IT Options History — September 2021

In September 2021, IT traded between $305.63 and $324.89. ATM implied volatility averaged 24.5%, placing in the 19.4% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded above realized volatility by 6.2% (HV 20d: 18.3%). Max pain ranged from $230.00 to $310.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.47.

Notable Days

  • 2021-09-28: Highest Volume — 923 contracts
  • 2021-09-28: Largest IV spike — 38.4% change
  • 2021-09-28: Highest IV Rank — 37.8%
  • 2021-09-28: Largest Expected Move — 9.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$313.09$305.63$324.89$309.27$306.36
Max Pain$305.24$230.00$310.00$230.00$310.00
ATM IV24.5%21.1%31.9%21.3%28.9%
Expected Move7.1%6.1%9.1%6.1%8.3%
HV 20d18.3%14.3%25.4%17.4%25.4%
HV 60d26.2%25.2%27.9%25.9%27.9%
IV Rank19.4%11.2%37.8%11.6%30.5%
IV Percentile25.4%6.0%67.9%6.3%45.2%
Term Structure6.7%2.6%10.3%2.6%8.4%
VWIV25.3%22.7%32.1%22.7%29.9%
Skew 25d2.0%-0.7%5.1%1.7%2.9%
Skew 10d4.6%-2.2%12.6%-2.2%5.8%
Call IV 25d24.4%20.4%28.7%20.4%28.5%
Put IV 25d26.4%22.1%32.6%22.1%31.3%
Bid-Ask Spread %82.8068.8594.0694.0686.92
Gamma HHI0.140.090.370.120.21
Net GEX854.9K-679.2K2.2M831.2K-679.2K
Net DEX-86.6M-137.2M-14.5M-124.9M-14.5M
Net VEX-166.1K-223.4K-133.5K-147.4K-223.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.470.0512.380.171.27
Total Volume241.816092310991
Total OI7,515.6674,31710,1828,9455,958

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-09-01$309.27$230.0021.3%6.1%17.4%11.6%22.7%1.7%2.6%831.2K-124.9M-147.4K0.1794.0693165,5403,405
2021-09-02$311.32$300.0021.2%6.7%17.1%11.4%23.8%1.7%6.0%870.7K-127.8M-135.9K0.9982.0569685,5463,417
2021-09-03$312.89$300.0021.1%6.4%16.8%11.2%22.7%1.7%5.9%949.5K-129.8M-145.6K0.1980.41123235,5843,417
2021-09-07$311.90$310.0022.3%6.7%16.5%13.9%23.3%1.2%5.6%905.3K-128.7M-137.8K0.3679.1374275,5993,481
2021-09-08$312.95$310.0023.2%6.7%16.4%16.3%23.5%1.9%5.6%985.4K-131.7M-133.5K1.0979.6477845,6493,486
2021-09-09$316.99$310.0022.9%6.6%16.5%15.4%23.0%1.6%5.6%1.2M-137.2M-140.3K2.7581.121022805,6903,504
2021-09-10$313.85$310.0023.2%6.7%14.3%16.4%23.3%1.5%5.3%1.2M-133.5M-138.5K0.8768.8578685,7143,545
2021-09-13$308.58$310.0023.5%6.7%15.7%16.9%24.5%2.1%5.3%804.7K-124.2M-151.5K2.3776.781483515,7733,786
2021-09-14$310.69$310.0024.1%6.9%15.4%18.4%24.3%1.1%4.2%1.0M-127.4M-152.5K0.6980.562421665,8233,830
2021-09-15$317.16$310.0023.9%6.9%17.0%18.1%24.4%1.4%5.3%1.2M-136.6M-155.4K0.6279.6737235,8444,079
2021-09-16$315.96$310.0023.6%6.8%15.0%17.3%24.0%1.3%7.2%1.2M-135.1M-163.3K0.1381.436795,9444,238
2021-09-17$310.66$310.0024.3%7.0%16.5%19.0%25.1%-0.7%6.4%2.2M-125.0M-164.2K3.2882.43742435,8834,247
2021-09-20$310.65$310.0029.1%8.4%16.5%31.0%27.9%0.6%6.3%604.8K-27.4M-169.6K1.1081.801071182,5031,814
2021-09-21$308.19$310.0026.2%7.5%16.8%23.7%26.6%2.9%7.8%442.0K-23.5M-183.9K0.5181.74156802,5292,047
2021-09-22$318.29$310.0024.4%7.0%19.9%19.4%26.5%5.1%8.6%694.4K-32.9M-179.9K0.1586.1179122,5682,153
2021-09-23$323.87$310.0023.6%6.8%19.4%17.4%25.4%2.2%9.9%853.9K-38.1M-184.3K0.1387.00206262,6422,226
2021-09-24$324.89$310.0023.5%6.7%19.0%17.0%23.4%-0.5%9.7%940.4K-40.3M-181.4K0.0585.22290152,6942,236
2021-09-27$316.36$310.0023.0%6.6%21.6%15.9%24.8%4.7%10.3%800.7K-33.0M-196.2K0.9889.341291262,8362,257
2021-09-28$305.63$310.0031.9%9.1%25.1%37.8%32.1%3.9%7.0%429.2K-22.1M-207.3K12.3889.16698542,8892,246
2021-09-29$308.51$310.0028.5%8.2%25.3%29.5%29.8%3.7%8.5%490.9K-25.0M-195.9K0.7885.42100782,8752,332
2021-09-30$306.36$310.0028.9%8.3%25.4%30.5%29.9%2.9%8.4%-679.2K-14.5M-223.4K1.2786.9240512,8913,067