IT Options History — January 2021

In January 2021, IT traded between $151.33 and $169.10. ATM implied volatility averaged 37.0%, placing in the 19.7% IV rank vs the trailing year. The 30-day expected move averaged 11.2%. IV traded above realized volatility by 18.5% (HV 20d: 18.5%). Max pain ranged from $150.00 to $160.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 0 of 19 days. Put/call ratio averaged 1.79.

Notable Days

2021-01-21: Highest Volume — 2,093 contracts
2021-01-11: Largest IV spike — 30.0% change
2021-01-29: Highest IV Rank — 33.7%
2021-01-29: Largest Expected Move — 14.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$161.23	$151.33	$169.10	$158.04	$152.09
Max Pain	$156.58	$150.00	$160.00	$150.00	$155.00
ATM IV	37.0%	26.0%	51.3%	28.7%	51.3%
Expected Move	11.2%	10.0%	14.7%	10.5%	14.7%
HV 20d	18.5%	11.6%	31.2%	11.7%	31.2%
HV 60d	36.3%	34.0%	37.8%	37.4%	36.2%
IV Rank	19.7%	9.8%	33.7%	12.6%	33.7%
IV Percentile	46.1%	7.5%	81.0%	13.9%	81.0%
Term Structure	-4.7%	-13.0%	-0.4%	-2.7%	-11.3%
VWIV	41.1%	35.0%	57.4%	39.6%	57.4%
Skew 25d	6.0%	2.1%	12.0%	7.2%	12.0%
Skew 10d	13.8%	1.6%	36.2%	10.9%	2.3%
Call IV 25d	37.7%	32.9%	52.9%	32.9%	44.5%
Put IV 25d	43.6%	37.4%	56.6%	40.1%	56.6%
Bid-Ask Spread %	69.59	58.80	86.65	64.81	86.65
Gamma HHI	0.25	0.19	0.66	0.19	0.24
Net GEX	1.5M	853.9K	3.5M	1.1M	1.9M
Net DEX	-38.9M	-49.6M	-28.6M	-28.8M	-40.8M
Net VEX	-139.5K	-214.9K	-101.3K	-111.2K	-207.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.79	0.01	10.50	1.90	9.25
Total Volume	281.947	22	2,093	200	41
Total OI	5,780.842	4,434	8,439	4,532	8,439

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2021-01-04	$158.04	$150.00	28.7%	10.5%	11.7%	12.6%	39.6%	7.2%	-2.7%	1.1M	-28.8M	-111.2K	1.90	64.81	69	131	3,515	1,017
2021-01-05	$159.95	$155.00	30.5%	10.2%	11.6%	14.4%	45.5%	4.6%	-2.3%	1.1M	-31.6M	-113.5K	0.20	70.07	109	22	3,573	1,143
2021-01-06	$164.02	$155.00	32.7%	10.0%	14.3%	16.7%	35.0%	2.1%	-0.4%	1.1M	-37.5M	-110.1K	0.94	68.61	16	15	3,670	1,160
2021-01-07	$166.67	$155.00	29.1%	10.0%	14.0%	13.0%	37.2%	3.6%	-1.8%	1.1M	-40.9M	-107.7K	0.03	62.10	132	4	3,674	1,177
2021-01-08	$169.10	$155.00	26.0%	10.2%	14.4%	9.8%	41.5%	4.0%	-2.9%	1.0M	-43.9M	-102.7K	0.13	68.13	31	4	3,676	1,181
2021-01-11	$167.08	$155.00	33.8%	10.8%	15.5%	17.8%	37.0%	5.2%	-2.1%	1.2M	-41.5M	-105.2K	0.01	58.80	156	2	3,700	1,181
2021-01-12	$168.57	$155.00	29.5%	10.3%	15.0%	12.2%	39.5%	5.4%	-2.6%	1.0M	-42.4M	-101.3K	2.08	58.86	12	25	3,663	1,183
2021-01-13	$165.46	$155.00	36.4%	10.4%	17.1%	19.4%	37.1%	8.2%	-3.1%	1.2M	-39.0M	-105.5K	0.06	63.30	130	8	3,683	1,206
2021-01-14	$163.54	$160.00	37.5%	10.8%	17.3%	19.3%	40.4%	5.3%	-3.6%	1.3M	-37.1M	-111.2K	3.80	62.54	5	19	3,796	1,213
2021-01-15	$160.08	$160.00	39.2%	11.2%	19.2%	21.0%	40.2%	6.3%	-3.9%	3.5M	-32.6M	-111.7K	0.21	67.45	118	25	3,796	1,219
2021-01-19	$159.91	$160.00	37.4%	10.7%	19.1%	19.1%	35.9%	7.5%	-2.1%	853.9K	-28.6M	-106.9K	0.19	67.39	389	74	3,405	1,029
2021-01-20	$161.70	$160.00	37.2%	10.7%	19.4%	18.9%	36.3%	5.2%	-3.4%	1.0M	-31.8M	-116.3K	1.44	72.87	9	13	3,774	1,099
2021-01-21	$161.61	$160.00	38.1%	10.9%	19.3%	19.9%	38.7%	5.1%	-3.6%	1.1M	-31.9M	-115.3K	0.01	65.84	2,063	30	3,775	1,110
2021-01-22	$160.14	$160.00	38.3%	11.0%	19.7%	20.1%	38.2%	4.6%	-3.9%	1.6M	-47.9M	-199.4K	10.50	72.28	2	21	5,820	1,132
2021-01-25	$158.99	$160.00	40.7%	11.7%	19.7%	22.6%	40.6%	7.7%	-6.6%	1.6M	-45.7M	-194.9K	0.04	75.71	1,005	43	5,819	1,150
2021-01-26	$157.54	$155.00	41.1%	11.8%	19.9%	23.0%	40.7%	5.9%	-10.5%	2.1M	-48.8M	-206.8K	0.13	74.28	502	64	6,816	1,192
2021-01-27	$151.33	$155.00	51.1%	14.7%	24.3%	33.6%	53.1%	3.3%	-13.0%	1.8M	-39.3M	-208.6K	2.27	83.21	11	25	7,165	1,251
2021-01-28	$157.55	$155.00	44.6%	12.8%	28.6%	26.6%	47.3%	10.1%	-8.8%	2.3M	-49.6M	-214.9K	0.78	79.28	18	14	7,164	1,270
2021-01-29	$152.09	$155.00	51.3%	14.7%	31.2%	33.7%	57.4%	12.0%	-11.3%	1.9M	-40.8M	-207.5K	9.25	86.65	4	37	7,164	1,275