IT Options History — October 2020

In October 2020, IT traded between $118.38 and $130.84. ATM implied volatility averaged 38.6%, placing in the 23.0% IV rank vs the trailing year. The 30-day expected move averaged 11.6%. IV traded above realized volatility by 9.9% (HV 20d: 28.7%). Max pain ranged from $130.00 to $135.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 4.55.

Notable Days

  • 2020-10-26: Highest Volume — 2,270 contracts
  • 2020-10-14: Largest IV spike — 24.5% change
  • 2020-10-30: Highest IV Rank — 38.4%
  • 2020-10-30: Largest Expected Move — 15.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$125.35$118.38$130.84$124.67$119.54
Max Pain$130.45$130.00$135.00$135.00$130.00
ATM IV38.6%29.7%53.8%30.6%53.8%
Expected Move11.6%8.6%15.4%8.8%15.4%
HV 20d28.7%22.2%33.0%30.5%32.9%
HV 60d25.2%22.2%28.0%26.0%27.7%
IV Rank23.0%14.0%38.4%14.9%38.4%
IV Percentile56.1%30.2%84.5%34.5%84.5%
Term Structure-2.7%-9.9%7.7%7.7%-9.9%
VWIV41.3%29.8%55.5%30.9%55.5%
Skew 25d5.5%0.3%11.4%5.7%11.4%
Skew 10d14.8%-5.3%41.9%11.2%41.9%
Call IV 25d40.1%30.1%49.6%31.9%48.9%
Put IV 25d45.5%36.2%60.3%37.6%60.3%
Bid-Ask Spread %87.0381.1493.3893.3883.51
Gamma HHI0.250.160.430.190.37
Net GEX446.6K7.4K889.7K7.4K739.7K
Net DEX-2.3M-14.1M4.7M4.5M-11.9M
Net VEX-62.9K-137.8K-30.7K-32.4K-136.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.550.0043.820.6815.00
Total Volume268.63622,2703716
Total OI4,235.8643,0626,5823,0736,582

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-10-01$124.67$135.0030.6%8.8%30.5%14.9%30.9%5.7%7.7%7.4K4.5M-32.4K0.6893.3822151,7171,356
2020-10-02$126.14$135.0029.9%8.6%30.2%14.2%29.8%6.2%7.3%45.8K3.5M-34.5K0.9092.441091,7071,355
2020-10-05$125.78$130.0030.4%10.5%30.1%14.7%0.0%6.9%-1.1%49.3K4.0M-31.8K0.0281.1415131,7121,360
2020-10-06$124.62$130.0031.6%10.8%29.4%15.9%35.7%1.2%-0.1%31.4K4.7M-30.7K0.0086.50201,8631,363
2020-10-07$125.59$130.0034.9%10.5%28.6%19.3%40.1%4.0%0.3%68.3K3.6M-33.5K0.2182.48101211,8651,363
2020-10-08$126.74$130.0029.7%10.2%27.8%14.0%35.8%4.2%-1.9%207.5K2.7M-33.6K0.0086.01801,9381,365
2020-10-09$126.33$130.0030.5%10.3%27.4%14.7%37.2%6.0%3.7%299.5K2.6M-34.1K0.3089.062061,9371,365
2020-10-12$127.20$130.0030.5%10.8%22.5%14.8%36.2%4.2%-4.6%328.6K2.6M-30.7K43.8288.81114821,9361,366
2020-10-13$128.28$130.0030.8%10.8%22.2%15.0%37.6%7.8%-4.2%324.0K1.9M-35.5K0.6490.944863131,9381,413
2020-10-14$125.41$130.0038.3%11.0%23.4%22.7%37.7%7.8%-3.3%483.9K2.6M-47.4K0.2285.69363812,5271,704
2020-10-15$129.98$130.0041.8%12.0%27.1%26.2%41.1%6.8%-6.6%489.9K-3.3M-59.9K0.0485.99688272,8431,785
2020-10-16$130.84$130.0040.1%11.5%27.2%24.5%39.4%1.5%-4.4%782.0K-6.6M-71.6K0.3489.3432113,4221,791
2020-10-19$124.13$130.0042.5%12.2%29.1%27.0%47.8%7.8%-1.9%504.2K-3.3M-59.7K0.0787.80160112,879967
2020-10-20$125.67$130.0042.2%12.1%29.4%26.7%41.4%4.2%-5.0%580.8K-4.4M-63.6K1.2489.0117213,052983
2020-10-21$127.85$130.0042.0%12.0%28.9%26.5%42.0%4.5%-5.7%639.1K-6.4M-69.0K0.0286.405313,0681,004
2020-10-22$127.52$130.0040.0%11.5%28.6%24.5%41.5%9.4%-1.8%657.9K-6.5M-67.1K0.9087.9729263,1171,004
2020-10-23$128.40$130.0041.7%12.0%28.0%26.2%42.3%3.6%-5.2%673.4K-7.0M-69.0K0.1889.843363,1401,030
2020-10-26$123.53$130.0045.3%13.0%31.0%29.7%50.8%0.3%-2.5%516.4K-2.3M-55.9K0.0282.922,236343,1101,034
2020-10-27$122.52$130.0045.0%12.9%30.9%29.5%47.5%6.0%-6.3%889.7K-14.1M-137.8K0.3383.36159525,1931,062
2020-10-28$118.38$130.0050.1%14.4%33.0%34.7%47.7%5.1%-7.5%757.4K-9.1M-124.4K4.8887.2517835,3391,114
2020-10-29$118.58$130.0048.1%13.8%33.0%32.6%49.7%5.6%-5.6%749.6K-9.2M-125.9K30.3384.913915,3421,178
2020-10-30$119.54$130.0053.8%15.4%32.9%38.4%55.5%11.4%-9.9%739.7K-11.9M-136.1K15.0083.511155,3391,243