IT Options History — October 2019

In October 2019, IT traded between $139.08 and $154.09. ATM implied volatility averaged 31.9%, placing in the 53.8% IV rank vs the trailing year. The 30-day expected move averaged 9.6%. IV traded above realized volatility by 13.3% (HV 20d: 18.5%). Max pain ranged from $140.00 to $145.00. Net GEX was positive for 14 of 23 trading days. Term structure was in contango for 2 of 23 days. Put/call ratio averaged 2.62.

Notable Days

  • 2019-10-30: Highest Volume — 896 contracts
  • 2019-10-31: Largest IV drop — 56.7% change
  • 2019-10-30: Highest IV Rank — 91.9%
  • 2019-10-30: Largest Expected Move — 12.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$144.15$139.08$154.09$141.10$154.09
Max Pain$144.57$140.00$145.00$140.00$145.00
ATM IV31.9%19.1%44.0%24.0%19.1%
Expected Move9.6%5.5%12.6%6.9%5.5%
HV 20d18.5%16.5%23.7%18.7%23.7%
HV 60d39.9%18.3%48.5%47.9%20.8%
IV Rank53.8%13.9%91.9%28.9%13.9%
IV Percentile73.8%14.7%99.2%44.4%14.7%
Term Structure-5.6%-14.7%8.7%8.7%-0.1%
VWIV34.2%19.7%43.9%24.1%19.7%
Skew 25d4.2%2.3%5.5%2.9%2.3%
Skew 10d9.6%6.0%14.1%6.4%7.3%
Call IV 25d31.6%18.5%41.6%22.7%18.5%
Put IV 25d35.8%20.8%47.1%25.6%20.8%
Bid-Ask Spread %44.8821.9678.5578.5577.79
Gamma HHI0.190.130.450.140.17
Net GEX148.4K-209.4K833.2K172.2K-25.9K
Net DEX-1.9M-6.6M1.2M-1.1M-6.6M
Net VEX-47.8K-52.0K-41.9K-51.8K-41.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.620.0330.500.961.47
Total Volume131.871989692294
Total OI2,957.7392,6103,4882,8723,488

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-10-01$141.10$140.0024.0%6.9%18.7%28.9%24.1%2.9%8.7%172.2K-1.1M-51.8K0.9678.5547451,5441,328
2019-10-02$139.08$140.0025.4%7.3%18.9%33.4%25.4%3.0%7.7%92.0K517.5K-51.1K0.8777.2615131,5631,358
2019-10-03$140.44$145.0025.2%9.5%18.4%32.8%30.4%4.2%-3.9%135.9K-297.4K-50.6K0.4030.2852211,5521,364
2019-10-04$143.38$145.0021.5%9.1%19.7%21.0%0.0%4.2%-4.0%247.4K-2.7M-50.4K0.1331.90159201,5371,364
2019-10-07$142.96$145.0023.2%9.3%19.7%26.3%32.9%4.1%-4.2%218.1K-2.2M-48.9K0.7421.9638281,5261,373
2019-10-08$140.92$145.0027.3%9.8%18.6%39.3%34.3%4.1%-5.0%167.2K-528.2K-48.3K0.1832.54223411,5571,381
2019-10-09$141.88$145.0033.5%9.6%18.0%59.0%34.8%5.5%-4.6%199.7K-1.6M-52.0K0.0334.552911,6701,420
2019-10-10$143.12$145.0032.4%9.3%17.8%55.5%33.9%3.7%-4.6%304.4K-2.7M-51.1K0.4233.66130551,6631,421
2019-10-11$145.66$145.0032.3%9.3%18.4%55.1%36.2%4.6%-4.7%376.2K-4.9M-51.7K0.0939.04281261,6851,469
2019-10-14$143.90$145.0032.7%9.4%18.8%56.3%33.1%3.5%-5.3%366.7K-3.2M-49.1K5.0040.754201,6581,491
2019-10-15$145.66$145.0032.1%9.2%19.2%54.5%35.1%3.6%-5.0%401.1K-5.0M-48.3K2.3038.1710231,6581,503
2019-10-16$145.29$145.0032.9%9.4%19.2%57.0%32.1%4.3%-6.0%467.3K-4.7M-47.8K0.3642.1150181,6661,518
2019-10-17$144.85$145.0032.8%9.4%19.3%56.6%34.6%3.6%-5.9%716.1K-4.4M-47.3K0.2341.7244101,6931,534
2019-10-18$144.58$145.0033.5%9.6%17.2%58.9%34.1%4.2%-6.6%833.2K-3.9M-47.0K0.9644.1851491,6991,535
2019-10-21$145.00$145.0034.8%10.0%17.1%62.9%35.1%4.3%-7.7%-105.1K-836.8K-45.3K0.7342.941181,3171,293
2019-10-22$142.98$145.0035.9%10.3%17.9%66.4%35.5%4.2%-8.9%-146.9K283.0K-45.0K4.2443.8517721,3241,300
2019-10-23$142.45$145.0037.0%10.6%17.8%70.0%36.2%4.6%-9.4%-209.4K1.2M-45.2K1.5845.4826411,3251,357
2019-10-24$144.51$145.0036.6%10.5%18.6%68.6%38.4%4.5%-9.5%-152.2K318.3K-45.9K1.8647.287131,3451,391
2019-10-25$146.14$145.0037.1%10.6%18.0%70.2%39.1%5.0%-10.2%-136.9K-890.9K-45.6K30.5044.922611,3441,400
2019-10-28$146.01$145.0039.7%11.4%17.8%78.4%41.1%5.0%-12.1%-168.1K-482.9K-45.6K0.5049.0920101,3421,444
2019-10-29$145.05$145.0040.2%11.5%17.3%79.9%41.1%5.4%-12.4%-189.7K114.3K-44.9K4.7849.779431,3501,449
2019-10-30$146.47$145.0044.0%12.6%16.5%91.9%43.9%5.5%-14.7%-150.6K-671.0K-45.6K1.9044.393095871,3541,475
2019-10-31$154.09$145.0019.1%5.5%23.7%13.9%19.7%2.3%-0.1%-25.9K-6.6M-41.9K1.4777.791191751,5141,974