IT Options History — January 2020

In January 2020, IT traded between $155.61 and $163.12. ATM implied volatility averaged 26.2%, placing in the 37.6% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded above realized volatility by 11.3% (HV 20d: 14.9%). Max pain ranged from $155.00 to $160.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 1.34.

Notable Days

  • 2020-01-21: Highest Volume — 170 contracts
  • 2020-01-15: Largest IV spike — 59.6% change
  • 2020-01-31: Highest IV Rank — 74.9%
  • 2020-01-31: Largest Expected Move — 10.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$159.94$155.61$163.12$155.61$160.69
Max Pain$158.57$155.00$160.00$155.00$160.00
ATM IV26.2%16.4%37.5%18.1%37.5%
Expected Move8.4%5.2%10.8%5.2%10.8%
HV 20d14.9%13.1%17.7%14.9%14.1%
HV 60d17.3%14.2%18.2%18.0%14.2%
IV Rank37.6%5.0%74.9%10.9%74.9%
IV Percentile59.1%3.2%96.8%20.6%96.8%
Term Structure-3.9%-8.9%8.8%8.8%-8.9%
VWIV29.0%18.4%36.5%18.4%36.5%
Skew 25d4.6%2.7%6.2%2.7%6.2%
Skew 10d10.5%7.2%13.8%10.1%13.8%
Call IV 25d27.3%16.9%34.5%16.9%34.5%
Put IV 25d31.9%19.6%40.7%19.6%40.7%
Bid-Ask Spread %47.9829.5974.3074.3052.00
Gamma HHI0.200.150.260.150.22
Net GEX115.2K2.6K172.5K2.6K91.4K
Net DEX-3.7M-5.0M-1.6M-1.6M-3.1M
Net VEX-31.8K-35.0K-27.0K-33.5K-34.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.340.0010.000.160.00
Total Volume51.09551704423
Total OI1,915.6191,6052,1131,8522,082

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-01-02$155.61$155.0018.1%5.2%14.9%10.9%18.4%2.7%8.8%2.6K-1.6M-33.5K0.1674.30386978874
2020-01-03$156.10$155.0019.7%5.6%14.9%16.1%19.8%3.5%7.7%27.1K-1.9M-33.6K1.0072.061313990873
2020-01-06$158.55$155.0018.8%7.8%15.8%13.1%25.4%4.4%-2.7%97.5K-3.4M-32.4K0.5929.831710998880
2020-01-07$156.69$155.0020.2%8.0%16.1%17.7%27.2%4.2%-2.9%41.1K-2.4M-32.5K0.5633.79169999879
2020-01-08$158.87$155.0018.0%7.8%16.1%10.3%28.3%4.2%-2.9%116.1K-3.6M-32.4K0.5030.81841,014879
2020-01-09$160.92$155.0017.2%7.9%16.5%7.8%27.0%4.2%-3.1%172.5K-4.7M-31.6K0.4229.9460251,011885
2020-01-10$159.22$160.0016.4%7.8%17.0%5.0%26.4%4.2%-3.2%82.3K-3.7M-31.5K0.0830.892421,016910
2020-01-13$160.75$160.0018.4%8.1%17.2%11.8%27.7%4.2%-3.8%166.9K-4.7M-30.9K1.1729.59671,030909
2020-01-14$159.08$160.0017.7%8.1%17.7%9.3%0.0%4.4%-3.8%103.7K-3.7M-30.4K10.0035.351101,034904
2020-01-15$159.12$160.0028.2%8.1%17.7%44.0%29.8%4.4%-3.7%104.0K-3.9M-29.3K4.0056.00141,034909
2020-01-16$160.48$160.0028.1%8.0%14.6%43.7%27.1%4.0%-4.0%168.3K-4.7M-28.2K0.0054.031001,033906
2020-01-17$161.01$160.0028.3%8.1%13.9%44.6%25.2%4.6%-4.4%167.6K-5.0M-27.9K0.0054.562101,029906
2020-01-21$161.46$160.0030.7%8.8%13.3%52.3%30.6%4.3%-5.6%151.4K-4.3M-27.0K3.7250.4836134856749
2020-01-22$160.99$160.0030.6%8.8%13.1%52.1%28.5%4.8%-5.7%112.7K-3.6M-30.7K0.3253.87289889882
2020-01-23$161.26$160.0031.3%9.0%13.1%54.2%30.7%5.0%-5.9%124.2K-3.7M-30.9K0.4952.395125917890
2020-01-24$160.54$160.0032.0%9.2%13.3%56.5%32.1%5.1%-6.2%138.8K-3.6M-31.9K2.1654.5450108960904
2020-01-27$160.11$160.0034.7%9.9%13.4%65.5%34.8%5.6%-7.5%120.0K-3.3M-33.8K1.0254.104041997971
2020-01-28$161.79$160.0034.9%10.0%13.7%66.1%34.0%5.7%-7.9%142.4K-4.0M-34.0K0.6654.3490591,0241,010
2020-01-29$162.28$160.0035.4%10.1%13.2%67.8%35.3%5.9%-8.1%140.2K-4.2M-35.0K1.0850.2112131,0551,049
2020-01-30$163.12$160.0035.0%10.0%13.1%66.6%35.4%5.6%-8.5%148.7K-4.6M-34.8K0.1154.424451,0571,056
2020-01-31$160.69$160.0037.5%10.8%14.1%74.9%36.5%6.2%-8.9%91.4K-3.1M-34.7K0.0052.002301,0301,052