IT Options History — May 2021

In May 2021, IT traded between $197.61 and $233.52. ATM implied volatility averaged 27.1%, placing in the 24.7% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded below realized volatility by 18.6% (HV 20d: 45.7%). Max pain ranged from $130.00 to $200.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 2.92.

Notable Days

  • 2021-05-18: Highest Volume — 7,524 contracts
  • 2021-05-04: Largest IV drop — 20.0% change
  • 2021-05-03: Highest IV Rank — 44.5%
  • 2021-05-03: Largest Expected Move — 10.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$228.20$197.61$233.52$197.61$232.25
Max Pain$157.50$130.00$200.00$190.00$160.00
ATM IV27.1%21.8%38.0%38.0%21.8%
Expected Move7.6%6.2%10.9%10.9%6.2%
HV 20d45.7%14.1%49.1%14.1%48.3%
HV 60d32.6%27.3%36.7%27.3%31.4%
IV Rank24.7%12.7%44.5%44.5%12.7%
IV Percentile12.8%0.8%63.9%63.9%0.8%
Term Structure0.6%-9.4%5.5%-9.4%0.2%
VWIV27.2%21.9%37.0%37.0%21.9%
Skew 25d4.2%0.7%11.3%5.8%11.3%
Skew 10d8.4%-1.9%18.8%3.8%17.8%
Call IV 25d26.3%21.3%35.4%35.4%21.3%
Put IV 25d30.4%26.0%41.2%41.2%32.7%
Bid-Ask Spread %83.6979.8889.1579.8887.50
Gamma HHI0.520.140.700.270.60
Net GEX4.0M-2.6K6.1M-2.6K4.7M
Net DEX-177.5M-215.8M-67.4M-67.4M-206.0M
Net VEX-352.6K-479.7K-69.0K-120.0K-478.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.920.0124.180.220.26
Total Volume1,082.7287,524353107
Total OI16,693.58,25220,6508,25216,896

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-05-03$197.61$190.0038.0%10.9%14.1%44.5%37.0%5.8%-9.4%-2.6K-67.4M-120.0K0.2279.88290635,0733,179
2021-05-04$222.84$190.0030.4%8.7%44.2%28.6%32.2%2.6%-6.1%536.8K-106.1M-69.0K0.7181.729156505,3033,232
2021-05-05$231.29$200.0033.4%9.6%44.3%35.0%34.9%8.1%-8.7%819.1K-115.8M-75.5K0.0482.727,0653165,9483,654
2021-05-06$229.74$130.0028.2%7.2%44.7%27.6%25.0%3.1%3.7%6.1M-190.8M-337.3K15.0486.66811,21812,3623,754
2021-05-07$233.52$130.0026.1%7.1%44.7%23.5%25.5%2.2%4.3%5.6M-202.8M-337.3K3.8281.087127112,3185,064
2021-05-10$232.38$130.0028.4%7.3%45.0%29.3%26.1%3.4%3.6%5.4M-197.5M-332.2K2.3982.194410512,3385,282
2021-05-11$225.15$130.0029.2%7.4%47.4%31.2%26.2%0.7%4.3%4.2M-162.0M-340.8K1.4081.20659112,3305,296
2021-05-12$224.11$130.0028.1%8.1%47.4%28.5%30.1%4.3%3.2%4.5M-160.6M-331.5K24.1883.69441,06412,3345,320
2021-05-13$229.86$160.0025.6%7.3%47.7%22.2%26.7%2.8%3.8%4.5M-180.4M-349.8K0.3281.99712312,3316,554
2021-05-14$231.31$160.0026.0%7.4%47.7%23.1%26.6%3.3%4.6%4.5M-188.3M-340.3K1.1785.00364212,3726,547
2021-05-17$228.43$160.0027.1%7.8%48.2%26.0%27.8%3.8%3.6%4.5M-174.3M-337.1K1.5082.12324812,3896,553
2021-05-18$226.18$160.0026.0%7.4%48.4%23.1%26.0%2.1%5.5%3.9M-164.1M-326.7K0.0181.617,4665812,3946,570
2021-05-19$225.97$160.0026.6%7.6%48.5%24.6%29.8%3.8%4.1%3.1M-184.9M-467.0K1.1889.15333913,9846,621
2021-05-20$232.54$160.0025.9%7.4%49.0%23.0%26.7%5.9%-1.9%4.9M-215.3M-465.9K0.6585.821036713,9846,619
2021-05-21$232.03$160.0026.1%7.5%49.1%23.4%26.1%2.7%-0.8%5.1M-215.8M-457.3K3.2583.055517914,0046,646
2021-05-24$232.60$160.0024.3%7.0%48.7%18.9%24.5%4.6%-1.4%4.0M-201.6M-446.1K0.0984.176385612,7013,456
2021-05-25$231.60$160.0023.7%6.8%48.9%17.4%23.8%4.0%-0.1%4.2M-202.1M-479.6K0.2984.151303813,2173,494
2021-05-26$231.93$160.0022.8%6.5%48.8%15.3%22.9%4.7%-0.1%4.4M-205.0M-479.7K0.4784.0219913,3423,525
2021-05-27$232.65$160.0023.5%6.7%48.8%16.9%24.0%4.2%-1.0%4.5M-209.0M-479.4K1.3686.03223013,3573,527
2021-05-28$232.25$160.0021.8%6.2%48.3%12.7%21.9%11.3%0.2%4.7M-206.0M-478.9K0.2687.50852213,3643,532