IT Options History — November 2022

In November 2022, IT traded between $318.71 and $350.46. ATM implied volatility averaged 30.2%, placing in the 7.9% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded below realized volatility by 8.1% (HV 20d: 38.4%). Max pain ranged from $280.00 to $300.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 2.81.

Notable Days

  • 2022-11-30: Highest Volume — 3,105 contracts
  • 2022-11-07: Largest IV spike — 7.0% change
  • 2022-11-07: Highest IV Rank — 15.1%
  • 2022-11-01: Largest Expected Move — 9.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$334.29$318.71$350.46$325.86$350.46
Max Pain$281.43$280.00$300.00$290.00$280.00
ATM IV30.2%26.4%34.7%33.3%27.9%
Expected Move8.5%7.6%9.5%9.5%8.0%
HV 20d38.4%27.3%43.0%40.6%27.3%
HV 60d54.7%54.4%55.2%54.7%54.8%
IV Rank7.9%1.7%15.1%12.8%4.0%
IV Percentile17.7%2.0%38.5%32.9%7.5%
Term Structure2.1%-2.0%4.6%-2.0%-0.1%
VWIV31.6%26.7%40.9%39.1%30.5%
Skew 25d4.4%0.6%7.4%7.4%0.6%
Skew 10d8.8%3.2%15.2%11.4%6.1%
Call IV 25d28.5%23.2%33.0%31.2%29.1%
Put IV 25d32.9%27.1%38.6%38.6%29.7%
Bid-Ask Spread %81.0369.5389.2777.8283.01
Gamma HHI0.150.130.200.170.14
Net GEX3.1M1.2M3.7M3.3M3.4M
Net DEX-170.2M-207.1M-128.0M-148.4M-207.1M
Net VEX-201.2K-303.0K-114.7K-278.4K-118.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.810.026.932.440.02
Total Volume1,714.47623,1052,1553,105
Total OI12,934.76211,75114,55412,43012,344

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-11-01$325.86$290.0033.3%9.5%40.6%12.8%39.1%7.4%-2.0%3.3M-148.4M-278.4K2.4477.826261,5297,5144,916
2022-11-02$318.71$300.0033.0%9.5%41.2%12.4%40.9%5.1%-0.8%2.7M-129.4M-303.0K2.8484.234921,3997,5965,309
2022-11-03$320.21$280.0033.2%8.9%41.2%12.7%32.0%6.2%3.2%2.7M-130.5M-293.4K3.5979.393661,3147,6215,390
2022-11-04$319.47$280.0032.4%8.7%39.2%11.4%31.9%4.1%3.7%2.7M-128.0M-295.0K3.6578.463501,2797,6235,388
2022-11-07$320.49$280.0034.7%8.9%38.8%15.1%31.4%3.8%3.7%2.8M-135.6M-261.9K3.9077.773341,3027,6235,389
2022-11-08$328.42$280.0033.5%8.6%39.3%13.1%31.0%4.2%3.6%3.1M-155.1M-250.8K2.7177.205011,3607,6545,435
2022-11-09$323.90$280.0032.0%9.2%40.0%10.8%32.1%4.2%2.9%2.9M-146.7M-243.3K3.0178.734541,3657,8445,501
2022-11-10$340.57$280.0030.0%8.6%43.0%7.5%32.0%2.9%4.1%3.7M-191.9M-190.1K4.4580.552991,3307,8995,489
2022-11-11$337.27$280.0030.8%8.8%39.9%8.7%33.2%5.3%3.6%3.4M-178.3M-219.1K6.0387.493712,2367,8985,549
2022-11-14$336.65$280.0030.0%8.6%39.8%7.6%31.7%5.2%4.6%2.6M-176.4M-197.5K6.9384.273252,2527,9035,863
2022-11-15$339.33$280.0030.3%8.7%39.7%7.9%32.4%4.4%4.2%3.0M-188.0M-175.3K3.4581.034951,7107,9355,848
2022-11-16$335.90$280.0030.1%8.6%39.3%7.7%33.6%4.5%4.2%2.8M-175.6M-207.1K4.7982.483511,6818,0735,862
2022-11-17$331.15$280.0030.1%8.6%38.9%7.7%30.8%5.6%0.3%1.2M-165.4M-198.0K1.9383.838711,6798,0955,871
2022-11-18$337.32$280.0028.2%8.1%38.0%4.6%29.1%2.4%0.9%3.1M-187.9M-171.2K1.8981.048911,6858,6835,871
2022-11-21$338.57$280.0028.7%8.2%37.9%5.4%30.0%4.9%-0.0%3.6M-179.7M-158.9K0.4580.988613897,9973,754
2022-11-22$342.72$280.0027.4%7.9%37.7%3.3%28.6%2.9%1.0%3.6M-187.5M-147.5K0.4583.678193668,0253,765
2022-11-23$343.71$280.0027.3%7.8%36.8%3.2%27.7%3.8%1.2%3.7M-189.8M-139.3K0.5389.278174328,0383,771
2022-11-25$343.68$280.0026.4%7.6%36.4%1.7%0.0%4.5%2.7%3.3M-192.6M-121.5K0.0069.53028,0573,831
2022-11-28$345.22$280.0027.1%7.8%35.3%2.8%26.7%4.9%2.5%3.3M-195.1M-114.7K0.6080.141701028,2273,855
2022-11-29$340.41$280.0028.6%8.2%36.0%5.3%28.2%5.4%0.6%3.7M-186.1M-139.8K2.4880.8027678,3833,941
2022-11-30$350.46$280.0027.9%8.0%27.3%4.0%30.5%0.6%-0.1%3.4M-207.1M-118.7K0.0283.013,053528,3923,952