IT Options History — November 2020

In November 2020, IT traded between $124.25 and $158.66. ATM implied volatility averaged 33.7%, placing in the 18.0% IV rank vs the trailing year. The 30-day expected move averaged 9.6%. IV traded below realized volatility by 21.6% (HV 20d: 55.3%). Max pain ranged from $125.00 to $130.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 1.79.

Notable Days

  • 2020-11-18: Highest Volume — 1,311 contracts
  • 2020-11-03: Largest IV drop — 22.2% change
  • 2020-11-02: Highest IV Rank — 41.6%
  • 2020-11-02: Largest Expected Move — 16.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$151.36$124.25$158.66$124.25$151.61
Max Pain$129.25$125.00$130.00$130.00$130.00
ATM IV33.7%29.2%57.0%57.0%31.0%
Expected Move9.6%8.4%16.3%16.3%8.9%
HV 20d55.3%36.0%59.9%36.0%53.2%
HV 60d39.8%28.8%41.5%28.8%40.8%
IV Rank18.0%13.4%41.6%41.6%15.3%
IV Percentile39.4%23.0%86.5%86.5%33.7%
Term Structure-0.5%-14.7%3.1%-14.7%-0.2%
VWIV34.1%28.4%55.6%55.6%34.1%
Skew 25d4.8%1.8%6.8%1.8%4.2%
Skew 10d13.6%-0.9%28.8%2.5%11.7%
Call IV 25d32.7%26.9%57.6%57.6%30.9%
Put IV 25d37.5%32.0%59.4%59.4%35.0%
Bid-Ask Spread %84.4776.1495.0080.1691.08
Gamma HHI0.260.210.360.360.27
Net GEX1.2M889.8K1.5M889.8K1.4M
Net DEX-54.7M-76.9M-16.2M-16.2M-35.8M
Net VEX-134.2K-159.9K-106.4K-140.5K-106.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.790.0012.300.051.10
Total Volume325.5111,311370109
Total OI7,006.95,2098,4966,5865,209

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-11-02$124.25$130.0057.0%16.3%36.0%41.6%55.6%1.8%-14.7%889.8K-16.2M-140.5K0.0580.16351195,3401,246
2020-11-03$140.21$130.0044.3%12.7%55.9%28.8%45.9%3.8%-3.8%1.2M-40.0M-158.2K3.5090.761033615,3401,246
2020-11-04$142.56$130.0034.9%10.0%56.1%19.3%41.2%6.2%0.3%1.2M-45.6M-158.3K0.4081.342531005,5991,582
2020-11-05$145.57$125.0033.5%9.9%56.3%17.8%38.3%5.2%-1.7%1.2M-52.5M-159.9K9.6776.14181745,7531,673
2020-11-06$148.64$125.0034.1%9.6%56.4%18.4%33.6%4.1%0.8%1.2M-57.8M-153.8K12.3081.50303695,7631,575
2020-11-09$157.33$125.0035.6%9.5%59.0%20.0%33.2%4.8%-0.8%1.0M-70.9M-135.1K3.7979.20331255,7591,714
2020-11-10$157.69$130.0034.7%9.3%59.0%19.1%32.6%4.8%1.2%925.2K-70.8M-136.2K0.7678.8925195,7491,790
2020-11-11$156.57$130.0032.7%9.4%58.1%17.0%29.2%6.8%0.6%1.0M-70.1M-137.6K0.1080.00305315,8501,800
2020-11-12$152.39$130.0033.4%9.6%58.9%17.7%36.1%6.2%0.7%1.3M-64.6M-145.4K0.6284.412491546,0741,826
2020-11-13$158.57$130.0030.8%8.8%59.9%15.0%32.3%5.0%2.4%1.2M-74.1M-135.9K0.3484.70203685,9981,923
2020-11-16$158.66$130.0030.2%8.6%55.4%14.4%30.3%5.1%2.7%1.4M-76.0M-135.5K0.0482.20311116,1851,898
2020-11-17$158.47$130.0030.2%8.7%55.6%14.5%30.0%6.1%2.2%1.5M-76.9M-142.5K0.6182.841941186,4091,902
2020-11-18$154.75$130.0030.7%8.8%56.9%15.0%30.8%4.0%3.1%1.5M-71.4M-148.6K0.0684.371,241706,5111,985
2020-11-19$152.36$130.0031.5%9.0%57.5%15.8%29.7%3.1%-1.3%1.4M-60.3M-127.2K0.0185.991,105145,8862,014
2020-11-20$152.99$130.0030.0%8.6%57.5%14.3%28.4%5.1%-0.6%1.2M-56.6M-114.7K0.0387.4613645,4862,026
2020-11-23$152.36$130.0030.5%8.8%55.0%14.8%32.2%5.0%0.2%1.3M-36.9M-113.4K0.1585.135384,1251,099
2020-11-24$155.02$130.0029.2%8.4%54.6%13.4%29.1%4.8%0.3%1.2M-40.1M-113.4K1.7786.3913234,1751,103
2020-11-25$154.03$130.0030.2%8.7%52.3%14.5%29.4%6.0%0.4%1.3M-39.2M-112.5K0.0091.759904,1841,120
2020-11-27$153.11$130.0029.8%8.5%52.6%14.1%30.2%3.7%-1.8%1.3M-37.7M-109.6K0.5795.00744,1011,120
2020-11-30$151.61$130.0031.0%8.9%53.2%15.3%34.1%4.2%-0.2%1.4M-35.8M-106.4K1.1091.0852574,0931,116