IT Options History — January 2024

In January 2024, IT traded between $425.77 and $468.13. ATM implied volatility averaged 29.9%, placing in the 36.5% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded above realized volatility by 8.0% (HV 20d: 21.9%). Max pain ranged from $420.00 to $440.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 0.95.

Notable Days

  • 2024-01-04: Highest Volume — 335 contracts
  • 2024-01-10: Largest IV spike — 75.9% change
  • 2024-01-31: Highest IV Rank — 62.4%
  • 2024-01-31: Largest Expected Move — 11.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$450.81$425.77$468.13$435.22$457.19
Max Pain$438.10$420.00$440.00$420.00$440.00
ATM IV29.9%17.5%40.0%19.1%40.0%
Expected Move9.3%5.5%11.5%5.5%11.5%
HV 20d21.9%17.1%24.2%23.4%17.1%
HV 60d33.6%33.0%34.1%33.8%33.4%
IV Rank36.5%4.5%62.4%8.6%62.4%
IV Percentile63.9%4.4%94.4%17.9%94.4%
Term Structure-4.0%-12.0%11.3%11.0%-12.0%
VWIV32.5%19.3%40.5%19.3%40.5%
Skew 25d2.4%-0.0%3.4%2.6%2.1%
Skew 10d4.9%-0.4%13.5%8.6%-0.2%
Call IV 25d31.4%18.5%40.1%18.5%40.1%
Put IV 25d33.8%21.1%42.2%21.1%42.2%
Bid-Ask Spread %73.2064.9090.7490.1377.07
Gamma HHI0.220.140.360.210.14
Net GEX891.3K-116.8K2.5M519.7K685.9K
Net DEX-33.2M-61.3M-17.3M-27.8M-23.0M
Net VEX-87.8K-114.2K-74.5K-114.2K-75.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.950.037.332.190.11
Total Volume112.23822335230174
Total OI3,133.6671,8313,9923,8192,074

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2024-01-02$435.22$420.0019.1%5.5%23.4%8.6%19.3%2.6%11.0%519.7K-27.8M-114.2K2.1990.13721582,1751,644
2024-01-03$428.86$420.0019.4%5.6%23.9%9.5%19.9%2.6%11.3%97.9K-21.1M-113.5K1.0390.7460622,1681,628
2024-01-04$428.14$440.0018.9%8.8%23.8%8.0%30.8%2.8%-2.9%73.2K-20.5M-111.5K0.0364.90324112,1681,625
2024-01-05$425.77$440.0018.3%8.7%22.9%6.5%30.3%3.0%-3.2%-116.8K-17.3M-108.2K1.8566.9720372,1641,623
2024-01-08$433.99$440.0019.0%8.9%23.9%8.5%30.5%2.9%-3.5%281.6K-27.8M-100.0K0.3066.0583252,1701,600
2024-01-09$435.76$440.0017.5%8.8%23.0%4.5%30.9%2.7%-3.5%300.8K-29.9M-97.9K1.1364.9815172,1711,612
2024-01-10$440.83$440.0030.8%8.8%23.2%38.7%30.3%2.7%-3.4%674.4K-36.6M-92.0K0.0668.369662,1741,625
2024-01-11$443.75$440.0030.9%8.9%23.1%39.1%29.6%3.2%-3.7%839.9K-39.4M-88.2K0.0371.2218962,1551,630
2024-01-12$453.77$440.0031.1%8.9%24.2%39.5%31.6%1.6%-2.8%1.7M-50.8M-87.8K0.4173.4537152,2441,636
2024-01-16$452.79$440.0033.9%9.7%22.6%46.6%33.9%2.0%-4.9%1.5M-50.7M-83.2K0.3070.8557172,2501,645
2024-01-17$454.41$440.0034.7%10.0%21.0%48.9%35.2%2.4%-4.9%1.8M-52.1M-82.7K1.5271.8442642,2781,658
2024-01-18$461.76$440.0033.9%9.7%21.5%46.8%34.0%2.7%-5.5%2.4M-59.4M-79.4K0.7170.0242302,2991,681
2024-01-19$464.72$440.0035.2%10.1%21.6%50.0%34.3%3.4%-7.0%2.5M-61.3M-76.8K0.3071.44130392,2931,699
2024-01-22$468.13$440.0034.4%9.9%20.8%48.0%34.7%2.9%-6.6%821.9K-27.7M-75.9K0.3873.401661,195636
2024-01-23$465.82$440.0033.8%9.7%20.8%46.6%35.0%3.0%-6.5%860.4K-27.0M-75.7K7.3373.043221,207640
2024-01-24$464.61$440.0033.5%9.6%20.7%45.6%34.8%-0.0%-5.7%788.0K-26.7M-76.0K0.3674.65136491,206656
2024-01-25$459.65$440.0034.0%9.7%21.2%46.9%34.7%2.0%-6.5%742.8K-23.4M-77.2K0.1474.85134191,341691
2024-01-26$461.11$440.0034.7%9.9%21.1%48.7%34.6%2.8%-6.6%749.5K-23.8M-78.7K1.6474.4111181,332698
2024-01-29$464.09$440.0037.6%10.8%20.6%56.2%37.7%1.8%-8.4%735.0K-25.0M-75.5K0.1374.873041,332714
2024-01-30$466.63$440.0038.2%10.9%20.6%57.7%39.0%1.3%-9.6%774.0K-27.0M-74.5K0.0573.927741,356714
2024-01-31$457.19$440.0040.0%11.5%17.1%62.4%40.5%2.1%-12.0%685.9K-23.0M-75.4K0.1177.07157171,356718