IT Options History — December 2019

In December 2019, IT traded between $152.00 and $159.98. ATM implied volatility averaged 17.6%, placing in the 9.2% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded above realized volatility by 2.4% (HV 20d: 15.2%). Max pain ranged from $155.00 to $160.00. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 1.81.

Notable Days

  • 2019-12-19: Highest Volume — 319 contracts
  • 2019-12-10: Largest IV spike — 17.4% change
  • 2019-12-03: Highest IV Rank — 19.4%
  • 2019-12-03: Largest Expected Move — 5.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$155.77$152.00$159.98$158.13$153.89
Max Pain$156.19$155.00$160.00$155.00$155.00
ATM IV17.6%16.0%20.7%18.2%18.0%
Expected Move5.1%4.6%5.9%5.2%5.2%
HV 20d15.2%13.9%17.4%15.0%14.3%
HV 60d18.7%17.9%19.3%19.3%17.9%
IV Rank9.2%3.7%19.4%11.2%10.6%
IV Percentile13.0%1.2%34.1%15.1%19.4%
Term Structure5.6%-1.1%8.6%0.1%8.6%
VWIV17.6%15.3%19.7%18.4%18.0%
Skew 25d2.8%2.3%3.5%2.9%2.8%
Skew 10d6.0%5.1%8.1%5.5%7.6%
Call IV 25d16.8%15.3%18.6%17.6%17.3%
Put IV 25d19.6%18.0%22.0%20.5%20.0%
Bid-Ask Spread %74.9463.3682.0178.0679.99
Gamma HHI0.200.140.690.150.14
Net GEX63.7K-219.3K1.3M102.4K-27.6K
Net DEX-3.0M-6.4M112.8K-5.4M-498.4K
Net VEX-34.4K-37.7K-31.2K-33.9K-34.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.810.009.320.880.00
Total Volume86.5711319151
Total OI2,686.0951,7373,5182,8121,852

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-12-02$158.13$155.0018.2%5.2%15.0%11.2%18.4%2.9%0.1%102.4K-5.4M-33.9K0.8878.06871,3331,479
2019-12-03$157.42$155.0020.7%5.9%14.0%19.4%19.6%3.5%-1.1%22.5K-4.6M-34.9K0.3078.8037111,3321,484
2019-12-04$157.96$155.0017.6%5.1%14.0%9.3%17.8%3.0%0.5%67.9K-5.1M-33.2K0.2982.012161,3341,484
2019-12-05$158.83$155.0016.6%5.1%14.1%5.8%18.9%2.9%5.4%103.9K-5.7M-32.2K1.3663.3614191,3221,491
2019-12-06$159.98$155.0016.0%4.9%13.9%3.8%19.7%2.7%5.8%154.5K-6.4M-31.6K5.2566.424211,3241,510
2019-12-09$157.68$155.0016.7%5.0%14.8%6.3%16.9%2.4%5.7%51.3K-5.0M-31.2K2.6965.29391051,3221,527
2019-12-10$156.69$155.0019.6%5.4%14.9%15.9%17.3%2.6%5.2%-18.3K-4.1M-32.4K9.3275.69191771,3401,602
2019-12-11$157.03$160.0018.8%5.4%14.9%13.0%17.8%2.3%5.0%-68.0K-3.6M-37.7K0.1369.614661,3541,747
2019-12-12$157.64$160.0017.2%4.9%15.0%7.7%16.8%2.9%5.8%39.5K-4.5M-37.2K0.0272.694111,3981,747
2019-12-13$157.73$160.0016.2%4.6%14.3%4.5%0.0%2.8%6.2%4.9K-4.5M-35.4K0.9671.6023221,3581,748
2019-12-16$157.67$160.0016.0%4.6%14.1%3.7%15.3%2.6%6.4%35.5K-4.6M-34.1K0.1477.22125181,3641,755
2019-12-17$153.45$160.0017.7%5.1%16.9%9.5%17.7%3.1%5.7%-219.3K-1.3M-35.4K0.5072.542061031,4031,747
2019-12-18$152.00$155.0018.8%5.4%16.9%13.1%17.6%3.1%5.2%-178.7K112.8K-35.8K0.1076.54231221,4951,799
2019-12-19$154.08$155.0017.5%5.0%17.4%8.8%17.0%3.1%5.8%1.3M-2.8M-37.5K0.0177.7931721,7191,799
2019-12-20$153.18$155.0017.0%4.9%17.4%7.2%17.9%2.6%6.2%17.4K-588.1K-34.9K1.2078.82561,4861,799
2019-12-23$153.83$155.0016.8%4.8%17.4%6.6%16.7%2.5%8.1%17.9K-1.1M-33.5K8.7179.04761950787
2019-12-24$153.88$155.0017.0%4.9%16.2%7.1%0.0%2.7%8.3%-10.7K-833.6K-34.8K0.0078.4810945846
2019-12-26$153.79$155.0017.3%5.0%14.8%8.3%17.0%2.8%8.3%-11.5K-812.2K-34.6K0.0976.13222945846
2019-12-27$153.69$155.0018.0%5.2%14.5%10.4%15.8%2.5%8.1%-8.0K-731.1K-34.5K4.4077.80522962847
2019-12-30$152.60$155.0018.2%5.2%14.6%11.3%18.3%2.8%7.6%-40.1K-86.1K-33.8K1.6975.901322967859
2019-12-31$153.89$155.0018.0%5.2%14.3%10.6%18.0%2.8%8.6%-27.6K-498.4K-34.1K0.0079.9910978874