IT Options History — November 2023

In November 2023, IT traded between $332.59 and $433.40. ATM implied volatility averaged 20.6%, placing in the 11.3% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded below realized volatility by 26.7% (HV 20d: 47.3%). Max pain ranged from $360.00 to $410.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 1.89.

Notable Days

  • 2023-11-03: Highest Volume — 1,252 contracts
  • 2023-11-03: Largest IV drop — 47.7% change
  • 2023-11-01: Highest IV Rank — 68.7%
  • 2023-11-01: Largest Expected Move — 12.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$408.72$332.59$433.40$332.59$433.40
Max Pain$379.52$360.00$410.00$360.00$410.00
ATM IV20.6%15.7%42.7%42.7%17.8%
Expected Move5.7%4.5%12.2%12.2%5.1%
HV 20d47.3%16.6%52.1%16.8%48.4%
HV 60d31.5%17.2%33.1%17.2%33.1%
IV Rank11.3%0.0%68.7%68.7%5.3%
IV Percentile14.9%0.0%96.8%96.8%5.6%
Term Structure-0.7%-7.7%0.4%-7.7%-1.2%
VWIV20.5%16.6%43.6%43.6%19.0%
Skew 25d2.1%1.1%3.6%2.9%2.8%
Skew 10d3.7%-1.0%8.8%6.9%3.7%
Call IV 25d19.3%15.1%42.5%42.5%16.8%
Put IV 25d21.4%17.3%45.5%45.5%19.6%
Bid-Ask Spread %85.6774.2092.1877.2990.01
Gamma HHI0.270.120.500.120.28
Net GEX1.3M-449.2K3.0M-449.2K1.3M
Net DEX-40.5M-55.3M9.3M9.3M-54.8M
Net VEX-85.0K-108.0K-43.4K-66.4K-103.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.890.187.772.752.75
Total Volume304.333301,2523030
Total OI3,329.2381,9764,2521,9763,941

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-11-01$332.59$360.0042.7%12.2%16.8%68.7%43.6%2.9%-7.7%-449.2K9.3M-66.4K2.7577.298228081,168
2023-11-02$337.90$360.0042.1%8.6%16.6%67.2%30.4%3.6%-3.4%-437.6K6.8M-67.3K2.9474.201113268151,185
2023-11-03$386.84$360.0022.0%6.0%51.6%14.5%20.6%2.1%-0.0%272.1K-23.3M-43.4K0.3280.939503028551,451
2023-11-06$389.57$360.0021.8%5.8%51.6%13.9%21.0%2.0%0.1%1.2M-28.6M-74.3K1.4079.631091531,3991,604
2023-11-07$398.28$360.0020.9%5.5%51.9%11.4%20.0%1.6%0.2%1.3M-35.1M-70.3K0.7181.501571111,3981,621
2023-11-08$400.22$360.0019.1%5.5%51.8%6.9%19.5%2.0%0.3%1.4M-36.2M-70.9K0.9782.742292231,4131,664
2023-11-09$400.67$360.0019.9%5.7%51.6%8.7%20.5%1.8%-0.1%1.3M-36.1M-83.1K1.8785.26601121,5111,792
2023-11-10$411.98$360.0019.0%5.4%52.1%6.4%19.0%2.1%-0.1%1.4M-45.0M-78.5K1.0584.4892971,5461,862
2023-11-13$414.82$360.0019.1%5.5%51.7%6.7%19.6%1.4%-0.1%1.4M-47.2M-77.2K1.7287.70961651,5801,940
2023-11-14$422.87$360.0018.1%5.2%51.5%4.2%18.8%1.9%-0.2%1.2M-53.0M-75.8K2.2385.98791761,6302,039
2023-11-15$417.90$380.0017.8%5.1%51.8%3.3%18.1%2.9%-0.3%1.0M-47.7M-89.6K0.5584.903421871,6442,156
2023-11-16$419.81$380.0017.9%5.1%51.8%3.6%18.1%1.4%-0.1%2.5M-55.3M-93.7K2.1788.2340871,9102,277
2023-11-17$417.53$390.0017.4%5.0%51.6%2.4%17.8%1.6%-0.4%3.0M-53.1M-92.4K0.1888.28529961,9312,321
2023-11-20$424.24$390.0017.1%4.9%50.8%1.4%16.7%1.9%-0.1%1.4M-43.5M-90.4K0.3087.94326991,5151,507
2023-11-21$427.98$400.0016.4%4.7%49.6%0.0%18.3%1.9%-0.1%1.7M-50.7M-98.6K7.7787.85262021,7211,582
2023-11-22$428.29$400.0015.7%4.5%48.8%0.0%17.0%2.3%0.4%1.5M-50.2M-102.1K1.2189.9780971,7381,735
2023-11-24$426.23$400.0016.0%4.6%48.7%0.6%16.6%1.8%-0.3%1.6M-48.8M-108.0K3.0990.5711341,7851,787
2023-11-27$432.52$400.0017.4%5.0%47.8%4.3%19.0%2.1%-1.1%1.5M-54.9M-97.0K0.6189.382341431,7961,789
2023-11-28$428.84$410.0016.9%4.9%48.5%3.0%18.1%2.1%-1.0%1.4M-49.7M-103.9K1.5692.1825391,8041,925
2023-11-29$430.71$410.0017.2%4.9%48.5%3.8%19.4%1.1%-0.8%1.5M-52.8M-100.2K3.4390.03421441,8221,947
2023-11-30$433.40$410.0017.8%5.1%48.4%5.3%19.0%2.8%-1.2%1.3M-54.8M-103.0K2.7590.018221,8562,085