IT Options History — December 2023

In December 2023, IT traded between $434.40 and $466.15. ATM implied volatility averaged 18.6%, placing in the 7.4% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded below realized volatility by 0.9% (HV 20d: 19.5%). Max pain ranged from $390.00 to $430.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 1.82.

Notable Days

2023-12-15: Highest Volume — 1,343 contracts
2023-12-13: Largest IV drop — 20.7% change
2023-12-12: Highest IV Rank — 14.3%
2023-12-20: Largest Expected Move — 5.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$448.21	$434.40	$466.15	$439.53	$451.48
Max Pain	$411.50	$390.00	$430.00	$410.00	$420.00
ATM IV	18.6%	16.9%	21.3%	16.9%	17.5%
Expected Move	5.1%	4.8%	5.5%	4.8%	5.0%
HV 20d	19.5%	14.7%	48.4%	48.4%	19.6%
HV 60d	33.2%	32.8%	33.5%	33.2%	32.8%
IV Rank	7.4%	3.0%	14.3%	3.0%	4.6%
IV Percentile	11.8%	1.6%	29.8%	1.6%	4.8%
Term Structure	8.8%	-0.8%	11.3%	-0.8%	11.3%
VWIV	18.2%	15.5%	20.3%	18.2%	17.3%
Skew 25d	1.9%	1.5%	2.3%	1.9%	1.7%
Skew 10d	3.5%	0.1%	5.4%	5.1%	3.5%
Call IV 25d	17.0%	15.6%	18.2%	16.2%	16.8%
Put IV 25d	19.0%	17.7%	20.3%	18.1%	18.5%
Bid-Ask Spread %	86.05	82.84	89.58	88.90	89.58
Gamma HHI	0.18	0.13	0.30	0.27	0.15
Net GEX	1.1M	643.6K	1.6M	1.4M	1.2M
Net DEX	-57.7M	-87.7M	-35.3M	-62.6M	-45.6M
Net VEX	-110.6K	-133.9K	-85.1K	-87.3K	-112.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.82	0.05	7.38	0.42	1.91
Total Volume	266.8	20	1,343	34	157
Total OI	4,154.95	3,543	5,367	3,952	3,780

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
2023-12-01	$439.53	$410.00	16.9%	4.8%	48.4%	3.0%	18.2%	1.9%	-0.8%	1.4M	-62.6M	-87.3K	0.42	88.90	24	10	1,859	2,093
2023-12-04	$437.77	$390.00	18.5%	4.8%	16.7%	7.2%	17.5%	2.1%	8.8%	1.3M	-59.6M	-92.0K	3.17	84.04	18	57	1,861	2,103
2023-12-05	$434.40	$390.00	19.8%	5.0%	17.4%	10.5%	19.7%	1.9%	8.5%	1.4M	-56.4M	-95.8K	5.28	83.99	54	285	1,870	2,115
2023-12-06	$441.92	$400.00	19.4%	4.9%	16.8%	9.4%	15.5%	2.0%	8.6%	1.2M	-63.4M	-93.0K	0.58	85.26	220	127	1,904	2,165
2023-12-07	$445.02	$400.00	18.6%	4.8%	16.8%	7.5%	17.4%	2.1%	8.8%	1.2M	-69.9M	-96.3K	0.81	82.84	37	30	2,023	2,281
2023-12-08	$452.69	$400.00	18.1%	4.8%	17.3%	6.2%	19.2%	2.1%	9.0%	1.1M	-75.8M	-85.1K	2.97	84.54	61	181	2,032	2,303
2023-12-11	$456.82	$410.00	20.3%	4.9%	15.3%	11.7%	17.6%	1.6%	9.0%	828.9K	-77.7M	-85.6K	0.34	85.11	439	151	2,063	2,399
2023-12-12	$460.59	$420.00	21.3%	5.0%	15.3%	14.3%	17.4%	1.5%	8.9%	1.3M	-82.9M	-95.2K	0.97	84.92	320	310	2,348	2,513
2023-12-13	$466.15	$420.00	16.9%	4.8%	14.7%	3.0%	20.3%	1.7%	9.0%	1.6M	-87.7M	-109.4K	4.32	83.52	65	281	2,497	2,683
2023-12-14	$454.82	$430.00	18.4%	5.3%	17.1%	7.0%	18.2%	1.5%	8.7%	867.4K	-76.8M	-123.3K	2.89	88.67	91	263	2,519	2,848
2023-12-15	$444.86	$420.00	18.6%	5.3%	19.5%	7.3%	18.9%	2.2%	8.9%	643.6K	-67.6M	-123.4K	0.72	85.37	781	562	2,530	2,756
2023-12-18	$448.91	$410.00	18.1%	5.2%	19.3%	6.1%	18.4%	1.9%	9.1%	1.3M	-43.6M	-129.2K	0.85	86.16	55	47	1,968	1,575
2023-12-19	$450.60	$410.00	18.1%	5.2%	18.8%	6.0%	17.8%	1.8%	9.2%	1.3M	-44.5M	-129.4K	1.25	84.90	28	35	1,981	1,608
2023-12-20	$444.13	$410.00	19.1%	5.5%	19.6%	8.7%	17.4%	2.1%	8.9%	1.0M	-37.9M	-133.1K	0.06	87.25	152	9	1,983	1,631
2023-12-21	$441.93	$410.00	19.1%	5.5%	19.8%	8.7%	19.8%	2.3%	9.3%	904.9K	-35.3M	-133.9K	1.34	84.85	117	157	2,087	1,635
2023-12-22	$446.43	$420.00	18.3%	5.2%	19.8%	6.6%	18.5%	2.0%	9.8%	994.8K	-39.5M	-130.5K	0.67	87.30	12	8	2,112	1,650
2023-12-26	$447.25	$420.00	18.7%	5.4%	19.3%	7.7%	18.9%	2.1%	9.9%	1.0M	-40.2M	-122.8K	0.05	87.50	74	4	2,110	1,651
2023-12-27	$446.01	$420.00	18.4%	5.3%	19.0%	6.9%	18.5%	2.2%	10.1%	971.5K	-39.8M	-121.8K	7.38	87.32	8	59	2,134	1,653
2023-12-28	$452.88	$420.00	18.1%	5.2%	19.6%	6.1%	17.8%	2.1%	10.6%	1.3M	-47.1M	-112.9K	0.42	89.06	33	14	2,134	1,642
2023-12-29	$451.48	$420.00	17.5%	5.0%	19.6%	4.6%	17.3%	1.7%	11.3%	1.2M	-45.6M	-112.6K	1.91	89.58	54	103	2,135	1,645