IT Options History — March 2022

In March 2022, IT traded between $259.01 and $307.00. ATM implied volatility averaged 37.7%, placing in the 29.8% IV rank vs the trailing year. The 30-day expected move averaged 12.1%. IV traded below realized volatility by 5.6% (HV 20d: 43.4%). Max pain ranged from $290.00 to $300.00. Net GEX was positive for 13 of 23 trading days. Term structure was in contango for 19 of 23 days. Put/call ratio averaged 0.49.

Notable Days

  • 2022-03-09: Highest Volume — 4,527 contracts
  • 2022-03-08: Largest IV drop — 21.9% change
  • 2022-03-07: Highest IV Rank — 51.4%
  • 2022-03-07: Largest Expected Move — 15.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$286.45$259.01$307.00$274.89$298.65
Max Pain$292.38$290.00$300.00$290.00$290.00
ATM IV37.7%26.6%53.0%47.4%26.6%
Expected Move12.1%10.7%15.2%13.6%11.1%
HV 20d43.4%36.4%46.3%36.4%43.6%
HV 60d39.1%37.1%40.4%37.2%39.7%
IV Rank29.8%14.0%51.4%43.5%14.0%
IV Percentile74.3%37.3%96.4%95.2%37.3%
Term Structure3.9%-8.3%14.1%-8.3%14.1%
VWIV46.3%39.1%63.1%48.5%39.9%
Skew 25d5.9%2.4%9.9%8.1%5.6%
Skew 10d9.0%0.1%17.8%16.0%5.7%
Call IV 25d35.6%24.3%44.7%43.4%24.3%
Put IV 25d41.5%29.9%51.4%51.4%29.9%
Bid-Ask Spread %69.7448.8589.0283.3163.96
Gamma HHI0.190.080.380.360.17
Net GEX79.3K-1.6M1.6M1.3M942.0K
Net DEX-2.4M-37.8M34.0M-25.2M-15.9M
Net VEX-411.5K-636.5K-346.7K-617.3K-346.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.490.220.830.270.44
Total Volume2,391.5221,3144,5272,8731,387
Total OI9,238.3916,54913,08712,9066,697

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-03-01$274.89$290.0047.4%13.6%36.4%43.5%48.5%8.1%-8.3%1.3M-25.2M-617.3K0.2783.312,2556188,6794,227
2022-03-02$284.28$290.0043.1%12.4%38.5%37.5%43.0%7.8%2.7%1.6M-37.8M-636.5K0.2783.652,3016198,7654,226
2022-03-03$278.64$290.0044.2%12.7%38.2%39.0%45.3%5.3%3.3%1.5M-32.0M-634.2K0.2587.662,3595858,8614,226
2022-03-04$268.38$290.0043.6%12.5%37.8%38.1%47.6%9.9%0.8%496.1K3.9M-515.9K0.2279.973,6867957,7934,233
2022-03-07$259.01$290.0053.0%15.2%38.1%51.4%58.2%4.0%0.5%-456.4K33.4M-398.3K0.3783.293,1371,1656,1544,427
2022-03-08$271.10$290.0041.4%13.8%42.4%35.0%58.1%6.6%-0.9%-1.4M34.0M-371.1K0.4487.482,9531,2894,8475,073
2022-03-09$285.99$290.0039.6%12.3%45.9%32.4%63.1%9.0%0.8%-771.1K13.0M-403.0K0.5185.102,9891,5384,8525,082
2022-03-10$280.02$290.0042.8%13.2%46.3%36.9%62.4%8.1%-0.2%-1.1M19.5M-386.8K0.3086.873,0389084,8565,181
2022-03-11$280.85$290.0042.6%13.5%44.2%36.7%51.8%3.6%0.4%-1.1M14.6M-384.7K0.8389.021,2091,0024,8795,203
2022-03-14$273.49$300.0045.6%12.4%45.1%40.9%45.5%8.2%-2.0%-1.6M28.6M-363.3K0.7960.521,1989514,8825,308
2022-03-15$278.84$300.0042.6%12.3%45.8%36.7%46.1%6.2%0.2%-1.5M19.9M-377.5K0.7753.501,1989244,9895,310
2022-03-16$285.29$300.0038.0%11.9%45.8%30.2%44.6%6.7%3.8%-1.1M9.8M-375.4K0.7965.261,2249684,9885,309
2022-03-17$289.90$0.0037.0%11.9%46.1%28.8%0.0%5.5%5.2%-863.4K1.4M-379.9K0.8151.611,0838824,9445,299
2022-03-18$298.84$0.0032.4%11.1%45.2%22.3%42.2%4.1%6.3%-262.5K-17.2M-377.7K0.8054.871,1058794,9495,296
2022-03-21$295.51$290.0029.7%11.0%45.4%18.5%42.0%4.7%9.0%698.4K-11.5M-369.4K0.4654.459224283,6542,895
2022-03-22$300.78$290.0031.0%11.0%45.0%20.3%39.1%4.1%7.7%738.9K-15.5M-372.3K0.4261.689253893,6742,901
2022-03-23$290.15$300.0032.3%11.2%45.2%22.2%39.4%5.9%6.8%623.6K-6.7M-358.7K0.4266.499483973,6962,913
2022-03-24$294.92$300.0032.8%11.5%45.0%22.8%40.7%4.8%6.1%699.6K-9.4M-362.6K0.4362.639313963,7002,922
2022-03-25$294.36$290.0033.4%11.4%44.6%23.8%40.4%5.2%6.9%698.3K-9.7M-357.0K0.4360.989304023,7032,922
2022-03-28$296.51$290.0030.1%11.2%43.7%19.1%40.4%2.8%8.3%805.6K-12.3M-356.5K0.4466.569314103,7052,929
2022-03-29$307.00$290.0029.3%10.7%44.6%17.9%39.9%7.5%9.0%923.4K-23.3M-362.6K0.4348.859644153,7062,939
2022-03-30$300.96$290.0029.6%11.1%44.2%18.3%40.0%2.4%9.9%875.8K-17.3M-357.3K0.4366.269574153,7432,946
2022-03-31$298.65$290.0026.6%11.1%43.6%14.0%39.9%5.6%14.1%942.0K-15.9M-346.7K0.4463.969634243,7472,950