IT Options History — July 2021

In July 2021, IT traded between $248.56 and $264.26. ATM implied volatility averaged 30.2%, placing in the 33.5% IV rank vs the trailing year. The 30-day expected move averaged 9.5%. IV traded above realized volatility by 12.9% (HV 20d: 17.3%). Max pain ranged from $230.00 to $250.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 0.88.

Notable Days

  • 2021-07-19: Highest Volume — 5,695 contracts
  • 2021-07-14: Largest IV spike — 76.7% change
  • 2021-07-30: Highest IV Rank — 62.2%
  • 2021-07-30: Largest Expected Move — 12.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$257.08$248.56$264.26$248.56$264.26
Max Pain$241.90$230.00$250.00$230.00$250.00
ATM IV30.2%18.7%41.7%18.7%41.7%
Expected Move9.5%5.4%12.0%5.4%12.0%
HV 20d17.3%13.0%20.2%19.1%13.0%
HV 60d29.6%17.7%31.0%30.6%17.7%
IV Rank33.5%5.2%62.2%5.2%62.2%
IV Percentile50.0%0.8%91.3%0.8%91.3%
Term Structure-4.1%-10.5%13.1%13.1%-10.5%
VWIV36.4%20.0%47.6%20.0%47.6%
Skew 25d0.4%-2.7%5.5%-0.5%-0.1%
Skew 10d1.1%-6.4%7.3%-6.4%0.1%
Call IV 25d35.6%20.8%44.6%20.8%44.3%
Put IV 25d36.1%20.3%45.3%20.3%44.2%
Bid-Ask Spread %55.1844.0189.0181.4150.31
Gamma HHI0.410.180.590.530.18
Net GEX2.9M1.6M4.4M4.4M1.8M
Net DEX-118.0M-156.6M-69.1M-136.1M-84.8M
Net VEX-231.1K-320.3K-158.4K-320.3K-170.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.880.073.130.770.99
Total Volume566.619245,6951661,370
Total OI8,711.1436,50810,1869,4707,803

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-07-01$248.56$230.0018.7%5.4%19.1%5.2%20.0%-0.5%13.1%4.4M-136.1M-320.3K0.7781.4194727,9141,556
2021-07-02$254.07$230.0019.8%5.7%20.2%7.8%22.2%-0.1%12.0%3.7M-147.4M-305.3K0.5189.01140717,9501,626
2021-07-06$254.47$240.0023.4%9.1%19.1%16.8%34.3%-1.7%-3.9%4.1M-156.6M-256.0K1.2448.2145567,9011,690
2021-07-07$256.55$240.0020.6%9.5%19.1%9.9%34.1%4.2%-5.3%3.6M-151.8M-285.2K0.5745.20113647,9141,692
2021-07-08$253.85$240.0022.8%9.2%19.2%15.2%34.6%1.0%-5.6%3.8M-148.4M-280.7K1.3345.0351687,9041,728
2021-07-09$256.48$240.0019.9%9.3%19.3%8.0%33.4%2.6%-4.6%3.5M-149.2M-284.9K0.3344.011867,9171,780
2021-07-12$256.85$240.0026.5%9.6%19.2%24.4%36.2%1.1%-5.4%3.6M-152.7M-278.5K2.4545.752024947,9111,782
2021-07-13$256.21$240.0019.2%9.6%17.7%6.4%34.6%1.4%-6.3%3.6M-154.8M-256.5K3.1356.468257,9292,241
2021-07-14$254.13$240.0033.9%9.7%17.2%42.9%34.0%0.5%-6.8%3.8M-147.1M-272.1K0.4552.71138627,9262,260
2021-07-15$253.48$240.0032.0%9.2%17.1%38.0%34.9%-0.4%-5.8%3.8M-147.1M-265.0K0.7151.7442307,8542,277
2021-07-16$253.00$240.0033.1%9.5%17.3%40.9%34.8%1.6%-5.5%3.8M-143.9M-267.3K0.1549.15148227,8712,289
2021-07-19$252.92$240.0035.9%10.3%17.1%47.7%39.8%-1.3%-5.3%3.5M-133.7M-272.9K0.0747.865,3263697,6041,916
2021-07-20$256.03$240.0033.0%9.5%16.4%40.7%35.5%0.0%-4.5%1.6M-69.1M-171.6K1.1158.051771964,3442,164
2021-07-21$256.38$240.0032.9%9.4%16.4%40.2%45.8%0.5%-3.2%1.7M-71.4M-170.4K0.0844.59287244,4522,298
2021-07-22$256.68$240.0033.9%9.7%16.2%42.9%35.2%2.4%-5.3%1.7M-71.9M-167.8K1.2065.342282744,7212,319
2021-07-23$261.40$250.0034.4%9.9%16.6%43.9%35.0%-1.5%-5.3%1.7M-79.8M-170.9K0.3148.75270834,8762,446
2021-07-26$263.21$250.0036.9%10.6%16.2%50.2%42.1%-2.7%-5.7%1.7M-81.6M-166.3K0.8860.6597854,8752,446
2021-07-27$264.05$250.0037.4%10.7%15.6%51.4%43.7%-0.8%-6.1%1.7M-83.5M-166.3K1.0555.6642445,0192,507
2021-07-28$262.32$250.0037.9%10.9%15.7%52.7%41.3%-2.3%-7.6%1.7M-83.5M-158.4K0.1962.97203385,0622,521
2021-07-29$263.75$250.0039.5%11.3%15.4%56.6%45.2%5.5%-9.4%1.7M-83.6M-165.4K0.9355.974243935,0892,560
2021-07-30$264.26$250.0041.7%12.0%13.0%62.2%47.6%-0.1%-10.5%1.8M-84.8M-170.6K0.9950.316896815,1892,614