IT Options History — September 2024

In September 2024, IT traded between $478.87 and $515.97. ATM implied volatility averaged 21.6%, placing in the 18.0% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 6.4% (HV 20d: 15.2%). Max pain ranged from $470.00 to $490.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 2.23.

Notable Days

2024-09-11: Highest Volume — 518 contracts
2024-09-06: Largest IV spike — 8.0% change
2024-09-06: Highest IV Rank — 26.9%
2024-09-06: Largest Expected Move — 7.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$502.68	$478.87	$515.97	$478.87	$505.46
Max Pain	$480.00	$470.00	$490.00	$470.00	$490.00
ATM IV	21.6%	19.4%	24.5%	23.4%	20.8%
Expected Move	6.2%	5.6%	7.0%	6.7%	6.0%
HV 20d	15.2%	14.3%	19.4%	19.4%	16.0%
HV 60d	24.4%	24.1%	24.9%	24.7%	24.4%
IV Rank	18.0%	11.3%	26.9%	23.6%	15.6%
IV Percentile	51.3%	21.8%	71.4%	69.4%	48.0%
Term Structure	6.0%	-0.7%	10.0%	-0.4%	9.3%
VWIV	22.3%	20.1%	27.2%	23.5%	20.9%
Skew 25d	2.8%	1.6%	3.6%	3.6%	3.3%
Skew 10d	7.5%	3.1%	15.8%	15.8%	6.3%
Call IV 25d	20.6%	18.2%	23.1%	22.6%	20.2%
Put IV 25d	23.4%	21.3%	26.1%	26.1%	23.5%
Bid-Ask Spread %	79.16	70.63	92.07	92.07	82.96
Gamma HHI	0.34	0.15	0.52	0.15	0.52
Net GEX	1.1M	189.5K	1.8M	189.5K	1.1M
Net DEX	-15.8M	-24.4M	-5.8M	-5.8M	-12.3M
Net VEX	-56.8K	-60.5K	-50.6K	-55.0K	-60.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.23	0.00	23.67	0.67	0.18
Total Volume	55.55	1	518	25	26
Total OI	1,480.05	1,044	1,808	1,547	1,086

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
2024-09-03	$478.87	$470.00	23.4%	6.7%	19.4%	23.6%	23.5%	3.6%	-0.4%	189.5K	-5.8M	-55.0K	0.67	92.07	15	10	852	695
2024-09-04	$484.81	$470.00	24.2%	6.9%	15.9%	26.0%	23.9%	2.2%	-0.7%	527.4K	-9.1M	-56.5K	0.00	91.82	3	0	861	701
2024-09-05	$483.08	$480.00	22.7%	6.8%	15.6%	21.3%	22.9%	3.1%	4.7%	512.9K	-8.9M	-57.2K	0.33	73.78	3	1	861	701
2024-09-06	$483.40	$480.00	24.5%	7.0%	14.3%	26.9%	24.5%	3.1%	4.4%	404.7K	-7.9M	-54.5K	0.08	74.35	12	1	865	700
2024-09-09	$490.87	$480.00	24.1%	6.8%	15.1%	25.5%	0.0%	3.6%	4.9%	801.6K	-11.5M	-51.3K	23.67	70.63	3	71	865	701
2024-09-10	$499.07	$480.00	22.4%	6.6%	15.1%	20.4%	27.2%	2.8%	4.3%	975.1K	-14.0M	-51.7K	0.64	71.64	11	7	866	766
2024-09-11	$498.51	$480.00	22.2%	6.4%	14.7%	19.8%	21.8%	3.5%	5.0%	884.7K	-13.0M	-50.6K	0.02	72.56	509	9	864	771
2024-09-12	$507.12	$480.00	21.2%	6.1%	15.4%	16.8%	21.2%	3.2%	5.5%	1.3M	-21.3M	-59.4K	0.11	72.23	27	3	901	777
2024-09-13	$508.51	$480.00	21.2%	6.1%	14.9%	16.6%	20.9%	2.5%	5.4%	1.5M	-22.9M	-57.3K	0.02	73.97	46	1	926	779
2024-09-16	$509.14	$480.00	22.4%	6.4%	14.5%	20.4%	24.4%	1.6%	5.0%	1.6M	-23.2M	-57.4K	0.57	74.18	28	16	945	799
2024-09-17	$506.66	$480.00	21.9%	6.3%	14.8%	19.0%	21.3%	1.9%	5.8%	1.5M	-21.3M	-58.7K	2.00	75.42	1	2	936	808
2024-09-18	$508.00	$480.00	21.2%	6.1%	14.6%	16.6%	22.7%	2.4%	5.5%	1.6M	-22.3M	-56.7K	1.53	77.17	19	29	937	808
2024-09-19	$513.42	$480.00	20.0%	5.7%	14.6%	13.1%	20.1%	2.6%	10.0%	1.8M	-24.4M	-55.2K	8.60	81.85	10	86	928	825
2024-09-20	$514.36	$480.00	19.4%	5.6%	14.5%	11.3%	20.1%	3.2%	7.9%	1.8M	-24.1M	-56.8K	0.21	85.75	73	15	935	873
2024-09-23	$514.72	$480.00	19.4%	5.6%	14.6%	11.3%	0.0%	2.8%	8.7%	996.3K	-15.7M	-59.1K	1.67	81.57	3	5	614	430
2024-09-24	$512.10	$480.00	20.0%	5.7%	14.8%	13.1%	0.0%	2.8%	7.9%	984.7K	-14.5M	-60.1K	0.00	82.44	1	0	617	433
2024-09-25	$509.91	$480.00	20.1%	5.8%	15.0%	13.4%	0.0%	2.2%	8.9%	946.3K	-14.1M	-59.7K	0.00	81.47	0	2	618	433
2024-09-26	$515.97	$480.00	20.2%	5.8%	14.8%	13.6%	20.7%	2.3%	9.5%	990.0K	-16.1M	-58.4K	1.08	82.39	13	14	618	432
2024-09-27	$509.53	$490.00	20.8%	6.0%	15.6%	15.4%	20.7%	2.7%	8.9%	1.1M	-13.6M	-60.5K	1.00	84.92	18	18	630	444
2024-09-30	$505.46	$490.00	20.8%	6.0%	16.0%	15.6%	20.9%	3.3%	9.3%	1.1M	-12.3M	-60.3K	0.18	82.96	22	4	639	447