IT Options History — July 2022

In July 2022, IT traded between $235.48 and $265.73. ATM implied volatility averaged 43.4%, placing in the 34.5% IV rank vs the trailing year. The 30-day expected move averaged 12.9%. IV traded above realized volatility by 6.8% (HV 20d: 36.6%). Max pain ranged from $230.00 to $250.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 1 of 20 days. Put/call ratio averaged 0.99.

Notable Days

  • 2022-07-29: Highest Volume — 3,091 contracts
  • 2022-07-07: Largest IV drop — 27.7% change
  • 2022-07-12: Highest IV Rank — 42.4%
  • 2022-07-26: Largest Expected Move — 13.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$247.78$235.48$265.73$245.11$265.73
Max Pain$243.00$230.00$250.00$250.00$250.00
ATM IV43.4%29.9%48.1%36.6%42.7%
Expected Move12.9%10.5%13.8%10.5%12.2%
HV 20d36.6%29.5%44.2%43.5%30.1%
HV 60d41.9%41.1%42.3%42.3%41.9%
IV Rank34.5%15.7%42.4%26.0%32.6%
IV Percentile79.9%33.3%92.1%57.1%76.2%
Term Structure-4.1%-8.5%6.5%6.5%-5.5%
VWIV45.9%38.7%50.2%38.7%46.0%
Skew 25d7.6%5.3%12.9%9.8%12.9%
Skew 10d15.0%1.0%30.1%2.0%15.3%
Call IV 25d41.3%34.7%45.3%34.7%39.2%
Put IV 25d48.9%44.3%52.4%44.5%52.1%
Bid-Ask Spread %67.5851.0590.4590.4576.68
Gamma HHI0.100.090.120.090.09
Net GEX-565.2K-778.5K-150.9K-529.0K-150.9K
Net DEX29.2M15.7M36.4M30.2M15.7M
Net VEX-185.1K-221.6K-156.5K-204.5K-221.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.990.781.191.091.19
Total Volume1,935.81,6883,0911,6883,091
Total OI6,217.655,8747,1686,0927,168

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-07-01$245.11$250.0036.6%10.5%43.5%26.0%38.7%9.8%6.5%-529.0K30.2M-204.5K1.0990.458098792,6283,464
2022-07-05$240.91$230.0041.0%13.0%43.8%32.0%45.5%7.5%-3.1%-592.0K32.8M-191.9K1.1151.058149002,6373,463
2022-07-06$242.62$240.0041.3%13.1%43.9%32.4%46.4%9.5%-4.2%-590.8K31.9M-191.2K1.1065.898148922,6433,490
2022-07-07$245.09$240.0029.9%12.0%44.2%15.7%42.2%5.6%-3.2%-581.5K28.4M-218.6K1.0861.738168842,6463,492
2022-07-08$242.57$240.0037.1%13.0%44.1%26.2%44.8%5.5%-4.7%-613.2K32.3M-182.2K1.1070.878148922,6523,353
2022-07-11$244.99$240.0042.1%13.2%43.8%33.6%46.0%7.7%-2.5%-596.7K30.8M-183.3K1.1159.768149012,6533,359
2022-07-12$236.96$240.0048.1%13.4%44.0%42.4%47.0%7.1%-4.8%-645.0K34.4M-171.5K1.0870.348178862,6513,357
2022-07-13$238.67$240.0045.9%13.2%37.3%39.1%46.6%5.3%-4.0%-671.2K34.0M-171.7K1.1065.238188972,6543,355
2022-07-14$235.48$240.0045.9%13.2%37.6%37.5%46.3%7.0%-3.2%-682.3K36.4M-161.4K1.0866.768198872,6563,361
2022-07-15$239.63$240.0044.9%12.9%38.1%36.0%44.8%7.3%-3.2%-778.5K35.1M-156.5K1.0966.318188922,6603,372
2022-07-18$238.22$240.0045.2%12.9%31.8%36.4%48.5%9.3%-4.6%-571.4K33.9M-159.0K0.8772.211,0208842,5953,279
2022-07-19$247.83$240.0045.1%12.9%32.8%36.3%45.7%7.8%-4.7%-567.3K30.4M-174.7K0.8257.631,0548642,7863,286
2022-07-20$253.45$240.0047.0%13.5%33.2%39.1%45.6%6.6%-6.7%-517.6K26.9M-188.0K0.7866.291,0598212,8393,281
2022-07-21$255.88$240.0043.9%12.6%33.3%34.5%46.1%6.6%-4.1%-565.7K26.3M-188.2K0.8268.961,0898982,8493,360
2022-07-22$253.42$250.0046.9%13.4%32.3%39.0%47.7%8.3%-7.2%-561.8K27.1M-181.4K0.8966.539788722,8843,442
2022-07-25$251.76$250.0046.5%13.3%29.5%38.3%48.5%7.2%-4.6%-592.9K29.0M-177.3K0.8463.271,0238602,9353,458
2022-07-26$250.01$250.0048.1%13.8%29.6%40.8%50.2%7.2%-5.7%-596.7K29.2M-175.3K0.8467.021,0218592,9043,462
2022-07-27$261.77$250.0044.1%12.6%29.9%34.8%44.4%5.9%-4.4%-506.7K21.9M-194.1K0.9772.151,3141,2712,9123,462
2022-07-28$265.43$250.0046.1%13.2%30.1%37.7%46.7%8.2%-8.5%-392.7K18.3M-208.8K0.9072.391,4061,2693,1713,734
2022-07-29$265.73$250.0042.7%12.2%30.1%32.6%46.0%12.9%-5.5%-150.9K15.7M-221.6K1.1976.681,4121,6793,4223,746