IT Options History — November 2015

In November 2015, IT traded between $85.11 and $93.30. ATM implied volatility averaged 20.8%, placing in the 19.9% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded below realized volatility by 0.7% (HV 20d: 21.5%). Max pain ranged from $85.00 to $90.00. Net GEX was positive for 8 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 1.86.

Notable Days

2015-11-20: Highest Volume — 357 contracts
2015-11-05: Largest IV drop — 27.0% change
2015-11-04: Highest IV Rank — 46.6%
2015-11-04: Largest Expected Move — 9.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$88.63	$85.11	$93.30	$90.11	$93.30
Max Pain	$89.25	$85.00	$90.00	$85.00	$90.00
ATM IV	20.8%	15.0%	31.6%	31.1%	16.9%
Expected Move	5.8%	4.3%	9.1%	8.9%	4.8%
HV 20d	21.5%	15.7%	23.2%	15.8%	22.6%
HV 60d	20.9%	19.5%	22.2%	20.3%	19.5%
IV Rank	19.9%	5.7%	46.6%	45.5%	10.4%
IV Percentile	34.9%	1.6%	90.1%	88.9%	7.5%
Term Structure	0.4%	-9.1%	4.6%	-6.8%	0.1%
VWIV	20.5%	15.1%	35.6%	32.6%	17.0%
Skew 25d	4.8%	2.6%	7.7%	6.9%	3.4%
Skew 10d	12.3%	4.1%	21.4%	19.8%	4.1%
Call IV 25d	18.5%	11.1%	30.1%	29.0%	15.3%
Put IV 25d	23.3%	18.0%	37.2%	36.0%	18.7%
Bid-Ask Spread %	88.65	77.17	100.43	78.01	100.43
Gamma HHI	0.48	0.33	0.75	0.33	0.61
Net GEX	-7.9K	-134.3K	262.4K	47.4K	262.4K
Net DEX	111.3K	-2.2M	1.5M	-367.7K	-2.2M
Net VEX	-6.5K	-9.0K	-4.5K	-9.0K	-6.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.86	0.00	3.47	1.10	1.60
Total Volume	189.1	15	357	294	143
Total OI	953.7	708	1,030	938	1,030

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
2015-11-02	$90.11	$85.00	31.1%	8.9%	15.8%	45.5%	32.6%	6.9%	-6.8%	47.4K	-367.7K	-9.0K	1.10	78.01	140	154	441	497
2015-11-03	$90.46	$85.00	31.6%	9.0%	15.7%	46.5%	33.1%	7.7%	-7.3%	58.3K	-419.0K	-8.9K	1.10	77.17	140	154	441	511
2015-11-04	$90.38	$85.00	31.6%	9.1%	15.7%	46.6%	35.6%	7.0%	-9.1%	49.8K	-461.2K	-8.6K	2.94	83.40	53	156	441	511
2015-11-05	$86.48	$90.00	23.1%	5.9%	23.1%	25.5%	19.5%	4.3%	1.0%	-62.2K	814.8K	-7.5K	2.37	81.64	60	142	446	516
2015-11-06	$86.48	$90.00	20.9%	5.6%	22.9%	20.2%	18.3%	5.4%	2.5%	-61.5K	950.1K	-7.3K	0.00	86.47	0	53	471	516
2015-11-09	$86.48	$90.00	21.8%	5.6%	22.4%	22.4%	19.5%	4.4%	2.4%	-73.8K	1.0M	-6.7K	0.00	86.37	0	15	471	513
2015-11-10	$87.42	$90.00	22.8%	5.9%	22.7%	24.9%	18.7%	4.7%	0.9%	-71.1K	734.0K	-6.3K	2.40	82.68	60	144	471	517
2015-11-11	$87.65	$90.00	17.7%	5.1%	21.7%	12.4%	18.6%	3.2%	2.5%	-74.0K	681.9K	-6.1K	2.40	98.01	60	144	471	513
2015-11-12	$86.46	$90.00	20.0%	5.7%	21.3%	18.0%	17.8%	4.8%	1.9%	-88.1K	982.8K	-6.3K	2.44	88.24	59	144	472	509
2015-11-13	$85.11	$90.00	20.3%	5.8%	22.0%	18.8%	20.0%	4.9%	1.8%	-107.7K	1.5M	-6.0K	2.51	88.13	59	148	472	509
2015-11-16	$86.01	$90.00	20.7%	5.9%	22.1%	19.6%	22.9%	5.0%	1.6%	-109.6K	1.2M	-5.8K	1.00	85.77	10	10	472	514
2015-11-17	$86.16	$90.00	20.4%	5.9%	22.1%	19.1%	15.8%	4.5%	1.8%	-134.3K	1.1M	-5.6K	2.92	86.71	49	143	472	524
2015-11-18	$87.84	$90.00	16.8%	4.8%	22.9%	10.0%	18.6%	6.0%	4.6%	-35.6K	476.3K	-5.5K	2.86	92.13	49	140	473	516
2015-11-19	$87.52	$90.00	17.2%	4.9%	21.9%	11.1%	19.1%	4.1%	3.7%	-100.3K	500.8K	-5.3K	3.47	88.06	49	170	473	516
2015-11-20	$88.59	$90.00	16.7%	4.8%	22.3%	9.8%	17.9%	2.6%	3.7%	-120.1K	161.9K	-4.9K	1.83	91.31	126	231	473	516
2015-11-23	$90.25	$90.00	16.3%	4.7%	23.1%	8.9%	16.3%	7.0%	1.0%	20.8K	-485.1K	-4.5K	0.30	94.48	127	38	278	430
2015-11-24	$90.92	$90.00	17.2%	4.9%	23.2%	11.1%	17.2%	3.7%	0.1%	62.7K	-737.7K	-5.8K	0.00	92.02	45	0	349	454
2015-11-25	$92.18	$90.00	17.0%	4.9%	23.2%	10.7%	15.1%	3.4%	1.8%	144.6K	-1.4M	-5.8K	0.66	94.55	208	137	393	454
2015-11-27	$92.88	$90.00	15.0%	4.3%	22.6%	5.7%	16.9%	3.4%	0.7%	233.8K	-1.8M	-7.3K	1.61	97.33	85	137	520	508
2015-11-30	$93.30	$90.00	16.9%	4.8%	22.6%	10.4%	17.0%	3.4%	0.1%	262.4K	-2.2M	-6.5K	1.60	100.43	55	88	522	508