IT Options History — September 2020

In September 2020, IT traded between $122.87 and $134.18. ATM implied volatility averaged 32.7%, placing in the 17.0% IV rank vs the trailing year. The 30-day expected move averaged 9.4%. IV traded above realized volatility by 6.2% (HV 20d: 26.4%). Max pain ranged from $130.00 to $135.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 1.31.

Notable Days

  • 2020-09-01: Highest Volume — 516 contracts
  • 2020-09-25: Largest IV drop — 14.2% change
  • 2020-09-24: Highest IV Rank — 21.8%
  • 2020-09-24: Largest Expected Move — 10.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$128.97$122.87$134.18$129.88$124.68
Max Pain$134.52$130.00$135.00$130.00$135.00
ATM IV32.7%29.8%37.5%30.3%31.8%
Expected Move9.4%8.5%10.7%8.7%9.1%
HV 20d26.4%15.0%33.1%15.0%33.1%
HV 60d26.2%24.1%30.4%30.4%26.0%
IV Rank17.0%14.0%21.8%14.5%16.1%
IV Percentile45.1%35.7%55.6%41.7%40.5%
Term Structure3.7%-1.6%8.3%4.0%6.5%
VWIV32.1%27.7%41.1%29.8%27.7%
Skew 25d6.0%1.1%9.5%5.0%1.7%
Skew 10d12.4%-4.9%25.2%12.2%2.0%
Call IV 25d30.9%27.9%38.9%29.4%29.9%
Put IV 25d36.9%31.5%46.6%34.4%31.5%
Bid-Ask Spread %87.7480.5596.0484.8591.37
Gamma HHI0.230.170.390.260.20
Net GEX293.0K-36.5K976.0K446.8K16.5K
Net DEX127.3K-6.3M4.9M-2.5M4.1M
Net VEX-42.1K-54.8K-34.2K-47.5K-36.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.310.0017.851.490.18
Total Volume127.238751651620
Total OI3,538.3332,5374,2203,6173,071

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-09-01$129.88$130.0030.3%8.7%15.0%14.5%29.8%5.0%4.0%446.8K-2.5M-47.5K1.4984.852073092,0901,527
2020-09-02$134.18$130.0030.9%8.9%17.7%15.2%32.1%8.7%1.7%489.4K-3.8M-54.8K0.0591.6210752,1291,835
2020-09-03$131.29$135.0034.3%10.6%19.3%18.6%35.9%7.7%-0.6%425.0K-718.2K-50.7K0.1990.431632,1071,834
2020-09-04$131.85$135.0035.7%10.3%19.1%20.1%34.1%1.1%3.5%434.4K-1.3M-50.9K0.0088.233502,1121,834
2020-09-08$129.05$135.0035.4%10.1%20.3%19.7%35.8%4.9%2.3%344.6K1.7M-44.3K1.9382.4514272,0921,834
2020-09-09$131.44$135.0032.8%9.4%21.4%17.1%33.0%6.4%5.2%482.6K-261.9K-46.1K0.1680.555792,0861,836
2020-09-10$128.49$135.0032.7%9.4%22.7%17.0%34.9%9.5%3.4%297.0K612.9K-40.9K0.1281.882632,1381,663
2020-09-11$126.69$135.0031.2%8.9%23.2%15.4%29.5%5.8%5.6%175.4K2.6M-38.2K0.0081.001502,1551,660
2020-09-14$132.21$135.0030.9%8.9%27.6%15.2%31.6%5.6%5.1%636.0K-3.7M-42.3K0.1482.71152222,1531,660
2020-09-15$133.82$135.0030.5%8.8%27.7%14.8%28.3%4.7%2.6%811.1K-5.5M-41.7K0.5589.161961072,1811,650
2020-09-16$133.18$135.0030.8%8.8%27.6%15.0%29.4%7.8%3.2%976.0K-6.3M-43.6K0.2992.06206602,3611,727
2020-09-17$132.23$135.0031.4%9.0%27.8%15.7%31.3%4.4%8.3%239.9K-3.8M-45.0K0.8982.7075672,3721,748
2020-09-18$131.86$135.0029.8%8.5%27.8%14.0%28.4%4.6%6.6%158.0K-4.0M-44.8K0.0188.3912312,4381,782
2020-09-21$126.19$135.0033.9%9.7%32.2%18.2%41.1%5.7%6.5%170.5K2.1M-37.5K17.8584.16264641,613924
2020-09-22$127.00$135.0032.6%9.3%30.9%16.9%31.4%6.7%4.2%53.7K2.6M-40.0K0.5189.5557291,6011,327
2020-09-23$124.25$135.0033.5%9.6%31.6%17.9%33.0%6.8%1.8%-2.0K3.8M-38.7K0.0888.602621,5871,348
2020-09-24$122.87$135.0037.5%10.7%31.7%21.8%0.0%6.8%-1.6%-36.5K4.9M-34.9K2.5090.24251,5681,347
2020-09-25$125.05$135.0032.1%9.2%32.5%16.4%30.2%8.4%6.2%-13.7K4.4M-34.9K0.2196.041941,5691,351
2020-09-28$126.78$135.0032.5%9.3%33.0%16.8%29.8%4.4%4.0%23.5K3.6M-34.2K0.0091.8516701,5661,354
2020-09-29$125.32$135.0035.9%10.3%33.1%20.3%34.0%8.4%-1.1%24.1K4.0M-36.1K0.2994.72721,7211,354
2020-09-30$124.68$135.0031.8%9.1%33.1%16.1%27.7%1.7%6.5%16.5K4.1M-36.0K0.1891.371731,7171,354