0.2666.66172442,7181,889
2019-08-21$132.77$135.0022.7%6.5%78.8%24.8%23.2%3.0%0.5%27.6K4.2M-62.7K0.0466.5524192,7661,931
2019-08-22$132.78$135.0023.9%6.8%78.9%28.5%24.2%3.0%-0.4%151.9K3.0M-67.6K0.0866.19172132,9421,933
2019-08-23$129.77$135.0026.4%7.6%78.3%36.6%26.1%3.2%-0.9%79.2K5.9M-64.0K0.0063.747903,0801,932
2019-08-26$129.02$135.0027.0%7.8%78.2%38.5%26.6%3.6%-1.5%66.3K6.5M-60.6K1.2770.2222283,1121,934
2019-08-27$130.51$135.0027.4%7.9%28.4%39.7%27.1%3.1%-1.6%113.4K5.3M-64.3K0.4564.0956253,1261,985
2019-08-28$130.78$135.0027.1%7.8%28.0%38.6%25.6%2.7%-1.2%163.2K4.7M-64.6K0.4264.1633143,1552,000
2019-08-29$131.90$135.0025.6%7.4%28.0%34.1%24.8%3.2%-0.7%184.9K4.0M-64.0K0.6866.0044303,1271,997
2019-08-30$133.51$135.0023.7%6.8%27.4%28.1%24.7%3.0%-0.2%322.6K1.7M-64.8K0.2475.38160383,1651,980