IT Options History — October 2021

In October 2021, IT traded between $300.88 and $331.51. ATM implied volatility averaged 34.4%, placing in the 44.0% IV rank vs the trailing year. The 30-day expected move averaged 10.7%. IV traded above realized volatility by 9.2% (HV 20d: 25.2%). Max pain ranged from $310.00 to $320.00. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 3.20.

Notable Days

  • 2021-10-28: Highest Volume — 2,464 contracts
  • 2021-10-13: Largest IV spike — 29.7% change
  • 2021-10-29: Highest IV Rank — 73.8%
  • 2021-10-29: Largest Expected Move — 13.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$313.81$300.88$331.51$306.44$331.51
Max Pain$310.48$310.00$320.00$310.00$310.00
ATM IV34.4%26.3%46.4%28.5%46.4%
Expected Move10.7%8.2%13.3%8.2%13.3%
HV 20d25.2%19.3%28.2%25.2%20.6%
HV 60d27.6%21.1%29.2%27.8%21.1%
IV Rank44.0%24.0%73.8%29.3%73.8%
IV Percentile71.8%37.7%97.2%43.3%97.2%
Term Structure-4.8%-11.2%8.2%8.2%-11.2%
VWIV39.2%28.4%47.9%28.4%47.9%
Skew 25d2.0%-7.1%4.7%2.1%4.0%
Skew 10d4.6%-9.6%11.5%7.7%5.3%
Call IV 25d37.8%27.4%44.4%27.4%44.4%
Put IV 25d39.8%29.4%48.3%29.4%48.3%
Bid-Ask Spread %62.9549.1789.0789.0755.97
Gamma HHI0.170.090.390.260.09
Net GEX-438.7K-2.4M646.4K-958.6K451.4K
Net DEX-23.6M-40.5M-2.8M-15.0M-40.5M
Net VEX-229.5K-262.4K-206.9K-215.1K-262.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.200.1418.880.260.70
Total Volume727.143832,4641081,636
Total OI6,816.7626,0137,9816,0137,981

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-10-01$306.44$310.0028.5%8.2%25.2%29.3%28.4%2.1%8.2%-958.6K-15.0M-215.1K0.2689.0786222,9063,107
2021-10-04$305.01$310.0028.6%10.6%25.2%29.8%37.8%1.2%-3.9%-1.2M-12.2M-214.2K0.8260.7262512,9013,141
2021-10-05$311.83$320.0031.2%10.3%26.5%36.2%38.3%2.3%-2.6%-409.2K-22.5M-220.5K1.4360.71871242,9743,167
2021-10-06$303.26$310.0029.8%10.7%28.2%32.5%40.1%3.1%-3.0%-1.3M-10.3M-211.3K0.3452.6671243,0143,198
2021-10-07$305.99$310.0026.7%10.8%28.0%25.0%38.1%2.3%-4.4%-1.3M-13.9M-220.0K1.3755.3935483,0373,267
2021-10-08$304.46$310.0026.3%11.0%27.9%24.0%39.6%4.7%-5.6%-1.8M-11.6M-215.3K18.8849.17691,3033,0573,277
2021-10-11$302.63$310.0030.1%10.8%27.3%33.4%38.1%4.0%-4.2%-2.4M-7.6M-206.9K9.4556.91383593,0653,318
2021-10-12$300.88$310.0028.0%10.8%27.2%28.3%38.1%3.9%-4.9%-2.0M-2.8M-221.1K0.1458.81258363,0573,558
2021-10-13$305.64$310.0036.4%10.4%26.7%48.9%37.2%1.3%-3.2%-1.0M-12.2M-209.3K1.1569.1066763,0793,727
2021-10-14$309.68$310.0036.5%10.5%27.2%49.2%38.3%2.7%-3.9%-332.7K-20.9M-209.9K0.3467.642911003,1483,752
2021-10-15$311.94$310.0034.5%9.9%26.7%44.3%34.7%3.4%-3.5%-237.5K-25.3M-213.6K1.8775.03541013,1923,816
2021-10-18$315.39$310.0034.3%9.8%27.0%43.7%36.2%1.7%-4.0%53.0K-25.6M-240.5K16.6481.44223663,0273,424
2021-10-19$319.54$310.0035.2%10.1%27.1%46.0%37.6%4.0%-5.2%208.7K-30.4M-236.6K6.1470.83352153,0533,474
2021-10-20$315.16$310.0035.9%10.3%25.1%47.8%38.4%-7.1%-4.9%27.1K-26.9M-243.8K0.4864.908514103,0733,939
2021-10-21$318.82$310.0035.5%10.2%24.7%46.7%41.6%1.4%-3.7%349.7K-31.7M-249.2K0.6265.506734163,2493,950
2021-10-22$323.42$310.0037.1%10.6%25.2%50.6%40.6%-0.5%-7.0%533.8K-36.3M-247.4K0.5864.117664463,2773,999
2021-10-25$323.06$310.0038.4%11.0%23.2%54.0%39.8%-1.4%-6.9%417.6K-36.8M-236.7K0.6563.837985183,2214,029
2021-10-26$326.87$310.0038.4%11.0%19.3%53.9%42.0%1.6%-7.0%646.4K-40.4M-243.9K0.7254.496034343,3424,083
2021-10-27$322.25$310.0040.3%11.6%20.1%58.7%44.4%3.1%-8.0%459.0K-35.8M-243.3K1.1855.465766803,3724,127
2021-10-28$326.33$310.0043.6%12.5%20.1%67.0%45.6%4.3%-10.8%515.7K-37.7M-258.4K3.3750.195641,9003,3804,394
2021-10-29$331.51$310.0046.4%13.3%20.6%73.8%47.9%4.0%-11.2%451.4K-40.5M-262.4K0.7055.979606763,4324,549