IT Options History — April 2020

In April 2020, IT traded between $90.85 and $121.07. ATM implied volatility averaged 60.2%, placing in the 45.6% IV rank vs the trailing year. The 30-day expected move averaged 17.3%. IV traded below realized volatility by 29.1% (HV 20d: 89.3%). Max pain ranged from $85.00 to $125.00. Net GEX was positive for 4 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 3.33.

Notable Days

  • 2020-04-06: Highest Volume — 235 contracts
  • 2020-04-06: Largest IV drop — 26.8% change
  • 2020-04-01: Highest IV Rank — 62.9%
  • 2020-04-01: Largest Expected Move — 22.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$105.22$90.85$121.07$93.47$118.71
Max Pain$97.38$85.00$125.00$125.00$100.00
ATM IV60.2%47.3%77.5%77.5%55.4%
Expected Move17.3%13.6%22.2%22.2%15.9%
HV 20d89.3%52.9%112.0%107.9%52.9%
HV 60d71.2%66.9%74.4%66.9%73.6%
IV Rank45.6%32.6%62.9%62.9%40.7%
IV Percentile90.1%84.1%94.8%94.8%86.9%
Term Structure-5.7%-14.7%5.1%5.1%-5.4%
VWIV59.4%45.3%78.7%78.7%53.8%
Skew 25d11.2%-9.7%30.3%12.2%-9.7%
Skew 10d17.5%-6.3%38.6%18.1%25.8%
Call IV 25d56.0%39.4%74.2%74.2%62.8%
Put IV 25d67.2%52.8%91.0%86.4%53.1%
Bid-Ask Spread %80.1162.4697.9392.3997.93
Gamma HHI0.130.100.180.120.17
Net GEX-17.8K-43.7K23.0K-22.7K23.0K
Net DEX6.9M4.4M8.6M7.0M4.6M
Net VEX-22.8K-31.7K-15.1K-16.5K-31.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.330.0015.000.4414.33
Total Volume63.14372352646
Total OI2,523.3332,2212,7512,2212,746

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-04-01$93.47$125.0077.5%22.2%107.9%62.9%78.7%12.2%5.1%-22.7K7.0M-16.5K0.4492.391881,1861,035
2020-04-02$93.25$85.0076.3%21.9%108.0%61.7%0.0%19.5%-13.1%-23.9K7.1M-15.7K0.0062.49071,1931,037
2020-04-03$90.85$85.0072.0%18.6%107.2%57.4%65.6%12.0%-8.5%-23.7K7.0M-15.1K15.0072.511151,1931,040
2020-04-06$99.09$85.0052.7%17.8%111.4%38.1%62.1%11.2%-9.2%-26.6K7.1M-16.7K10.7562.46202151,1911,043
2020-04-07$102.42$85.0058.6%17.5%112.0%44.0%61.4%18.9%-6.7%-29.6K7.7M-21.1K0.2977.91133391,2091,150
2020-04-08$104.92$85.0055.6%15.9%110.7%40.9%57.8%7.7%0.8%-23.8K7.9M-20.9K2.0073.676121,3381,183
2020-04-09$107.18$100.0056.6%16.2%108.7%41.9%66.0%18.7%-0.4%-18.0K7.2M-26.6K3.8085.645191,3331,195
2020-04-13$105.83$100.0062.7%18.0%108.8%48.0%60.7%30.3%-10.0%-14.0K7.2M-25.2K0.1585.851321,3381,211
2020-04-14$106.09$100.0060.4%17.3%106.3%45.8%59.2%15.9%-6.5%-19.1K8.0M-20.0K4.2981.387301,3491,211
2020-04-15$102.72$100.0061.1%17.5%103.4%46.5%45.3%15.8%-7.7%-25.6K8.3M-18.7K1.7583.6812211,3501,236
2020-04-16$99.27$100.0065.8%18.9%97.3%51.2%61.8%6.2%-11.8%-36.2K8.6M-15.4K1.2976.4024311,3611,243
2020-04-17$105.82$100.0055.1%15.8%84.7%40.4%52.1%12.8%-0.4%-3.1K7.4M-22.3K9.5076.10222091,3791,228
2020-04-20$104.29$100.0066.3%19.0%76.5%51.7%57.1%10.6%-14.7%-43.7K7.9M-20.9K0.4580.7449221,2331,249
2020-04-21$101.98$100.0066.0%18.9%77.4%51.4%59.5%12.7%-8.8%-39.2K7.3M-23.8K0.0072.653101,2841,270
2020-04-22$104.99$100.0060.0%17.2%74.8%45.3%59.1%4.4%-7.1%-29.3K6.8M-25.4K0.1074.581011,3081,270
2020-04-23$107.71$100.0057.3%16.4%75.1%42.6%59.8%9.0%-4.5%-20.5K6.7M-25.8K0.4376.5428121,3161,271
2020-04-24$110.66$100.0053.2%15.2%64.8%38.5%67.2%9.0%-3.7%-21.6K6.8M-25.0K0.9879.3861601,3221,276
2020-04-27$114.35$95.0051.8%14.9%64.8%37.1%53.2%13.7%-4.4%1.0K5.4M-31.5K0.2684.1358151,3881,329
2020-04-28$114.94$100.0053.3%15.3%64.6%38.6%57.1%-7.2%-2.2%6.3K5.5M-29.6K0.0889.732421,4071,344
2020-04-29$121.07$100.0047.3%13.6%59.0%32.6%50.8%11.1%-1.4%17.0K4.4M-31.5K0.6596.1623151,4001,345
2020-04-30$118.71$100.0055.4%15.9%52.9%40.7%53.8%-9.7%-5.4%23.0K4.6M-31.7K14.3397.933431,3971,349