IT Options History — March 2020

In March 2020, IT traded between $80.19 and $130.62. ATM implied volatility averaged 76.5%, placing in the 81.2% IV rank vs the trailing year. The 30-day expected move averaged 21.1%. IV traded above realized volatility by 12.2% (HV 20d: 64.3%). Max pain ranged from $125.00 to $150.00. Net GEX was positive for 11 of 22 trading days. Term structure was in contango for 0 of 22 days. Put/call ratio averaged 4.07.

Notable Days

  • 2020-03-16: Highest Volume — 5,110 contracts
  • 2020-03-05: Largest IV spike — 47.8% change
  • 2020-03-05: Highest IV Rank — 100.0%
  • 2020-03-18: Largest Expected Move — 32.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$104.15$80.19$130.62$130.62$99.99
Max Pain$132.27$125.00$150.00$150.00$125.00
ATM IV76.5%37.9%114.4%43.3%75.3%
Expected Move21.1%10.9%32.8%12.4%21.6%
HV 20d64.3%35.8%106.3%40.7%106.3%
HV 60d44.0%27.2%66.0%27.2%66.0%
IV Rank81.2%51.6%100.0%74.1%60.7%
IV Percentile98.4%94.0%100.0%99.2%94.4%
Term Structure-10.2%-28.2%-0.7%-8.1%-10.6%
VWIV72.9%37.3%109.0%37.3%93.7%
Skew 25d13.2%-5.0%51.4%-5.0%5.9%
Skew 10d31.9%-6.8%70.0%5.8%42.9%
Call IV 25d64.8%35.0%98.3%42.8%58.3%
Put IV 25d78.0%37.8%112.2%37.8%64.2%
Bid-Ask Spread %81.3962.0596.6588.6096.65
Gamma HHI0.360.110.610.560.14
Net GEX222.7K-25.5K833.4K833.4K-23.3K
Net DEX7.7M2.5M12.4M6.6M7.1M
Net VEX-55.5K-124.0K-11.9K-124.0K-16.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.070.0235.000.7435.00
Total Volume308.273155,11028536
Total OI6,177.7272,0989,6119,4362,180

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-03-02$130.62$150.0043.3%12.4%40.7%74.1%37.3%-5.0%-8.1%833.4K6.6M-124.0K0.7488.601641217,5121,924
2020-03-03$126.32$150.0048.2%13.8%39.7%86.8%43.2%6.0%-12.3%655.3K9.0M-106.3K0.4693.6846217,5881,999
2020-03-04$126.96$150.0037.9%10.9%35.9%60.0%41.6%7.3%-1.9%684.7K8.8M-111.9K1.0582.6020217,5782,011
2020-03-05$124.99$140.0056.0%11.9%35.8%100.0%41.4%5.3%-4.8%621.3K9.0M-103.9K2.8662.30361037,5892,002
2020-03-06$118.83$130.0064.9%15.9%38.3%100.0%51.2%8.9%-10.3%429.4K12.4M-86.1K0.3866.6758227,6082,003
2020-03-09$112.07$130.0083.9%17.8%41.5%100.0%57.9%7.0%-9.2%353.9K11.4M-82.0K0.0962.053237,5742,011
2020-03-10$113.94$130.0075.6%16.5%42.9%88.0%70.7%9.5%-7.7%383.4K10.7M-81.9K24.2966.6971707,5621,943
2020-03-11$107.50$130.0069.1%19.8%43.5%78.5%0.0%9.5%-9.1%301.8K10.3M-81.2K2.1368.0624517,5581,939
2020-03-12$101.23$130.0084.3%24.2%45.7%100.0%78.8%16.6%-17.6%270.1K5.0M-77.4K2.1771.73751637,6421,495
2020-03-13$100.70$130.0087.1%25.0%45.7%100.0%82.9%9.8%-18.3%294.4K2.5M-85.8K0.9374.3845427,6531,399
2020-03-16$94.88$130.0093.1%26.7%46.5%100.0%98.3%10.9%-13.2%258.8K3.6M-75.9K0.0276.225,013977,6861,393
2020-03-17$88.29$130.0083.1%23.8%48.5%87.3%88.2%15.6%-5.3%-17.3K9.8M-15.5K0.2976.64112323,0061,354
2020-03-18$80.19$130.00114.4%32.8%52.6%100.0%109.0%13.9%-28.2%-11.1K8.6M-16.4K2.6781.809243,0411,322
2020-03-19$93.27$130.0090.2%25.8%82.9%75.6%61.4%30.2%-10.2%-24.7K8.7M-23.1K0.3389.7446153,0441,286
2020-03-20$84.91$130.0082.8%23.7%85.6%68.2%94.7%-2.6%-7.0%-25.5K8.6M-13.1K0.1792.993053,0161,206
2020-03-23$85.55$130.0092.5%26.5%86.7%78.0%61.4%51.4%-14.6%-15.2K6.8M-11.9K0.1587.261321,141960
2020-03-24$91.46$130.0080.0%22.9%92.0%65.4%71.0%9.4%-0.7%-20.7K7.0M-13.6K0.3385.511551,145953
2020-03-25$92.01$130.0088.6%25.4%92.6%74.1%102.9%23.8%-14.1%-17.2K6.8M-15.1K14.0088.332281,160955
2020-03-26$102.88$125.0077.7%22.3%103.1%63.1%85.1%26.3%-2.6%-12.4K6.0M-24.5K0.4394.952191,165983
2020-03-27$106.44$125.0089.3%25.6%103.9%74.8%78.1%12.4%-17.5%-12.6K5.8M-26.9K0.4189.281771,170987
2020-03-30$108.21$125.0066.2%19.0%103.6%51.6%81.9%18.3%-0.8%-6.3K5.5M-28.7K0.6794.371281,179988
2020-03-31$99.99$125.0075.3%21.6%106.3%60.7%93.7%5.9%-10.6%-23.3K7.1M-16.7K35.0096.651351,185995