IT Options History — August 2021

In August 2021, IT traded between $264.39 and $308.86. ATM implied volatility averaged 23.7%, placing in the 17.5% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded below realized volatility by 12.4% (HV 20d: 36.1%). Max pain ranged from $230.00 to $250.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 1.30.

Notable Days

  • 2021-08-03: Highest Volume — 1,768 contracts
  • 2021-08-03: Largest IV drop — 40.1% change
  • 2021-08-02: Highest IV Rank — 64.3%
  • 2021-08-02: Largest Expected Move — 12.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$299.21$264.39$308.86$264.39$308.86
Max Pain$232.73$230.00$250.00$250.00$230.00
ATM IV23.7%21.0%42.6%42.6%21.0%
Expected Move6.8%6.0%12.2%12.2%6.0%
HV 20d36.1%11.0%39.6%11.0%18.0%
HV 60d25.6%17.6%26.9%17.6%25.9%
IV Rank17.5%10.9%64.3%64.3%10.9%
IV Percentile15.0%5.2%93.3%93.3%5.2%
Term Structure2.3%-10.8%6.7%-10.8%1.3%
VWIV25.2%20.4%51.0%51.0%20.4%
Skew 25d1.2%-2.7%5.8%-2.7%5.8%
Skew 10d2.3%-12.3%13.7%-10.8%13.7%
Call IV 25d24.5%18.6%47.5%47.5%18.6%
Put IV 25d25.8%21.0%44.8%44.8%24.4%
Bid-Ask Spread %76.4862.9295.0262.9295.02
Gamma HHI0.170.090.380.190.12
Net GEX1.2M694.9K2.2M1.5M737.0K
Net DEX-124.5M-144.6M-85.4M-85.4M-123.4M
Net VEX-124.1K-174.6K-94.0K-174.6K-140.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.300.156.274.161.19
Total Volume396.909701,7681,63670
Total OI10,604.9558,11912,8828,5938,928

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-08-02$264.39$250.0042.6%12.2%11.0%64.3%51.0%-2.7%-10.8%1.5M-85.4M-174.6K4.1662.923171,3195,5913,002
2021-08-03$292.73$250.0025.5%7.3%37.1%21.9%27.3%0.4%-2.4%1.4M-123.8M-94.0K1.7567.496441,1245,9593,415
2021-08-04$289.93$250.0023.0%6.6%37.6%15.8%28.0%3.4%0.9%841.4K-117.8M-96.4K0.8776.804223696,1234,495
2021-08-05$293.79$230.0023.4%6.5%37.1%16.8%23.1%-0.4%5.6%1.1M-119.6M-112.9K0.3466.00259876,2794,880
2021-08-06$292.09$230.0023.0%6.4%37.4%15.7%22.8%0.4%5.8%858.4K-118.6M-103.7K0.3063.41219666,3485,142
2021-08-09$289.79$230.0021.9%6.5%37.7%13.0%23.1%0.4%6.3%944.1K-115.4M-125.9K0.9772.64100976,5015,174
2021-08-10$291.99$230.0022.2%6.7%37.5%13.9%24.2%0.4%4.7%980.1K-121.5M-119.9K2.1269.5434726,6195,183
2021-08-11$295.39$230.0022.1%6.3%37.2%13.6%22.5%2.8%6.7%1.3M-125.7M-126.1K0.3871.9689346,6565,190
2021-08-12$303.86$230.0022.3%6.4%37.7%14.0%23.1%1.1%6.1%1.6M-137.6M-107.1K0.7180.792301636,6575,240
2021-08-13$304.62$230.0022.2%6.4%37.5%13.8%23.1%0.7%6.1%1.8M-138.2M-114.8K0.2473.43191466,7165,442
2021-08-16$308.20$230.0022.5%6.4%37.4%14.5%27.5%2.3%5.8%2.1M-144.6M-106.6K0.2279.80279626,8475,574
2021-08-17$308.82$230.0023.2%6.6%37.5%16.1%25.5%-0.6%5.6%2.2M-144.1M-117.4K1.1680.302162506,8835,602
2021-08-18$302.52$230.0023.3%6.7%38.9%16.5%24.3%0.7%5.7%1.8M-137.0M-115.7K0.6879.381981347,0185,633
2021-08-19$302.15$230.0025.7%7.4%38.9%22.5%26.9%0.4%-0.9%1.4M-132.4M-143.1K2.7376.55792167,0035,842
2021-08-20$302.55$230.0024.9%7.1%38.8%20.4%25.7%0.7%0.0%924.6K-132.1M-140.3K1.1271.7166747,0425,840
2021-08-23$302.50$230.0022.8%6.5%38.9%15.2%22.3%-0.6%0.7%768.1K-117.1M-131.9K0.7079.11133935,0273,092
2021-08-24$300.85$230.0022.9%6.6%39.1%15.5%23.2%1.6%-1.5%717.5K-115.4M-132.6K1.3678.5356765,0363,107
2021-08-25$307.62$230.0022.2%6.4%39.2%13.9%22.3%4.8%0.8%791.5K-122.7M-127.2K0.1581.53435645,1063,165
2021-08-26$305.15$230.0021.4%6.1%39.6%11.9%22.7%3.8%1.8%694.9K-119.7M-127.9K0.6481.9558375,1303,228
2021-08-27$307.37$230.0021.2%6.1%39.6%11.3%21.8%-0.1%1.2%805.3K-123.9M-132.3K6.2787.38221385,4993,275
2021-08-30$307.40$230.0022.0%6.3%39.6%13.2%22.6%2.0%0.1%808.6K-123.9M-139.8K0.4586.3165295,5193,301
2021-08-31$308.86$230.0021.0%6.0%18.0%10.9%20.4%5.8%1.3%737.0K-123.4M-140.3K1.1995.0232385,5163,412