IT Options History — July 2020

In July 2020, IT traded between $118.22 and $126.77. ATM implied volatility averaged 44.1%, placing in the 28.8% IV rank vs the trailing year. The 30-day expected move averaged 12.9%. IV traded above realized volatility by 10.7% (HV 20d: 33.4%). Max pain ranged from $120.00 to $125.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 2 of 22 days. Put/call ratio averaged 5.11.

Notable Days

  • 2020-07-15: Highest Volume — 635 contracts
  • 2020-07-28: Largest IV spike — 24.2% change
  • 2020-07-13: Highest IV Rank — 37.9%
  • 2020-07-28: Largest Expected Move — 15.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$123.03$118.22$126.77$120.78$125.00
Max Pain$121.36$120.00$125.00$120.00$125.00
ATM IV44.1%35.8%53.2%37.9%46.2%
Expected Move12.9%10.3%15.0%10.9%13.2%
HV 20d33.4%27.0%45.5%45.5%27.8%
HV 60d46.1%43.5%48.6%48.6%43.6%
IV Rank28.8%21.0%37.9%23.2%30.7%
IV Percentile75.0%61.5%83.7%65.9%78.2%
Term Structure-2.3%-11.8%12.7%10.1%-7.9%
VWIV47.8%36.4%59.7%37.8%49.1%
Skew 25d4.8%-1.0%15.4%4.5%-0.9%
Skew 10d19.7%1.1%46.8%3.7%11.4%
Call IV 25d45.2%32.8%51.8%38.1%49.1%
Put IV 25d50.0%40.7%60.7%42.6%48.2%
Bid-Ask Spread %82.2569.6190.9688.5888.94
Gamma HHI0.210.170.310.210.18
Net GEX128.0K80.1K278.1K112.0K181.6K
Net DEX336.4K-1.2M1.8M1.1M-1.2M
Net VEX-33.8K-39.2K-29.0K-31.0K-39.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.110.0028.2214.0028.22
Total Volume116.7731063530263
Total OI2,287.7272,0472,6012,0472,601

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-07-01$120.78$120.0037.9%10.9%45.5%23.2%37.8%4.5%10.1%112.0K1.1M-31.0K14.0088.582281,096951
2020-07-02$120.72$120.0035.8%10.3%45.1%21.0%36.4%7.9%12.7%108.2K1.1M-31.1K5.8684.797411,096979
2020-07-06$122.13$120.0039.3%13.5%43.1%24.5%46.3%5.8%-1.0%119.5K378.6K-31.4K0.8375.172792321,103990
2020-07-07$121.42$120.0040.1%13.5%42.2%25.4%53.4%8.4%-3.6%142.7K582.0K-32.0K26.0081.801261,1971,012
2020-07-08$121.48$120.0040.8%13.6%40.3%26.1%44.5%8.0%-2.9%139.1K340.2K-33.6K8.0079.634321,1981,024
2020-07-09$118.22$120.0044.1%14.2%39.8%28.6%52.3%-0.6%-3.0%95.2K1.5M-30.7K1.1381.00891,2011,029
2020-07-10$118.90$120.0043.0%12.9%27.0%27.5%43.1%4.6%-2.8%111.8K1.2M-30.5K7.0077.512141,2031,034
2020-07-13$120.41$120.0053.2%13.0%27.0%37.9%46.1%-1.0%-1.2%129.9K1.5M-29.0K0.3979.53106411,2041,046
2020-07-14$119.14$120.0048.1%12.9%27.2%32.6%59.7%6.8%-2.6%97.8K1.8M-30.3K1.5069.61461,3051,090
2020-07-15$126.32$120.0045.5%13.0%33.8%29.9%48.6%6.6%-3.3%278.1K-1.2M-33.7K0.9571.053263091,3051,094
2020-07-16$124.83$125.0045.9%13.1%33.9%30.4%48.4%5.2%-3.5%184.2K-458.6K-34.1K0.7078.9233231,3011,125
2020-07-17$123.55$125.0043.8%12.6%34.2%28.3%43.4%0.9%-2.5%88.4K164.8K-34.0K2.3382.2812281,3071,139
2020-07-20$123.38$125.0049.5%14.2%34.1%34.1%53.0%7.5%-8.7%88.8K489.2K-33.0K12.7590.964511,0801,045
2020-07-21$123.21$125.0044.0%12.6%34.1%28.4%44.5%0.8%-2.2%80.1K652.9K-34.3K1.0089.0110101,0821,095
2020-07-22$124.44$120.0042.9%12.3%34.1%27.3%0.0%5.6%-2.0%94.6K442.9K-33.4K0.3581.0851181,0901,104
2020-07-23$126.09$120.0043.4%12.4%27.9%27.9%43.1%8.4%-2.2%115.6K66.6K-36.9K0.0082.051501,1401,122
2020-07-24$124.66$120.0043.6%12.5%27.6%28.1%54.3%-0.2%-2.0%101.1K83.4K-37.1K0.1585.59123191,1511,122
2020-07-27$125.41$120.0042.2%12.1%27.5%26.7%48.7%3.0%-3.0%113.8K444.1K-33.6K0.1682.20119191,1421,132
2020-07-28$124.39$120.0052.4%15.0%27.8%37.1%58.1%15.4%-11.8%100.6K-291.3K-39.1K0.0690.907141,2581,151
2020-07-29$126.77$120.0044.0%12.6%27.5%28.5%43.4%4.6%-3.7%148.1K-727.1K-37.0K0.0780.11173121,2571,153
2020-07-30$125.44$125.0045.4%13.0%27.7%29.9%49.3%4.9%-2.7%184.0K-529.8K-39.2K0.8988.8318161,4121,164
2020-07-31$125.00$125.0046.2%13.2%27.8%30.7%49.1%-0.9%-7.9%181.6K-1.2M-39.1K28.2288.9492541,4271,174