IT Options History — December 2020

In December 2020, IT traded between $152.86 and $159.85. ATM implied volatility averaged 29.8%, placing in the 13.9% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded above realized volatility by 9.0% (HV 20d: 20.8%). Max pain ranged from $135.00 to $155.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 1.43.

Notable Days

  • 2020-12-10: Highest Volume — 483 contracts
  • 2020-12-23: Largest IV drop — 13.7% change
  • 2020-12-22: Highest IV Rank — 17.3%
  • 2020-12-22: Largest Expected Move — 9.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$156.32$152.86$159.85$153.78$159.85
Max Pain$153.10$135.00$155.00$135.00$155.00
ATM IV29.8%26.3%33.3%30.3%27.5%
Expected Move8.5%7.5%9.6%8.7%7.9%
HV 20d20.8%11.3%52.3%52.3%11.5%
HV 60d38.7%37.3%40.9%40.9%37.3%
IV Rank13.9%10.1%17.3%14.5%11.4%
IV Percentile23.3%11.1%41.3%26.6%11.1%
Term Structure4.2%-0.7%8.7%-0.1%4.0%
VWIV30.6%26.6%33.9%31.3%26.8%
Skew 25d4.1%1.7%7.6%4.2%3.8%
Skew 10d8.8%0.6%18.1%8.8%15.2%
Call IV 25d29.1%24.7%32.5%30.6%26.2%
Put IV 25d33.3%30.0%36.7%34.8%30.0%
Bid-Ask Spread %83.0973.5995.9891.1595.98
Gamma HHI0.240.190.290.260.19
Net GEX1.2M734.6K1.5M1.3M1.1M
Net DEX-38.4M-49.7M-26.1M-39.2M-31.3M
Net VEX-107.4K-115.9K-97.1K-105.9K-115.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.430.0023.571.600.00
Total Volume1461483131
Total OI5,207.5454,0516,3595,3004,533

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-12-01$153.78$135.0030.3%8.7%52.3%14.5%31.3%4.2%-0.1%1.3M-39.2M-105.9K1.6091.15584,1431,157
2020-12-02$154.37$135.0030.7%8.8%32.2%14.9%31.7%5.2%-0.7%1.3M-39.7M-105.9K0.1489.112234,1441,159
2020-12-03$152.86$0.0030.2%8.4%32.3%14.5%29.5%4.4%3.8%1.3M-38.2M-102.8K0.4177.7029124,1381,158
2020-12-04$154.82$155.0029.9%8.6%31.8%14.2%29.1%4.6%3.9%1.3M-41.1M-102.7K0.5674.2450284,1591,165
2020-12-07$154.98$155.0032.1%8.8%31.1%16.4%32.4%5.3%3.1%1.3M-42.2M-97.1K0.3973.59144564,2061,173
2020-12-08$153.30$155.0030.7%8.6%23.7%15.0%29.5%5.0%3.4%1.5M-39.8M-103.7K0.0375.896324,3441,224
2020-12-09$154.71$155.0030.3%8.7%24.0%14.6%31.7%1.7%3.2%1.5M-42.6M-99.5K23.5776.3071654,3811,225
2020-12-10$155.90$155.0029.6%8.5%24.1%13.8%29.5%3.1%3.7%1.4M-44.2M-98.4K0.1277.06431524,3541,326
2020-12-11$154.71$155.0030.8%8.8%22.1%15.1%30.1%5.2%5.1%1.5M-44.2M-104.2K0.2881.24110314,5341,305
2020-12-14$155.08$155.0029.7%8.5%16.7%14.0%33.4%2.0%3.8%1.5M-45.7M-102.0K0.5780.482211274,6381,309
2020-12-15$157.40$155.0030.5%8.7%17.6%14.8%33.9%3.7%4.0%1.3M-49.1M-102.2K0.0579.35210104,6401,405
2020-12-16$157.51$155.0029.0%8.3%17.6%12.9%31.7%4.8%3.7%1.2M-48.5M-106.6K0.0879.78269224,6391,409
2020-12-17$157.16$155.0030.7%8.8%15.3%14.6%31.9%3.2%4.9%1.0M-48.2M-108.5K0.0181.8942054,7261,423
2020-12-18$156.76$155.0029.0%8.3%14.1%12.9%29.0%3.7%5.3%734.6K-49.7M-110.7K0.4078.53109444,9351,424
2020-12-21$156.15$155.0032.1%9.2%14.2%16.1%32.5%3.1%4.4%813.3K-26.1M-112.2K0.7884.941311023,203848
2020-12-22$156.41$155.0033.3%9.6%14.1%17.3%33.6%7.6%1.1%830.9K-26.8M-114.3K0.3586.061763,322938
2020-12-23$157.86$155.0028.8%8.2%13.1%12.7%28.6%3.7%7.8%864.0K-28.6M-113.7K0.0686.223123,329938
2020-12-24$158.74$155.0026.3%7.5%12.9%10.1%0.0%5.3%8.7%926.9K-29.6M-113.4K0.0091.665203,357938
2020-12-28$159.40$155.0029.3%8.4%12.6%13.2%30.0%1.7%7.0%1.0M-30.4M-112.5K0.8686.2265563,404938
2020-12-29$158.69$155.0027.2%7.8%12.1%11.1%26.6%4.4%8.0%1.0M-29.7M-114.8K0.2989.4758173,458994
2020-12-30$158.60$155.0027.6%7.9%11.3%11.4%26.8%5.0%4.6%1.0M-30.0M-115.9K0.9091.071093,5141,009
2020-12-31$159.85$155.0027.5%7.9%11.5%11.4%0.0%3.8%4.0%1.1M-31.3M-115.3K0.0095.98103,5161,017