IT Options History — December 2022

In December 2022, IT traded between $332.53 and $356.86. ATM implied volatility averaged 28.7%, placing in the 5.4% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded above realized volatility by 6.1% (HV 20d: 22.6%). Max pain ranged from $280.00 to $360.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 1.28.

Notable Days

  • 2022-12-01: Highest Volume — 5,342 contracts
  • 2022-12-14: Largest IV drop — 30.6% change
  • 2022-12-13: Highest IV Rank — 21.2%
  • 2022-12-28: Largest Expected Move — 8.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$342.46$332.53$356.86$356.86$335.79
Max Pain$344.76$280.00$360.00$280.00$340.00
ATM IV28.7%25.1%38.5%26.4%26.2%
Expected Move7.7%7.2%8.4%7.6%7.5%
HV 20d22.6%19.4%27.3%25.9%20.1%
HV 60d38.5%30.4%54.9%54.8%30.4%
IV Rank5.4%0.0%21.2%1.7%1.7%
IV Percentile12.9%0.0%52.8%2.0%3.6%
Term Structure6.2%-1.0%9.0%-1.0%8.9%
VWIV27.4%24.4%31.4%28.0%28.6%
Skew 25d3.4%1.1%5.5%3.7%3.0%
Skew 10d6.9%-7.7%16.6%0.4%10.5%
Call IV 25d25.9%23.3%28.4%26.6%25.6%
Put IV 25d29.2%26.3%30.6%30.3%28.6%
Bid-Ask Spread %83.2577.6588.0583.0788.00
Gamma HHI0.320.170.720.170.36
Net GEX4.4M2.4M9.6M4.0M2.7M
Net DEX-182.7M-291.4M-57.4M-259.0M-62.3M
Net VEX-328.6K-406.2K-200.5K-200.5K-292.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.280.007.330.112.29
Total Volume374.286175,3425,342115
Total OI11,925.4765,68916,96313,8745,996

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-12-01$356.86$280.0026.4%7.6%25.9%1.7%28.0%3.7%-1.0%4.0M-259.0M-200.5K0.1183.074,8095339,8953,979
2022-12-02$351.90$280.0025.9%7.4%26.9%0.9%26.3%1.1%-0.2%5.6M-291.4M-406.2K1.7779.22315512,3034,465
2022-12-05$349.05$360.0028.6%7.6%27.1%5.3%27.0%3.1%6.0%5.5M-282.5M-399.5K1.0684.39667012,3044,476
2022-12-06$348.02$360.0031.5%7.8%27.3%9.9%27.0%3.5%5.6%5.3M-285.8M-389.9K0.2585.98872212,3344,503
2022-12-07$342.75$360.0031.5%8.0%27.0%9.9%27.1%3.3%5.5%6.1M-265.5M-398.2K0.8085.05413312,3594,508
2022-12-08$345.50$360.0031.1%7.6%26.4%9.3%27.1%4.4%6.1%5.9M-271.9M-396.3K7.3387.6896612,3844,519
2022-12-09$344.02$350.0032.3%8.1%19.8%11.2%29.2%4.1%5.7%6.1M-273.8M-384.9K0.1679.383876312,3894,574
2022-12-12$347.88$350.0036.9%7.9%19.7%18.6%27.5%3.8%5.4%5.2M-281.2M-348.1K0.0677.653972212,0864,618
2022-12-13$350.74$350.0038.5%7.6%19.8%21.2%26.6%5.5%6.9%5.2M-284.0M-325.8K0.1680.33821311,8844,641
2022-12-14$346.63$350.0026.7%7.7%20.3%2.2%29.9%4.1%5.8%5.6M-273.4M-319.2K0.8683.06282411,8764,644
2022-12-15$340.31$350.0027.2%7.8%21.1%3.0%28.1%3.9%7.7%5.9M-252.4M-318.3K0.5284.82251311,8774,660
2022-12-16$339.06$350.0026.2%7.5%20.4%1.3%25.3%3.4%6.4%9.6M-244.1M-312.0K1.5980.1915224211,8674,665
2022-12-19$337.90$350.0026.2%7.5%19.4%1.3%26.8%3.2%7.6%2.5M-65.4M-308.1K0.4283.3978334,3901,299
2022-12-20$335.50$350.0026.3%7.5%19.5%1.5%26.3%2.5%8.1%2.5M-62.2M-307.4K0.1382.453144,4551,323
2022-12-21$342.23$350.0025.1%7.2%20.4%0.0%24.4%3.0%7.6%2.5M-73.4M-306.3K0.3179.7342134,4671,322
2022-12-22$332.53$350.0028.1%8.1%22.7%4.8%27.9%3.6%6.6%2.6M-57.4M-303.2K1.6279.6513214,4991,333
2022-12-23$335.18$350.0025.3%7.3%23.0%0.3%26.8%3.6%8.7%2.4M-61.5M-303.1K2.0580.9022454,5051,354
2022-12-27$336.56$350.0026.7%7.6%22.9%2.5%31.4%3.7%8.4%2.5M-63.4M-295.6K4.0087.595204,5061,387
2022-12-28$333.44$350.0029.2%8.4%22.7%6.5%28.0%2.3%6.5%2.5M-58.5M-292.0K1.4388.057104,5061,385
2022-12-29$339.90$350.0025.8%7.4%21.1%1.0%25.8%1.9%9.0%2.5M-68.5M-293.0K0.0087.6113104,5091,389
2022-12-30$335.79$340.0026.2%7.5%20.1%1.7%28.6%3.0%8.9%2.7M-62.3M-292.1K2.2988.0035804,6071,389