IT Options History — February 2020

In February 2020, IT traded between $127.58 and $164.12. ATM implied volatility averaged 24.9%, placing in the 32.5% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded below realized volatility by 3.9% (HV 20d: 28.7%). Max pain ranged from $150.00 to $160.00. Net GEX was positive for 14 of 19 trading days. Term structure was in contango for 12 of 19 days. Put/call ratio averaged 2.16.

Notable Days

2020-02-11: Highest Volume — 5,462 contracts
2020-02-28: Largest IV spike — 45.6% change
2020-02-28: Highest IV Rank — 100.0%
2020-02-28: Largest Expected Move — 15.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$149.61	$127.58	$164.12	$164.12	$127.58
Max Pain	$151.58	$150.00	$160.00	$160.00	$150.00
ATM IV	24.9%	19.2%	53.2%	38.1%	53.2%
Expected Move	7.1%	5.5%	15.3%	10.9%	15.3%
HV 20d	28.7%	15.8%	38.7%	15.8%	38.7%
HV 60d	20.9%	14.8%	26.6%	14.8%	26.6%
IV Rank	32.5%	15.0%	100.0%	76.9%	100.0%
IV Percentile	56.0%	34.1%	100.0%	97.6%	100.0%
Term Structure	0.2%	-13.1%	4.5%	-10.1%	-13.1%
VWIV	23.8%	19.1%	38.5%	38.5%	37.3%
Skew 25d	4.8%	2.6%	13.4%	6.2%	13.4%
Skew 10d	11.4%	5.9%	30.0%	15.1%	30.0%
Call IV 25d	23.0%	17.2%	47.0%	35.7%	47.0%
Put IV 25d	27.8%	20.4%	60.4%	41.9%	60.4%
Bid-Ask Spread %	74.65	27.11	94.89	27.11	74.86
Gamma HHI	0.42	0.17	0.65	0.24	0.54
Net GEX	1.2M	-280.6K	2.8M	159.7K	700.5K
Net DEX	-16.6M	-49.7M	6.7M	-5.1M	6.7M
Net VEX	-146.5K	-253.9K	-28.0K	-33.1K	-125.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.16	0.03	19.08	0.57	0.73
Total Volume	667.421	73	5,462	640	303
Total OI	7,031.158	2,100	10,583	2,100	9,432

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2020-02-03	$164.12	$160.00	38.1%	10.9%	15.8%	76.9%	38.5%	6.2%	-10.1%	159.7K	-5.1M	-33.1K	0.57	27.11	408	232	1,048	1,052
2020-02-04	$154.40	$160.00	22.3%	6.4%	26.9%	24.5%	22.5%	3.8%	-1.8%	-60.2K	547.9K	-28.0K	0.92	58.29	226	208	1,342	1,075
2020-02-05	$154.38	$160.00	21.1%	6.0%	26.6%	21.5%	22.3%	3.4%	-1.0%	13.7K	50.1K	-32.2K	5.32	68.49	34	181	1,474	1,147
2020-02-06	$154.04	$150.00	19.3%	5.6%	26.0%	15.2%	20.5%	3.4%	2.7%	-58.4K	942.9K	-33.6K	3.81	71.83	63	240	1,479	1,218
2020-02-07	$152.56	$150.00	19.6%	5.6%	25.6%	16.4%	20.4%	3.2%	2.6%	-185.6K	2.5M	-35.6K	0.98	78.37	49	48	1,512	1,381
2020-02-10	$149.12	$150.00	20.8%	5.6%	26.5%	20.6%	19.7%	3.6%	2.7%	-280.6K	4.8M	-30.8K	0.95	79.56	440	420	1,503	1,356
2020-02-11	$152.49	$150.00	19.8%	5.9%	27.6%	17.0%	20.8%	4.7%	1.7%	-169.4K	470.6K	-44.2K	0.03	94.89	5,300	162	1,776	1,620
2020-02-12	$151.88	$150.00	19.4%	5.6%	27.5%	15.8%	19.4%	2.9%	3.8%	2.2M	-37.3M	-231.6K	1.79	81.04	85	152	7,019	1,651
2020-02-13	$151.25	$150.00	19.5%	5.6%	27.5%	16.0%	19.2%	2.6%	4.2%	2.1M	-35.1M	-232.5K	0.92	80.19	38	35	7,053	1,761
2020-02-14	$152.22	$150.00	19.2%	5.5%	27.4%	15.0%	19.3%	2.9%	4.5%	2.2M	-37.1M	-231.1K	19.08	83.58	13	248	7,082	1,781
2020-02-18	$152.57	$150.00	19.6%	5.6%	27.4%	16.5%	19.9%	3.7%	3.9%	2.1M	-38.3M	-228.8K	0.66	82.87	1,170	772	7,085	1,855
2020-02-19	$153.47	$150.00	19.4%	5.6%	27.5%	15.6%	19.1%	3.9%	3.8%	2.6M	-43.5M	-253.9K	0.35	81.26	125	44	8,021	2,528
2020-02-20	$154.93	$150.00	19.5%	5.6%	27.8%	16.0%	19.6%	3.2%	4.3%	2.8M	-49.4M	-251.5K	0.42	82.08	113	48	8,051	2,532
2020-02-21	$155.12	$150.00	22.0%	6.3%	27.8%	24.6%	21.3%	4.2%	2.7%	2.3M	-49.7M	-249.7K	0.24	78.59	102	24	7,984	2,493
2020-02-24	$149.80	$150.00	23.8%	6.8%	30.1%	30.7%	23.4%	6.7%	-1.2%	2.2M	-30.5M	-236.6K	1.00	76.26	340	341	7,371	2,153
2020-02-25	$141.28	$150.00	29.8%	8.5%	35.9%	51.4%	27.5%	5.8%	1.2%	1.5M	-7.8M	-195.9K	0.57	76.82	238	135	7,629	2,131
2020-02-26	$138.93	$150.00	29.4%	8.4%	35.5%	50.1%	28.7%	6.2%	-2.3%	1.2M	-2.3M	-174.4K	2.07	72.35	55	114	7,445	2,078
2020-02-27	$132.54	$150.00	36.6%	10.5%	37.9%	74.6%	33.5%	7.5%	-4.2%	902.4K	5.4M	-134.5K	0.70	69.94	103	72	7,415	2,059
2020-02-28	$127.58	$150.00	53.2%	15.3%	38.7%	100.0%	37.3%	13.4%	-13.1%	700.5K	6.7M	-125.2K	0.73	74.86	175	128	7,434	1,998