IT Options History — March 2021

In March 2021, IT traded between $177.82 and $187.55. ATM implied volatility averaged 28.2%, placing in the 3.8% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded below realized volatility by 2.1% (HV 20d: 30.4%). Max pain ranged from $150.00 to $185.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 21 of 23 days. Put/call ratio averaged 2.52.

Notable Days

  • 2021-03-19: Highest Volume — 783 contracts
  • 2021-03-29: Largest IV spike — 10.8% change
  • 2021-03-08: Highest IV Rank — 9.1%
  • 2021-03-05: Largest Expected Move — 9.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$183.52$177.82$187.55$184.30$183.01
Max Pain$178.04$150.00$185.00$150.00$185.00
ATM IV28.2%24.3%33.3%28.3%24.3%
Expected Move8.0%7.0%9.0%8.1%7.0%
HV 20d30.4%22.6%42.5%38.5%22.8%
HV 60d31.4%29.8%32.0%29.9%31.9%
IV Rank3.8%0.0%9.1%3.6%0.0%
IV Percentile9.0%0.0%38.1%4.0%0.0%
Term Structure4.6%-0.7%9.5%0.9%6.1%
VWIV27.9%21.8%33.3%21.8%25.9%
Skew 25d3.0%1.3%5.4%4.2%2.3%
Skew 10d7.4%-8.7%17.9%15.6%9.3%
Call IV 25d27.6%23.9%31.5%28.4%24.0%
Put IV 25d30.6%26.3%34.7%32.6%26.3%
Bid-Ask Spread %81.9073.7493.6887.6283.10
Gamma HHI0.170.140.380.210.14
Net GEX1.2M937.9K2.4M1.3M1.1M
Net DEX-75.3M-95.3M-50.3M-83.2M-53.7M
Net VEX-134.7K-146.4K-117.8K-124.1K-134.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.520.0030.670.214.00
Total Volume168.652678338415
Total OI7,320.6965,7958,5087,4206,149

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-03-01$184.30$150.0028.3%8.1%38.5%3.6%21.8%4.2%0.9%1.3M-83.2M-124.1K0.2187.62317675,7791,641
2021-03-02$183.69$150.0029.3%8.4%38.8%4.7%0.0%2.2%-0.3%1.3M-84.8M-125.8K0.7587.22435,8661,706
2021-03-03$183.13$150.0030.3%8.7%38.9%5.8%33.3%1.8%-0.7%1.4M-83.1M-129.1K3.5088.396215,8671,709
2021-03-04$177.82$175.0032.2%7.5%40.5%8.0%30.6%5.4%9.5%1.5M-73.6M-141.4K0.0280.41657145,8681,728
2021-03-05$183.78$175.0030.1%9.0%41.6%5.6%29.7%1.3%3.5%1.2M-85.2M-128.4K1.4673.7413195,9581,773
2021-03-08$187.55$175.0033.3%8.9%41.8%9.1%28.9%5.3%2.6%1.0M-90.7M-117.8K0.0675.3915095,9611,771
2021-03-09$183.59$180.0032.6%8.7%42.5%8.4%30.9%3.4%4.3%1.2M-85.0M-126.6K0.3975.43111436,0021,773
2021-03-10$184.24$180.0029.5%8.5%28.4%4.9%28.4%3.4%4.3%1.1M-85.9M-132.4K0.0874.80602516,1051,794
2021-03-11$186.43$180.0029.4%8.4%28.0%4.8%30.2%2.9%4.3%1.1M-92.9M-141.3K0.4973.8145226,4071,845
2021-03-12$186.40$180.0029.3%8.4%28.0%4.7%31.6%3.0%3.0%1.1M-93.4M-140.8K30.6774.343926,4431,847
2021-03-15$185.30$180.0028.9%8.3%28.0%4.2%28.0%2.8%3.6%1.1M-92.7M-134.9K0.5574.09110606,4461,882
2021-03-16$187.29$185.0027.9%8.0%26.9%3.1%28.7%1.7%5.0%1.1M-95.3M-132.3K0.7880.9660476,4941,942
2021-03-17$183.90$185.0028.0%8.0%27.8%3.2%27.9%3.0%4.6%1.1M-89.3M-143.5K0.0681.697856,4991,985
2021-03-18$182.85$185.0028.5%8.2%27.1%3.9%28.2%3.1%4.8%1.1M-87.5M-139.6K0.5082.081896,5251,983
2021-03-19$183.37$185.0026.2%7.5%26.5%1.6%27.6%1.7%3.6%2.4M-87.9M-140.0K0.3586.095802036,5211,986
2021-03-22$182.78$185.0024.8%7.1%26.5%0.0%26.6%2.0%8.2%937.9K-53.9M-132.8K6.4284.2512774,4711,324
2021-03-23$181.14$185.0025.7%7.4%26.7%1.3%24.5%3.7%6.7%941.0K-50.3M-146.4K1.5991.1046734,4841,403
2021-03-24$181.29$185.0025.8%7.4%26.7%1.5%23.5%4.8%7.0%946.1K-52.0M-133.9K0.0593.6816594,5151,434
2021-03-25$181.57$185.0026.3%7.5%23.8%2.2%0.0%2.1%6.0%1.0M-52.0M-139.4K5.0086.37154,6651,443
2021-03-26$183.86$185.0024.9%7.1%23.5%0.1%27.1%4.2%7.0%1.1M-55.1M-137.9K0.8885.57874,6661,448
2021-03-29$182.02$185.0027.6%7.9%22.6%4.3%26.7%3.3%5.3%1.1M-52.3M-137.7K0.0886.592524,6761,454
2021-03-30$181.71$185.0026.1%7.5%22.6%2.5%26.2%2.0%7.2%1.1M-51.7M-137.9K0.0077.071504,6841,454
2021-03-31$183.01$185.0024.3%7.0%22.8%0.0%25.9%2.3%6.1%1.1M-53.7M-134.7K4.0083.103124,6951,454