IT Options History — August 2020

In August 2020, IT traded between $125.82 and $132.52. ATM implied volatility averaged 31.8%, placing in the 16.1% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded above realized volatility by 12.6% (HV 20d: 19.2%). Max pain ranged from $120.00 to $135.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.61.

Notable Days

  • 2020-08-17: Highest Volume — 790 contracts
  • 2020-08-04: Largest IV drop — 27.9% change
  • 2020-08-03: Highest IV Rank — 35.7%
  • 2020-08-03: Largest Expected Move — 14.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$129.71$125.82$132.52$125.82$129.87
Max Pain$129.76$120.00$135.00$125.00$130.00
ATM IV31.8%25.1%51.1%51.1%30.8%
Expected Move9.1%7.2%14.6%14.6%8.8%
HV 20d19.2%14.5%28.1%27.6%15.1%
HV 60d35.6%30.7%41.1%41.1%30.7%
IV Rank16.1%9.3%35.7%35.7%15.1%
IV Percentile46.2%36.9%81.7%81.7%42.9%
Term Structure2.2%-10.2%7.2%-10.2%4.3%
VWIV31.6%25.0%55.9%55.9%34.2%
Skew 25d5.1%2.2%8.0%4.5%6.8%
Skew 10d12.0%5.5%23.1%14.9%12.4%
Call IV 25d30.0%24.5%50.5%50.5%28.8%
Put IV 25d35.1%29.6%55.0%55.0%35.6%
Bid-Ask Spread %89.2777.1298.8077.1282.62
Gamma HHI0.230.170.300.170.28
Net GEX369.9K106.4K488.4K106.4K454.0K
Net DEX-1.7M-4.5M564.6K-673.8K-1.3M
Net VEX-39.6K-46.8K-35.2K-40.0K-44.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.610.004.532.070.05
Total Volume145.9523790282117
Total OI3,358.192,8423,8482,8423,510

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-08-03$125.82$125.0051.1%14.6%27.6%35.7%55.9%4.5%-10.2%106.4K-673.8K-40.0K2.0777.12921901,4281,414
2020-08-04$126.53$120.0036.8%10.6%27.5%21.2%34.3%6.0%-4.3%183.2K-894.2K-36.6K0.2898.8096271,4981,593
2020-08-05$128.89$125.0033.7%9.7%28.1%18.0%34.8%4.5%0.1%204.1K-1.6M-37.9K0.7187.9159421,4491,579
2020-08-06$130.38$135.0032.4%10.0%25.8%16.7%34.1%5.2%2.7%265.8K-2.6M-36.6K0.8286.5417141,4821,592
2020-08-07$131.50$135.0031.7%9.4%25.9%16.0%31.2%5.5%2.5%324.4K-3.3M-35.2K0.2387.4198231,4931,595
2020-08-10$132.52$135.0034.5%9.2%25.7%18.9%27.8%5.4%1.8%365.5K-4.5M-36.1K4.5386.841104981,5481,600
2020-08-11$131.72$130.0038.0%9.6%25.4%22.3%31.8%6.6%2.7%370.9K-3.0M-43.3K0.2190.831941,6491,738
2020-08-12$130.88$130.0031.4%9.0%16.0%15.6%0.0%2.2%4.2%391.8K-3.0M-40.5K0.0086.811701,6461,740
2020-08-13$130.90$130.0032.2%9.2%15.2%16.5%32.5%4.1%2.8%412.8K-2.7M-41.2K0.5087.91211,6631,740
2020-08-14$129.19$130.0031.0%8.9%15.6%15.2%29.9%6.0%3.4%399.2K-1.6M-38.3K0.4092.53521,6631,741
2020-08-17$128.40$130.0031.2%8.9%15.8%15.5%30.3%7.6%6.8%470.0K-948.9K-35.3K0.7690.274503401,6671,733
2020-08-18$127.58$130.0025.1%7.2%16.0%9.3%25.0%7.0%7.2%422.7K564.6K-38.0K0.2297.0159131,8941,910
2020-08-19$127.40$130.0028.8%8.3%15.8%13.1%26.9%4.2%6.1%418.9K321.2K-38.1K0.0593.562011,9271,911
2020-08-20$128.01$130.0028.4%8.2%15.2%12.7%25.7%4.8%0.5%488.4K-123.0K-37.4K0.0893.722421,9231,911
2020-08-21$127.83$130.0026.6%7.6%14.5%10.8%27.2%3.5%4.4%268.3K-12.0K-35.8K0.2092.2975151,9361,912
2020-08-24$131.04$130.0028.1%8.1%16.7%12.4%27.3%4.4%4.8%389.7K-787.5K-38.1K0.1792.82611,6261,430
2020-08-25$131.76$130.0027.5%7.9%16.3%11.7%26.6%3.9%2.3%404.4K-1.3M-39.0K0.2086.94324641,6241,430
2020-08-26$131.71$130.0026.9%7.7%15.2%11.1%28.7%3.5%2.0%481.5K-2.5M-45.3K0.2088.65119241,8701,484
2020-08-27$130.93$130.0030.1%8.6%14.7%14.4%31.6%3.7%1.5%461.1K-2.4M-46.7K0.8487.4638321,9621,503
2020-08-28$131.11$130.0031.1%8.9%14.6%15.4%35.3%8.0%0.2%484.7K-2.5M-46.8K0.1986.682141,9791,529
2020-08-31$129.87$130.0030.8%8.8%15.1%15.1%34.2%6.8%4.3%454.0K-1.3M-44.3K0.0582.6211161,9831,527