IT Options History — June 2021

In June 2021, IT traded between $229.35 and $243.46. ATM implied volatility averaged 22.0%, placing in the 13.4% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 3.4% (HV 20d: 18.6%). Max pain ranged from $160.00 to $230.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 1.93.

Notable Days

  • 2021-06-08: Highest Volume — 2,171 contracts
  • 2021-06-09: Largest IV drop — 15.0% change
  • 2021-06-08: Highest IV Rank — 25.1%
  • 2021-06-03: Largest Expected Move — 7.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$235.45$229.35$243.46$232.92$242.18
Max Pain$223.64$160.00$230.00$160.00$230.00
ATM IV22.0%18.6%26.8%23.5%18.6%
Expected Move6.2%5.3%7.0%6.7%5.3%
HV 20d18.6%13.3%48.4%48.4%17.1%
HV 60d30.5%30.1%30.8%30.8%30.6%
IV Rank13.4%5.0%25.1%17.1%5.0%
IV Percentile2.8%0.4%14.7%2.8%0.4%
Term Structure7.9%0.1%12.7%0.1%12.7%
VWIV23.1%18.9%28.3%24.7%18.9%
Skew 25d1.9%-1.4%9.2%3.2%4.0%
Skew 10d4.2%-0.5%7.7%6.1%3.2%
Call IV 25d22.3%16.8%26.0%23.8%16.8%
Put IV 25d24.1%19.8%32.1%27.0%20.8%
Bid-Ask Spread %86.7078.4292.8087.4989.09
Gamma HHI0.600.550.660.640.57
Net GEX4.6M4.1M5.2M5.2M4.8M
Net DEX-169.8M-217.0M-105.4M-212.3M-120.7M
Net VEX-376.6K-473.6K-321.4K-460.8K-325.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.930.0110.201.610.06
Total Volume263.5362,171120323
Total OI13,872.1368,63817,54416,9509,244

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-06-01$232.92$160.0023.5%6.7%48.4%17.1%24.7%3.2%0.1%5.2M-212.3M-460.8K1.6187.49467413,4033,547
2021-06-02$232.72$160.0023.6%6.8%24.3%17.2%26.9%9.2%0.8%4.9M-209.0M-473.6K0.3991.111084213,4593,607
2021-06-03$232.90$230.0024.2%7.0%20.5%18.6%28.3%1.5%4.4%4.8M-213.5M-466.5K8.0079.312822413,5493,647
2021-06-04$234.06$230.0024.5%6.4%20.4%19.5%28.0%2.4%7.2%4.8M-217.0M-458.5K10.2088.781515313,5703,857
2021-06-07$230.76$230.0025.6%6.7%20.2%22.2%23.9%0.5%6.4%4.6M-203.1M-457.6K0.6279.1317410813,5733,971
2021-06-08$232.95$230.0026.8%6.5%20.4%25.1%25.8%1.2%6.2%5.0M-212.3M-452.0K0.0478.422,0809113,5773,909
2021-06-09$230.80$230.0022.8%6.5%17.1%15.2%24.8%0.3%5.7%4.1M-187.6M-372.6K1.0978.80667212,1423,918
2021-06-10$231.16$230.0021.9%6.3%17.0%13.1%22.2%0.6%6.7%4.2M-187.7M-374.9K0.4383.38472012,1963,943
2021-06-11$233.23$230.0021.8%6.2%14.8%12.7%23.2%2.8%7.0%5.2M-196.2M-373.1K1.2885.86182312,2313,955
2021-06-14$229.35$230.0022.5%6.5%15.8%14.6%22.5%4.0%5.5%4.8M-181.5M-365.1K2.1484.89296212,2383,948
2021-06-15$234.46$230.0022.9%6.6%17.0%15.4%23.3%1.1%5.5%4.9M-202.7M-354.6K4.4387.692310212,2443,991
2021-06-16$233.46$230.0020.8%6.0%16.7%10.3%25.1%-0.4%7.9%4.8M-198.8M-355.1K3.7189.29145212,2394,089
2021-06-17$234.28$230.0022.0%6.3%16.7%13.2%22.2%1.6%9.1%5.2M-203.4M-345.1K1.2582.13162012,2494,117
2021-06-18$233.58$230.0021.5%6.2%13.3%12.0%22.0%0.2%9.8%4.3M-206.5M-342.3K1.3886.71425812,2514,132
2021-06-21$238.25$230.0020.5%5.9%15.0%9.6%21.4%2.3%10.7%4.1M-105.4M-330.8K0.9687.381141097,3711,267
2021-06-22$240.14$230.0021.1%6.0%15.2%11.0%21.4%2.0%10.3%4.5M-111.5M-333.5K0.4689.4050237,4321,354
2021-06-23$239.27$230.0019.1%5.5%15.1%6.2%20.9%4.1%11.8%4.2M-109.9M-335.7K1.0092.802302307,4711,393
2021-06-24$238.07$230.0019.3%5.5%15.3%6.6%19.2%2.4%12.4%4.3M-106.8M-335.9K1.6592.7734567,4951,403
2021-06-25$241.76$230.0019.8%5.7%16.1%7.9%20.2%-0.5%12.1%4.3M-115.2M-326.0K0.0191.228317,5131,455
2021-06-28$240.06$230.0021.5%6.2%16.4%12.0%22.0%-1.4%10.6%4.3M-113.5M-324.0K0.8990.751181057,5901,457
2021-06-29$243.46$230.0020.4%5.8%17.0%9.3%21.2%0.2%11.8%4.3M-121.0M-321.4K0.9390.902662487,6491,541
2021-06-30$242.18$230.0018.6%5.3%17.1%5.0%18.9%4.0%12.7%4.8M-120.7M-325.6K0.0689.09305187,7031,541