IT Options History — November 2021

In November 2021, IT traded between $313.56 and $339.89. ATM implied volatility averaged 29.4%, placing in the 35.9% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded above realized volatility by 2.3% (HV 20d: 27.1%). Max pain ranged from $270.00 to $320.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.85.

Notable Days

  • 2021-11-02: Highest Volume — 3,108 contracts
  • 2021-11-02: Largest IV drop — 41.5% change
  • 2021-11-01: Highest IV Rank — 82.1%
  • 2021-11-01: Largest Expected Move — 14.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$329.79$313.56$339.89$328.12$313.56
Max Pain$277.14$270.00$320.00$320.00$270.00
ATM IV29.4%25.7%49.7%49.7%34.6%
Expected Move8.3%7.4%14.3%14.3%9.9%
HV 20d27.1%21.0%30.6%21.0%30.6%
HV 60d23.9%21.2%25.8%21.2%25.8%
IV Rank35.9%26.2%82.1%82.1%51.7%
IV Percentile50.7%32.9%98.0%98.0%82.1%
Term Structure1.4%-11.9%6.5%-11.9%-3.4%
VWIV30.3%26.1%52.1%52.1%38.6%
Skew 25d3.4%0.7%5.2%3.0%3.9%
Skew 10d9.1%1.8%14.9%8.9%10.6%
Call IV 25d28.1%23.7%50.5%50.5%33.8%
Put IV 25d31.5%27.7%53.6%53.6%37.7%
Bid-Ask Spread %79.5658.3690.2858.3687.37
Gamma HHI0.120.090.170.100.09
Net GEX1.0M240.6K2.3M240.6K585.2K
Net DEX-43.4M-60.2M-24.5M-36.4M-24.5M
Net VEX-222.1K-269.7K-193.5K-269.7K-194.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.850.642.142.140.77
Total Volume1,151.9526773,1082,916681
Total OI8,030.4295,8438,9288,4696,016

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-11-01$328.12$320.0049.7%14.3%21.0%82.1%52.1%3.0%-11.9%240.6K-36.4M-269.7K2.1458.369281,9883,7754,694
2021-11-02$339.89$320.0029.1%8.3%22.9%30.9%29.6%0.7%-2.5%1.1M-60.2M-242.4K1.1176.621,4751,6334,0454,880
2021-11-03$325.46$320.0028.1%8.1%26.3%33.2%28.9%2.3%-1.6%331.0K-35.8M-252.6K0.6879.788565844,1674,687
2021-11-04$328.83$270.0026.9%7.4%26.3%29.6%27.1%2.3%5.8%574.6K-39.6M-249.8K0.9975.826036004,1404,699
2021-11-05$331.44$270.0027.3%7.7%26.1%30.8%26.9%2.5%3.7%721.9K-42.7M-247.7K0.8472.526425414,1504,757
2021-11-08$333.83$270.0030.3%7.9%25.9%39.5%27.5%5.2%4.5%1.0M-47.7M-243.8K0.6472.606744304,1424,744
2021-11-09$338.90$270.0029.4%7.9%25.8%37.0%28.1%2.9%3.9%1.5M-57.5M-231.6K0.7272.216154414,1254,744
2021-11-10$329.32$270.0027.1%7.8%28.2%30.3%28.5%2.2%5.4%617.3K-41.7M-237.4K0.7278.325894234,1234,739
2021-11-11$329.71$270.0026.6%7.6%28.0%28.8%27.8%3.1%5.9%559.9K-39.9M-235.4K0.7074.956024194,1364,740
2021-11-12$332.57$270.0025.8%7.4%28.1%26.4%27.3%3.9%6.2%1.1M-47.2M-226.8K0.7477.005624184,1624,741
2021-11-15$333.41$270.0026.3%7.5%27.9%27.8%26.9%4.2%5.3%1.1M-46.9M-216.8K0.7974.955454284,1714,737
2021-11-16$332.39$270.0026.9%7.7%27.7%29.5%26.1%5.0%6.5%1.1M-47.4M-211.1K0.6979.736124254,1564,748
2021-11-17$335.20$270.0026.0%7.4%27.2%26.9%27.1%5.0%5.8%1.7M-51.4M-212.4K0.7284.595503974,1704,744
2021-11-18$335.42$270.0027.0%7.7%27.0%29.8%26.4%2.3%-2.1%2.3M-55.1M-199.7K0.6988.495854044,1704,739
2021-11-19$335.30$270.0025.7%7.4%26.6%26.2%26.3%3.2%0.3%2.0M-54.3M-200.0K0.7184.946094344,1834,745
2021-11-22$324.26$270.0029.1%8.4%29.4%36.1%28.4%3.2%0.3%1.0M-38.2M-201.2K0.6984.534232923,2762,567
2021-11-23$324.16$270.0030.4%8.7%29.1%39.8%31.2%3.9%-1.9%952.7K-36.4M-200.2K0.8985.183593183,3442,587
2021-11-24$325.11$270.0027.8%8.0%28.7%32.3%31.1%3.3%-0.1%1.0M-35.8M-201.6K0.9286.293633333,3532,588
2021-11-26$323.18$270.0033.3%9.5%28.4%48.1%34.9%4.6%-0.2%870.4K-35.5M-196.4K0.7790.284043103,3662,602
2021-11-29$325.43$270.0029.4%8.4%27.9%36.9%35.5%3.9%-0.1%1.1M-37.1M-193.5K0.9986.153503463,3692,618
2021-11-30$313.56$270.0034.6%9.9%30.6%51.7%38.6%3.9%-3.4%585.2K-24.5M-194.2K0.7787.373852963,3632,653