IT Options History — September 2023

In September 2023, IT traded between $344.16 and $358.68. ATM implied volatility averaged 19.6%, placing in the 6.8% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 3.7% (HV 20d: 15.9%). Max pain ranged from $340.00 to $360.00. Net GEX was positive for 4 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.40.

Notable Days

2023-09-19: Highest Volume — 213 contracts
2023-09-11: Largest IV spike — 14.0% change
2023-09-26: Highest IV Rank — 15.5%
2023-09-26: Largest Expected Move — 6.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$352.15	$344.16	$358.68	$349.79	$344.16
Max Pain	$349.50	$340.00	$360.00	$340.00	$360.00
ATM IV	19.6%	16.5%	22.4%	16.5%	22.1%
Expected Move	5.6%	4.7%	6.4%	4.7%	6.3%
HV 20d	15.9%	13.8%	18.7%	16.1%	18.2%
HV 60d	18.5%	17.9%	18.9%	18.9%	18.7%
IV Rank	6.8%	0.0%	15.5%	0.0%	14.7%
IV Percentile	9.4%	0.0%	25.0%	0.0%	25.0%
Term Structure	7.3%	2.3%	9.3%	2.3%	8.6%
VWIV	19.3%	16.5%	21.6%	16.5%	21.4%
Skew 25d	2.8%	2.2%	3.7%	2.2%	2.6%
Skew 10d	5.4%	2.3%	9.7%	8.8%	9.7%
Call IV 25d	18.3%	15.9%	21.4%	15.9%	20.5%
Put IV 25d	21.1%	18.1%	24.2%	18.1%	23.2%
Bid-Ask Spread %	87.62	81.91	96.78	96.78	90.04
Gamma HHI	0.15	0.11	0.26	0.11	0.17
Net GEX	-104.1K	-431.1K	301.1K	-94.6K	-241.0K
Net DEX	-1.8M	-6.9M	3.1M	-1.6M	3.1M
Net VEX	-72.1K	-81.0K	-65.9K	-69.7K	-80.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.40	0.02	5.80	2.33	0.19
Total Volume	63.75	10	213	10	19
Total OI	2,034.85	1,366	2,602	2,318	1,808

Daily Data (20 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2023-09-01	$349.79	$340.00	16.5%	4.7%	16.1%	0.0%	16.5%	2.2%	2.3%	-94.6K	-1.6M	-69.7K	2.33	96.78	3	7	919	1,399
2023-09-05	$350.34	$340.00	18.3%	5.5%	15.4%	2.9%	19.7%	3.1%	5.7%	-94.4K	-1.9M	-67.2K	5.80	81.91	5	29	919	1,402
2023-09-06	$350.94	$340.00	18.4%	5.6%	14.7%	3.0%	19.3%	2.5%	5.8%	-122.0K	-2.5M	-66.0K	2.59	82.90	17	44	918	1,431
2023-09-07	$354.32	$350.00	19.5%	5.7%	14.9%	4.7%	19.7%	2.5%	5.5%	-46.5K	-3.3M	-71.4K	1.27	86.19	11	14	957	1,461
2023-09-08	$354.10	$350.00	17.8%	5.5%	14.7%	2.0%	18.6%	2.6%	5.9%	-63.7K	-3.9M	-68.3K	3.75	83.80	4	15	964	1,468
2023-09-11	$350.56	$350.00	20.3%	5.5%	15.1%	6.0%	18.0%	3.0%	6.0%	-237.2K	-1.6M	-67.6K	0.79	87.26	28	22	966	1,479
2023-09-12	$350.12	$350.00	20.9%	5.4%	14.9%	7.0%	17.7%	2.7%	6.2%	-264.0K	-1.5M	-68.1K	4.33	85.66	21	91	987	1,488
2023-09-13	$352.75	$350.00	18.8%	5.4%	14.0%	3.7%	18.8%	2.8%	6.3%	-249.6K	-3.4M	-66.6K	0.17	85.19	35	6	997	1,565
2023-09-14	$357.84	$350.00	17.5%	5.0%	13.8%	1.6%	18.5%	3.1%	9.1%	301.1K	-6.9M	-65.9K	0.83	86.74	18	15	1,013	1,573
2023-09-15	$349.65	$350.00	18.9%	5.4%	15.6%	3.9%	19.1%	3.6%	6.5%	-185.9K	-1.0M	-67.7K	1.10	90.72	92	101	1,015	1,587
2023-09-18	$353.26	$350.00	18.5%	5.3%	15.8%	3.1%	17.7%	2.4%	8.9%	-431.1K	397.8K	-68.6K	0.03	88.38	33	1	452	916
2023-09-19	$355.03	$350.00	18.2%	5.2%	15.4%	4.4%	17.9%	2.3%	8.8%	-398.6K	-110.7K	-68.1K	0.02	88.21	208	5	451	915
2023-09-20	$357.35	$350.00	18.6%	5.3%	15.4%	5.5%	18.7%	2.2%	8.6%	94.5K	-3.5M	-75.7K	1.40	88.30	15	21	641	915
2023-09-21	$350.63	$350.00	20.6%	5.9%	16.0%	10.7%	19.9%	2.3%	8.3%	-63.3K	-387.5K	-76.5K	0.54	85.91	13	7	651	933
2023-09-22	$356.39	$350.00	19.4%	5.6%	16.8%	7.4%	20.0%	3.2%	9.3%	77.7K	-3.0M	-75.8K	0.69	88.40	65	45	653	935
2023-09-25	$358.68	$350.00	20.7%	5.9%	16.5%	11.0%	20.6%	3.7%	8.6%	180.2K	-4.6M	-76.7K	0.17	90.32	75	13	710	964
2023-09-26	$350.60	$350.00	22.4%	6.4%	18.7%	15.5%	21.6%	2.7%	8.2%	-47.6K	-795.5K	-80.3K	0.79	88.08	29	23	742	976
2023-09-27	$348.81	$350.00	22.4%	6.4%	17.9%	15.5%	21.5%	3.5%	8.3%	-65.0K	-42.9K	-80.6K	0.31	87.52	42	13	766	983
2023-09-28	$347.75	$360.00	21.3%	6.1%	17.8%	12.6%	21.0%	2.8%	8.9%	-131.5K	893.4K	-81.0K	0.84	90.14	38	32	782	996
2023-09-29	$344.16	$360.00	22.1%	6.3%	18.2%	14.7%	21.4%	2.6%	8.6%	-241.0K	3.1M	-80.1K	0.19	90.04	16	3	795	1,013