IT Options History — September 2022

In September 2022, IT traded between $252.66 and $309.91. ATM implied volatility averaged 36.3%, placing in the 20.5% IV rank vs the trailing year. The 30-day expected move averaged 10.2%. IV traded below realized volatility by 20.9% (HV 20d: 57.1%). Max pain ranged from $290.00 to $300.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 4.60.

Notable Days

  • 2022-09-06: Highest Volume — 3,381 contracts
  • 2022-09-15: Largest IV spike — 177.3% change
  • 2022-09-15: Highest IV Rank — 86.5%
  • 2022-09-15: Largest Expected Move — 22.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$287.56$252.66$309.91$289.51$278.98
Max Pain$298.10$290.00$300.00$300.00$290.00
ATM IV36.3%26.2%78.7%32.2%36.5%
Expected Move10.2%8.1%22.6%9.2%10.5%
HV 20d57.1%25.7%82.1%25.8%82.1%
HV 60d45.2%32.1%54.0%37.1%53.8%
IV Rank20.5%5.2%86.5%16.7%18.1%
IV Percentile44.4%7.1%99.6%39.7%49.6%
Term Structure1.9%-43.7%8.3%0.8%8.3%
VWIV35.7%20.3%68.6%33.0%36.9%
Skew 25d2.9%-24.9%8.9%4.8%8.3%
Skew 10d7.2%-7.0%15.0%4.9%13.1%
Call IV 25d33.2%27.9%53.1%31.0%32.9%
Put IV 25d36.1%14.9%43.8%35.8%41.2%
Bid-Ask Spread %83.8973.0790.9090.8785.29
Gamma HHI0.180.100.720.160.11
Net GEX-1.2M-7.7M-133.4K-1.7M-757.5K
Net DEX7.8M-12.0M17.3M14.5M14.8M
Net VEX-172.1K-202.8K-144.2K-180.9K-168.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.600.0044.0011.523.52
Total Volume89063,3811,9151,371
Total OI7,712.4765,6739,4728,5766,202

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-09-01$289.51$300.0032.2%9.2%25.8%16.7%33.0%4.8%0.8%-1.7M14.5M-180.9K11.5290.871531,7623,8494,727
2022-09-02$287.51$300.0032.1%9.2%25.7%16.5%32.8%3.3%0.7%-1.8M15.1M-202.8K44.0090.901443,9785,265
2022-09-06$290.12$290.0035.0%9.6%25.9%20.9%35.0%6.6%2.3%-1.9M15.9M-188.1K6.7779.684352,9463,9795,306
2022-09-07$296.64$300.0030.3%9.2%27.0%12.4%36.5%5.9%3.0%-1.5M4.9M-185.7K6.1873.074032,4914,0355,316
2022-09-08$297.29$300.0030.9%8.9%25.8%12.5%39.6%5.3%4.7%-1.4M3.5M-190.2K0.2186.0353114,0405,330
2022-09-09$306.07$300.0026.2%8.2%27.8%5.2%32.4%5.6%4.9%-622.2K-9.7M-198.4K0.4483.1225114,0845,334
2022-09-12$309.91$300.0034.1%8.7%26.7%17.2%29.9%6.9%3.6%-244.9K-12.0M-186.4K0.0884.56292224,0845,335
2022-09-13$301.54$300.0041.8%9.2%26.5%29.1%33.1%2.6%4.0%-936.1K-5.7M-179.8K3.4382.923161,0844,0855,345
2022-09-14$275.33$300.0028.4%8.1%41.0%8.3%20.3%-17.1%-11.4%-305.4K9.2M-172.3K0.8086.0020164,0935,364
2022-09-15$252.66$300.0078.7%22.6%49.5%86.5%68.6%-24.9%-43.7%-133.4K11.1M-170.7K0.3383.631864,0965,374
2022-09-16$299.88$300.0033.6%9.6%81.1%16.5%34.6%6.2%6.6%-7.7M-1.3M-166.6K3.5280.053031,0664,0975,375
2022-09-19$302.16$300.0033.3%9.5%80.7%15.9%33.6%5.0%7.0%-237.4K359.3K-169.4K0.7582.91123922,1073,566
2022-09-20$291.91$300.0034.0%9.7%81.5%17.0%32.8%6.7%5.1%-427.3K5.2M-162.0K0.0881.422622,2293,599
2022-09-21$288.22$300.0034.2%9.8%81.6%17.4%33.5%3.4%6.4%-492.7K6.0M-162.7K0.0087.54602,2393,600
2022-09-22$282.95$300.0034.0%9.7%81.8%17.0%32.7%5.3%6.8%-716.1K11.6M-153.0K1.1686.2232372,2433,604
2022-09-23$275.78$300.0034.9%10.0%82.0%18.5%35.6%5.0%6.7%-850.0K17.3M-156.4K0.1986.124382,2653,616
2022-09-26$276.78$300.0037.6%10.8%81.4%22.7%38.7%4.4%6.0%-826.1K16.1M-149.0K2.0281.962986022,2953,621
2022-09-27$274.49$300.0039.4%11.3%81.4%25.4%36.7%5.2%5.2%-850.1K16.6M-144.2K4.7083.293201,5052,2973,624
2022-09-28$282.32$290.0036.3%10.4%82.0%17.7%36.3%3.8%6.4%-751.4K13.9M-165.1K3.4979.743061,0682,3143,849
2022-09-29$278.73$290.0037.8%10.8%82.1%20.1%37.8%8.9%5.9%-804.6K15.8M-161.0K3.5086.393051,0682,3273,874
2022-09-30$278.98$290.0036.5%10.5%82.1%18.1%36.9%8.3%8.3%-757.5K14.8M-168.7K3.5285.293031,0682,3283,874