IT Options History — July 2024

In July 2024, IT traded between $441.51 and $503.57. ATM implied volatility averaged 31.0%, placing in the 46.6% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded above realized volatility by 13.5% (HV 20d: 17.5%). Max pain ranged from $440.00 to $470.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 2.49.

Notable Days

  • 2024-07-30: Highest Volume — 1,930 contracts
  • 2024-07-10: Largest IV spike — 54.7% change
  • 2024-07-29: Highest IV Rank — 94.3%
  • 2024-07-29: Largest Expected Move — 13.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$461.12$441.51$503.57$441.51$503.57
Max Pain$452.73$440.00$470.00$440.00$460.00
ATM IV31.0%18.9%46.5%20.0%22.1%
Expected Move9.3%5.4%13.3%5.7%6.3%
HV 20d17.5%13.8%27.3%17.8%27.3%
HV 60d25.3%20.4%26.8%26.8%22.6%
IV Rank46.6%9.8%94.3%13.0%19.6%
IV Percentile72.9%23.4%99.6%36.9%67.9%
Term Structure-4.1%-14.0%11.0%10.0%-0.6%
VWIV33.4%18.9%47.5%20.1%22.7%
Skew 25d1.5%-0.7%4.0%2.6%1.0%
Skew 10d4.4%-3.7%11.5%7.6%4.2%
Call IV 25d32.3%19.1%44.7%20.0%22.6%
Put IV 25d33.8%20.5%48.7%22.7%23.6%
Bid-Ask Spread %77.6667.3793.7391.8587.62
Gamma HHI0.260.140.450.400.18
Net GEX1.0M57.4K2.9M685.5K2.9M
Net DEX-10.9M-51.8M-2.5M-2.5M-51.8M
Net VEX-82.1K-112.2K-60.8K-64.4K-103.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.490.0031.530.071.81
Total Volume237.40901,9301559
Total OI1,909.0451,2073,6401,2073,640

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2024-07-01$441.51$440.0020.0%5.7%17.8%13.0%20.1%2.6%10.0%685.5K-2.5M-64.4K0.0791.85141697510
2024-07-02$445.71$440.0018.9%5.4%17.5%9.8%18.9%4.0%10.6%884.8K-4.5M-65.6K0.2593.73123710511
2024-07-03$448.34$440.0019.1%5.5%16.9%10.2%18.9%1.3%11.0%981.9K-5.7M-65.3K0.0093.0820721514
2024-07-05$451.61$450.0019.5%8.6%15.8%11.6%0.0%2.1%-3.8%1.1M-7.5M-64.4K0.0073.14530722514
2024-07-08$449.85$450.0021.0%9.0%15.2%16.2%0.0%1.8%-3.7%1.2M-7.2M-64.6K0.0073.9400807514
2024-07-09$448.54$450.0020.5%9.0%15.3%14.5%31.6%2.1%-3.2%1.4M-6.3M-62.5K1.0074.9944807514
2024-07-10$446.92$450.0031.7%9.1%15.2%48.8%31.5%2.3%-4.3%1.3M-5.3M-60.8K0.9376.464542807516
2024-07-11$448.35$450.0032.4%9.3%14.9%50.9%0.0%1.2%-4.5%1.6M-6.0M-66.4K1.7575.5447842549
2024-07-12$457.23$450.0031.8%9.1%16.1%49.3%32.1%-0.3%-4.2%1.7M-11.8M-64.7K0.0673.6848931840555
2024-07-15$454.61$450.0033.5%9.6%15.9%54.4%36.1%2.7%-5.2%757.0K-5.9M-73.2K4.8072.281572864585
2024-07-16$464.35$450.0034.1%9.8%17.0%56.1%35.4%1.6%-5.8%1.2M-9.9M-80.1K0.8774.95232201877656
2024-07-17$461.51$450.0035.3%10.1%13.8%59.9%35.3%0.6%-6.1%1.2M-10.0M-94.5K0.2175.811431,088856
2024-07-18$458.20$450.0035.7%10.2%14.1%61.2%40.0%-0.7%-8.6%1.1M-7.9M-92.7K0.3378.11311,091858
2024-07-19$457.44$450.0036.3%10.4%13.8%63.0%37.2%0.1%-8.5%1.2M-6.0M-90.1K0.6377.1935221,092857
2024-07-22$471.12$450.0038.0%10.9%17.1%68.3%40.8%1.7%-8.4%529.0K-10.4M-90.7K31.5375.1019599964815
2024-07-23$469.34$460.0037.4%10.7%17.3%66.3%37.8%2.0%-8.6%279.4K-8.5M-97.1K0.1674.055189811,413
2024-07-24$459.74$460.0039.8%11.4%18.9%73.8%39.9%0.8%-9.4%57.4K-4.0M-99.9K5.0073.683151,0141,417
2024-07-25$464.17$460.0041.0%11.7%18.9%77.3%41.8%0.1%-10.0%180.3K-7.3M-99.6K0.0272.224611,0131,426
2024-07-26$470.10$460.0041.9%12.0%19.1%80.3%41.8%0.8%-10.8%362.6K-9.6M-97.4K0.8474.272161811,0451,425
2024-07-29$471.50$470.0046.5%13.3%19.1%94.3%47.5%4.0%-14.0%313.9K-10.1M-112.2K1.4867.373174691,2351,605
2024-07-30$500.96$470.0024.4%7.0%27.3%26.6%25.6%1.2%-0.9%1.8M-41.6M-96.8K0.6179.381,1967341,4972,035
2024-07-31$503.57$460.0022.1%6.3%27.3%19.6%22.7%1.0%-0.6%2.9M-51.8M-103.4K1.8187.6221381,8121,828