IT Options History — June 2020

In June 2020, IT traded between $116.52 and $137.40. ATM implied volatility averaged 40.7%, placing in the 26.0% IV rank vs the trailing year. The 30-day expected move averaged 11.6%. IV traded below realized volatility by 10.0% (HV 20d: 50.7%). Max pain ranged from $100.00 to $140.00. Net GEX was positive for 12 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 0.87.

Notable Days

  • 2020-06-04: Highest Volume — 632 contracts
  • 2020-06-04: Largest IV spike — 29.8% change
  • 2020-06-11: Highest IV Rank — 31.7%
  • 2020-06-11: Largest Expected Move — 13.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$123.83$116.52$137.40$122.35$121.38
Max Pain$123.64$100.00$140.00$140.00$120.00
ATM IV40.7%29.8%46.5%42.2%39.3%
Expected Move11.6%8.6%13.3%12.1%11.3%
HV 20d50.7%46.0%55.3%50.6%49.7%
HV 60d64.9%51.5%76.4%76.4%51.5%
IV Rank26.0%15.1%31.7%27.5%24.6%
IV Percentile73.9%60.7%80.2%77.4%68.7%
Term Structure2.4%-3.2%10.7%-3.2%3.7%
VWIV42.3%35.8%48.4%37.2%47.9%
Skew 25d6.6%3.1%10.6%7.2%6.0%
Skew 10d17.2%-1.6%44.8%16.2%12.3%
Call IV 25d39.0%32.3%45.1%36.9%37.3%
Put IV 25d45.6%40.3%51.7%44.1%43.3%
Bid-Ask Spread %84.4469.4992.4389.1589.98
Gamma HHI0.170.110.230.150.22
Net GEX24.5K-61.5K114.5K-16.8K114.5K
Net DEX2.5M-1.5M5.6M4.4M892.6K
Net VEX-30.0K-34.9K-27.5K-28.4K-29.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.870.003.440.502.12
Total Volume100.59106320162
Total OI2,508.5451,7143,1182,6701,917

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-06-01$122.35$140.0042.2%12.1%50.6%27.5%0.0%7.2%-3.2%-16.8K4.4M-28.4K0.0089.15001,4381,232
2020-06-02$126.01$140.0038.2%10.9%51.3%23.5%0.0%8.5%0.3%-33.4K3.2M-29.1K0.5087.79421,4381,212
2020-06-03$132.68$140.0029.8%8.6%53.9%15.1%37.2%10.6%2.5%-61.5K1.3M-30.9K0.1088.957271,4391,213
2020-06-04$130.12$100.0038.7%10.9%54.4%24.0%48.4%7.7%1.6%-31.1K1.7M-31.5K1.9769.492134191,4831,215
2020-06-05$134.92$100.0037.7%10.6%50.1%23.0%36.2%7.5%1.2%-32.3K-83.1K-32.8K1.3887.2124331,4841,214
2020-06-08$137.40$130.0043.0%11.1%49.5%28.2%48.2%5.8%3.0%33.9K-1.5M-34.9K0.3474.5892311,4961,247
2020-06-09$132.08$130.0039.8%11.1%51.6%25.1%35.8%6.0%0.8%-38.8K974.8K-33.9K3.4478.0216551,5411,269
2020-06-10$127.69$130.0038.4%11.0%52.9%23.7%39.7%6.5%3.5%-37.1K2.6M-33.3K0.3984.571871,5531,297
2020-06-11$117.62$130.0046.5%13.3%55.2%31.7%47.3%6.6%-0.4%-10.8K5.6M-28.2K0.5282.1233171,5551,300
2020-06-12$119.17$130.0043.5%12.5%55.3%28.8%39.7%7.0%5.2%-9.1K5.5M-27.5K0.5392.431581,5661,304
2020-06-15$119.81$130.0043.8%12.5%55.3%29.1%46.3%8.0%0.5%-6.2K5.3M-28.0K0.2876.7160171,5741,304
2020-06-16$122.03$120.0046.0%13.2%49.1%31.3%42.8%8.6%-1.3%8.9K4.1M-30.3K1.0779.1115161,6121,301
2020-06-17$120.99$120.0042.9%12.3%48.0%28.2%43.5%6.6%2.3%18.4K4.9M-28.3K0.1582.772641,6131,314
2020-06-18$121.53$120.0040.3%11.5%47.6%25.6%39.7%3.4%10.7%18.3K4.5M-28.5K0.0085.7017701,6341,315
2020-06-19$121.05$120.0039.5%11.3%47.3%24.8%40.9%3.2%6.1%88.7K4.3M-29.1K1.5585.9411171,8021,316
2020-06-22$121.72$120.0041.6%11.9%47.2%26.9%38.7%6.6%2.9%93.5K992.9K-28.9K0.0481.18241904810
2020-06-23$122.83$120.0038.4%11.0%46.0%23.7%40.2%6.5%4.3%90.7K227.1K-30.6K0.9583.95255243913810
2020-06-24$116.52$120.0042.6%12.2%49.6%27.9%42.6%3.1%1.3%72.9K1.8M-27.9K1.5191.6135531,019814
2020-06-25$119.06$120.0039.6%11.4%50.3%24.9%0.0%8.6%2.7%95.3K1.3M-30.0K0.0886.461211,042862
2020-06-26$118.60$120.0041.9%12.0%50.3%27.2%46.4%6.9%1.8%88.6K1.3M-30.1K0.4089.07521,045863
2020-06-29$118.67$120.0041.7%12.0%50.2%27.0%47.9%3.9%3.1%91.3K1.5M-28.1K0.0090.850111,045863
2020-06-30$121.38$120.0039.3%11.3%49.7%24.6%0.0%6.0%3.7%114.5K892.6K-29.5K2.1289.98521101,045872