IT Options History — January 2016

In January 2016, IT traded between $82.74 and $89.05. ATM implied volatility averaged 28.7%, placing in the 39.5% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded above realized volatility by 5.7% (HV 20d: 23.0%). Max pain ranged from $80.00 to $95.00. Net GEX was positive for 1 of 19 trading days. Term structure was in contango for 0 of 19 days. Put/call ratio averaged 6.41.

Notable Days

2016-01-29: Highest Volume — 666 contracts
2016-01-07: Largest IV spike — 31.6% change
2016-01-29: Highest IV Rank — 49.4%
2016-01-29: Largest Expected Move — 9.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$85.42	$82.74	$89.05	$87.92	$85.93
Max Pain	$80.79	$80.00	$95.00	$95.00	$80.00
ATM IV	28.7%	20.8%	32.8%	22.8%	32.8%
Expected Move	8.4%	7.0%	9.4%	7.0%	9.4%
HV 20d	23.0%	20.8%	26.4%	20.8%	26.4%
HV 60d	21.4%	20.4%	22.5%	20.4%	22.5%
IV Rank	39.5%	20.1%	49.4%	25.0%	49.4%
IV Percentile	80.2%	43.7%	93.3%	53.2%	93.3%
Term Structure	-3.9%	-6.0%	-2.0%	-2.0%	-6.0%
VWIV	33.8%	27.7%	41.9%	31.2%	29.1%
Skew 25d	7.4%	5.5%	9.0%	6.1%	8.7%
Skew 10d	17.6%	13.3%	23.2%	13.3%	19.7%
Call IV 25d	26.9%	23.1%	30.4%	23.6%	28.5%
Put IV 25d	34.3%	28.6%	39.3%	29.7%	37.3%
Bid-Ask Spread %	69.81	63.68	80.70	71.42	80.70
Gamma HHI	0.45	0.32	0.69	0.64	0.37
Net GEX	-126.9K	-208.8K	44.0K	-98.4K	44.0K
Net DEX	1.9M	393.5K	2.5M	1.4M	393.5K
Net VEX	-6.3K	-10.8K	-4.0K	-4.0K	-10.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	6.41	0.20	25.87	9.28	0.22
Total Volume	260.474	138	666	401	666
Total OI	954.632	520	1,869	526	1,869

Daily Data (19 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
2016-01-04	$87.92	$95.00	22.8%	7.0%	20.8%	25.0%	31.2%	6.1%	-2.0%	-98.4K	1.4M	-4.0K	9.28	71.42	39	362	201	325
2016-01-05	$89.05	$80.00	20.8%	7.0%	21.2%	20.1%	27.7%	5.5%	-2.0%	-168.6K	1.5M	-6.1K	3.42	66.70	33	113	201	582
2016-01-06	$88.28	$80.00	21.4%	7.2%	21.3%	21.5%	28.4%	5.9%	-2.3%	-159.4K	1.7M	-6.2K	3.53	69.61	32	113	205	582
2016-01-07	$86.53	$80.00	28.2%	8.1%	22.1%	38.2%	29.8%	7.1%	-3.3%	-135.3K	2.2M	-5.7K	3.31	63.72	32	106	205	579
2016-01-08	$85.70	$80.00	27.0%	8.0%	21.5%	35.2%	29.0%	7.0%	-2.9%	-119.9K	2.2M	-5.7K	3.15	66.48	34	107	205	575
2016-01-11	$85.69	$80.00	30.3%	8.0%	21.5%	43.4%	29.3%	7.0%	-2.5%	-102.4K	2.2M	-5.2K	2.80	64.58	40	112	207	576
2016-01-12	$86.75	$80.00	24.7%	7.9%	20.8%	29.6%	29.4%	6.6%	-2.9%	-94.6K	2.1M	-5.2K	2.95	63.90	38	112	213	581
2016-01-13	$84.15	$80.00	28.7%	8.2%	23.1%	39.5%	30.5%	8.0%	-3.2%	-90.4K	2.5M	-5.0K	2.95	71.95	38	112	213	576
2016-01-14	$85.43	$80.00	28.0%	8.0%	23.3%	37.7%	29.9%	6.7%	-2.6%	-83.9K	2.4M	-4.8K	2.60	63.68	43	112	213	576
2016-01-15	$85.94	$80.00	29.4%	8.4%	22.6%	41.2%	33.8%	5.7%	-3.6%	-84.3K	2.3M	-4.7K	2.74	66.87	43	118	213	576
2016-01-19	$84.92	$80.00	30.1%	8.6%	22.9%	42.9%	40.8%	7.9%	-4.2%	-86.8K	1.2M	-4.6K	2.06	70.55	48	99	87	433
2016-01-20	$83.10	$80.00	31.2%	9.0%	23.3%	45.7%	41.9%	8.2%	-4.0%	-89.6K	1.4M	-4.9K	25.87	67.21	23	595	106	436
2016-01-21	$82.74	$80.00	31.3%	9.0%	23.3%	45.7%	40.6%	8.3%	-5.1%	-187.5K	2.2M	-8.4K	25.38	70.85	16	406	109	1,062
2016-01-22	$84.13	$80.00	31.4%	9.0%	23.7%	46.1%	40.5%	8.5%	-5.4%	-154.1K	1.9M	-7.4K	12.33	69.31	18	222	109	972
2016-01-25	$83.14	$80.00	31.9%	9.2%	23.3%	47.4%	41.1%	9.0%	-5.4%	-208.8K	2.3M	-8.5K	6.33	74.87	21	133	112	1,222
2016-01-26	$84.84	$80.00	32.2%	9.2%	24.7%	48.0%	40.0%	7.3%	-5.5%	-195.5K	2.0M	-7.8K	6.29	73.65	21	132	112	1,227
2016-01-27	$83.54	$80.00	31.9%	9.1%	25.0%	47.3%	40.5%	8.9%	-5.7%	-207.0K	2.2M	-7.9K	6.29	73.12	21	132	112	1,227
2016-01-28	$85.20	$80.00	31.7%	9.1%	26.1%	46.9%	28.1%	8.5%	-4.8%	-187.8K	1.7M	-7.3K	0.20	77.27	547	110	112	1,227
2016-01-29	$85.93	$80.00	32.8%	9.4%	26.4%	49.4%	29.1%	8.7%	-6.0%	44.0K	393.5K	-10.8K	0.22	80.70	547	119	640	1,229