IT Options History — May 2020

In May 2020, IT traded between $109.03 and $123.24. ATM implied volatility averaged 46.6%, placing in the 31.9% IV rank vs the trailing year. The 30-day expected move averaged 12.6%. IV traded below realized volatility by 6.8% (HV 20d: 53.4%). Max pain ranged from $100.00 to $150.00. Net GEX was positive for 5 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 2.50.

Notable Days

  • 2020-05-13: Highest Volume — 497 contracts
  • 2020-05-07: Largest IV drop — 17.8% change
  • 2020-05-05: Highest IV Rank — 50.0%
  • 2020-05-01: Largest Expected Move — 16.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$117.36$109.03$123.24$114.69$121.47
Max Pain$147.50$100.00$150.00$100.00$150.00
ATM IV46.6%36.7%64.6%58.7%39.8%
Expected Move12.6%10.5%16.8%16.8%11.4%
HV 20d53.4%45.3%57.1%55.2%52.3%
HV 60d76.1%73.8%78.3%73.8%76.5%
IV Rank31.9%22.0%50.0%44.1%25.1%
IV Percentile80.6%72.6%90.5%88.9%76.2%
Term Structure-1.0%-12.5%2.6%-12.5%-0.1%
VWIV46.1%36.2%81.3%81.3%37.3%
Skew 25d7.8%4.5%12.3%11.5%8.0%
Skew 10d21.6%8.7%34.7%29.7%24.5%
Call IV 25d42.5%34.8%58.0%58.0%37.0%
Put IV 25d50.3%43.8%69.5%69.5%44.9%
Bid-Ask Spread %82.4276.5389.0088.8489.00
Gamma HHI0.140.110.200.130.14
Net GEX-31.1K-158.3K21.4K-2.7K-24.9K
Net DEX6.0M3.5M8.2M5.6M6.2M
Net VEX-28.9K-33.2K-23.3K-30.3K-28.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.500.0015.001.500.00
Total Volume75.752497152
Total OI2,830.62,5853,2802,7872,795

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-05-01$114.69$100.0058.7%16.8%55.2%44.1%81.3%11.5%-12.5%-2.7K5.6M-30.3K1.5088.84691,3981,389
2020-05-04$116.29$150.0058.6%14.2%53.5%44.0%56.1%12.3%-4.4%4.4K5.3M-29.7K15.0079.681151,4011,390
2020-05-05$115.94$150.0064.6%14.6%45.9%50.0%50.2%5.9%-8.7%1.7K5.3M-29.4K1.0685.5017181,4021,404
2020-05-06$114.76$150.0058.6%13.5%45.3%43.9%45.5%6.7%-1.2%3.8K5.3M-30.3K2.5780.007181,4121,417
2020-05-07$123.24$150.0048.2%12.2%50.6%33.5%45.2%7.2%1.7%11.2K3.5M-33.2K0.1282.05205251,4121,426
2020-05-08$120.84$150.0044.3%11.9%51.3%29.6%45.7%5.0%1.7%21.4K4.1M-31.0K2.7578.6436991,4441,434
2020-05-11$119.11$150.0047.5%11.9%51.4%32.8%41.1%7.5%0.5%-25.3K5.3M-28.3K4.0077.6213521,4321,511
2020-05-12$116.94$150.0047.5%12.2%52.1%32.8%41.1%8.3%1.8%-38.0K5.9M-26.8K2.2884.1725571,4341,562
2020-05-13$109.03$150.0045.6%13.1%57.1%30.8%50.6%11.0%0.0%-27.4K7.9M-23.3K5.2176.68804171,4381,560
2020-05-14$110.24$150.0048.7%14.0%55.5%34.0%49.7%5.3%-3.0%-158.3K8.2M-28.2K11.4076.985571,4371,843
2020-05-15$110.74$150.0046.0%13.2%51.0%31.2%45.6%6.8%-0.5%-123.1K8.0M-26.8K1.0876.5312131,4371,824
2020-05-18$119.26$150.0041.7%11.9%56.5%26.9%40.6%9.2%0.3%-53.5K6.7M-27.9K0.1078.706061,2991,286
2020-05-19$115.99$150.0042.5%12.2%56.9%27.8%36.2%4.5%0.8%-35.5K6.9M-28.9K0.0186.829411,3531,285
2020-05-20$118.21$150.0041.7%12.0%56.5%27.0%0.0%8.4%0.0%-29.0K6.3M-29.5K0.0079.44201,3741,285
2020-05-21$116.44$150.0043.2%12.4%56.4%28.5%42.5%7.7%-0.1%-29.2K6.6M-29.0K0.0082.491601,3751,285
2020-05-22$117.64$150.0039.6%11.4%55.8%24.9%44.9%8.2%-0.6%-31.9K6.7M-28.0K2.1484.3414301,3781,285
2020-05-26$121.38$150.0039.4%11.3%55.7%24.6%40.1%6.7%0.0%-20.1K5.7M-29.7K0.7488.1927201,3831,313
2020-05-27$122.59$150.0036.7%10.5%55.8%22.0%36.9%9.1%2.6%-38.2K5.7M-29.8K0.0085.702501,3951,347
2020-05-28$122.35$150.0039.1%11.2%52.7%24.3%37.3%7.3%2.0%-27.4K5.7M-29.2K0.0387.113011,4101,357
2020-05-29$121.47$150.0039.8%11.4%52.3%25.1%0.0%8.0%-0.1%-24.9K6.2M-28.5K0.0089.00201,4371,358