IT Options History — December 2021

In December 2021, IT traded between $307.37 and $336.99. ATM implied volatility averaged 31.8%, placing in the 43.9% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded below realized volatility by 2.5% (HV 20d: 34.3%). Max pain ranged from $270.00 to $330.00. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 0.75.

Notable Days

  • 2021-12-15: Highest Volume — 1,103 contracts
  • 2021-12-03: Largest IV spike — 20.9% change
  • 2021-12-03: Highest IV Rank — 72.3%
  • 2021-12-03: Largest Expected Move — 11.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$321.24$307.37$336.99$310.31$335.83
Max Pain$315.91$270.00$330.00$270.00$320.00
ATM IV31.8%26.3%41.7%34.4%26.8%
Expected Move9.0%7.6%11.9%9.9%7.7%
HV 20d34.3%25.8%40.8%27.3%36.9%
HV 60d29.1%25.9%30.5%25.9%29.7%
IV Rank43.9%28.0%72.3%51.3%29.4%
IV Percentile66.5%39.3%94.8%81.3%41.7%
Term Structure6.4%-5.1%13.7%-1.9%12.4%
VWIV32.8%27.3%45.0%35.7%27.3%
Skew 25d3.1%0.3%6.2%1.6%0.3%
Skew 10d6.1%-2.6%14.6%-2.6%-0.2%
Call IV 25d30.5%24.5%40.4%35.3%26.8%
Put IV 25d33.6%27.1%46.1%36.9%27.1%
Bid-Ask Spread %76.5061.2890.5390.5384.92
Gamma HHI0.120.080.310.090.08
Net GEX489.6K-165.5K1.5M341.6K296.9K
Net DEX-18.1M-36.1M2.1M-21.3M-11.9M
Net VEX-185.7K-196.2K-177.4K-187.2K-181.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.750.490.950.820.75
Total Volume6754871,103750502
Total OI5,129.5913,3606,6386,0563,577

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-12-01$310.31$270.0034.4%9.9%27.3%51.3%35.7%1.6%-1.9%341.6K-21.3M-187.2K0.8290.534133373,3692,687
2021-12-02$319.66$270.0034.5%9.9%25.8%51.5%42.0%4.4%-1.8%825.8K-30.4M-196.2K0.8888.633633213,3852,696
2021-12-03$307.37$270.0041.7%11.9%28.7%72.3%45.0%5.7%-5.1%325.5K-18.2M-195.1K0.8989.693473093,4152,707
2021-12-06$307.74$330.0036.5%10.1%28.5%57.4%37.9%6.2%2.2%237.8K-19.0M-183.2K0.7467.853552633,4202,733
2021-12-07$316.49$330.0030.9%9.0%30.4%41.2%33.6%4.8%4.9%641.7K-26.9M-184.2K0.6767.483842593,4292,767
2021-12-08$319.25$330.0031.4%8.7%30.0%42.5%32.8%3.9%5.7%686.7K-29.0M-182.9K0.7261.284183023,4452,793
2021-12-09$312.47$330.0031.2%8.8%29.3%42.2%35.9%3.0%5.7%361.2K-21.5M-182.0K0.6268.183972453,4552,809
2021-12-10$321.61$330.0030.1%8.2%31.3%39.0%30.6%3.4%6.9%826.4K-30.4M-185.6K0.4968.655012473,4532,830
2021-12-13$321.74$320.0036.3%8.7%31.1%56.9%30.4%2.3%5.9%915.7K-30.2M-181.1K0.5366.644762533,4582,839
2021-12-14$312.80$330.0036.1%9.3%32.5%56.2%33.3%1.5%4.4%390.1K-20.0M-177.4K0.8373.414803973,5052,866
2021-12-15$326.52$320.0031.7%9.1%36.4%43.6%32.7%3.4%5.1%1.1M-36.1M-182.9K0.6178.136854183,5212,970
2021-12-16$324.85$320.0032.2%9.2%36.2%44.8%33.5%2.0%7.8%1.1M-34.5M-189.5K0.6073.765893533,6562,982
2021-12-17$319.89$320.0033.8%9.7%36.5%49.5%31.9%2.8%4.9%1.5M-11.4M-188.9K0.5772.395202943,1623,087
2021-12-20$307.71$320.0034.8%10.0%38.7%52.5%34.8%5.7%6.7%-165.5K2.1M-180.1K0.7172.582842031,4731,887
2021-12-21$313.71$320.0032.1%9.2%38.0%44.8%32.9%2.0%8.4%-39.1K-524.3K-184.3K0.9575.742802671,4831,915
2021-12-22$323.67$320.0029.9%8.6%39.7%38.2%30.6%2.2%10.3%116.8K-6.1M-190.5K0.8773.573022641,4982,004
2021-12-23$326.15$320.0027.7%7.9%39.8%31.9%28.7%3.6%8.6%204.8K-7.4M-191.9K0.5881.284392541,5152,010
2021-12-27$334.74$320.0027.8%8.0%40.8%32.3%28.1%6.0%10.4%274.8K-11.5M-183.5K0.9579.712702561,4532,025
2021-12-28$334.33$320.0027.4%7.8%40.7%30.9%27.8%1.8%12.0%293.7K-11.4M-181.9K0.9482.792842681,4572,041
2021-12-29$336.99$320.0026.9%7.7%38.2%29.6%28.4%1.0%13.1%271.0K-11.9M-188.9K0.8781.002832451,4572,070
2021-12-30$333.50$320.0026.3%7.6%38.2%28.0%27.4%1.5%13.7%211.5K-10.0M-185.3K0.8984.712772461,4622,085
2021-12-31$335.83$320.0026.8%7.7%36.9%29.4%27.3%0.3%12.4%296.9K-11.9M-181.8K0.7584.922872151,4742,103