IT Options History — February 2016

In February 2016, IT traded between $79.82 and $88.31. ATM implied volatility averaged 26.6%, placing in the 34.3% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded below realized volatility by 1.9% (HV 20d: 28.5%). Max pain ranged from $80.00 to $95.00. Net GEX was positive for 3 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 4.49.

Notable Days

2016-02-17: Highest Volume — 1,325 contracts
2016-02-08: Largest IV spike — 41.1% change
2016-02-03: Highest IV Rank — 56.4%
2016-02-03: Largest Expected Move — 10.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$82.63	$79.82	$88.31	$88.31	$82.62
Max Pain	$88.50	$80.00	$95.00	$80.00	$85.00
ATM IV	26.6%	21.2%	35.6%	30.3%	21.9%
Expected Move	7.5%	6.1%	10.2%	8.7%	6.3%
HV 20d	28.5%	26.6%	30.8%	28.5%	27.0%
HV 60d	23.7%	22.0%	24.1%	23.3%	23.9%
IV Rank	34.3%	21.0%	56.4%	43.4%	22.7%
IV Percentile	67.5%	42.5%	95.2%	85.3%	44.0%
Term Structure	-1.2%	-8.0%	2.1%	-6.4%	-0.2%
VWIV	29.9%	23.4%	39.5%	39.5%	28.3%
Skew 25d	6.7%	5.7%	8.8%	8.0%	6.3%
Skew 10d	15.6%	9.1%	20.0%	18.8%	16.0%
Call IV 25d	23.4%	19.1%	32.0%	29.0%	20.6%
Put IV 25d	30.1%	26.7%	40.0%	37.0%	26.9%
Bid-Ask Spread %	82.52	72.00	95.40	77.55	95.40
Gamma HHI	0.45	0.30	0.77	0.48	0.47
Net GEX	-167.2K	-512.2K	162.2K	162.2K	-45.6K
Net DEX	1.6M	-885.2K	4.1M	-885.2K	932.9K
Net VEX	-8.7K	-13.0K	-5.6K	-11.0K	-7.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	4.49	2.38	9.85	2.57	3.59
Total Volume	804	136	1,325	150	845
Total OI	2,123.05	1,275	3,063	1,906	1,438

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
2016-02-01	$88.31	$80.00	30.3%	8.7%	28.5%	43.4%	39.5%	8.0%	-6.4%	162.2K	-885.2K	-11.0K	2.57	77.55	42	108	671	1,235
2016-02-02	$86.21	$80.00	34.8%	10.0%	27.1%	54.4%	39.5%	8.8%	-7.5%	82.4K	34.8K	-9.8K	4.91	82.50	23	113	675	1,235
2016-02-03	$86.34	$80.00	35.6%	10.2%	26.6%	56.4%	36.5%	8.0%	-8.0%	85.8K	187.1K	-9.5K	5.38	78.85	24	129	676	1,240
2016-02-04	$83.77	$95.00	24.2%	6.4%	28.4%	28.3%	25.1%	5.7%	0.3%	-94.3K	1.1M	-5.6K	3.60	72.49	40	144	678	1,256
2016-02-05	$82.67	$95.00	22.2%	6.5%	28.0%	23.4%	23.4%	6.1%	-0.0%	-175.9K	1.5M	-5.9K	2.61	78.60	41	107	700	1,246
2016-02-08	$79.82	$95.00	31.3%	7.8%	30.2%	45.8%	29.4%	6.3%	-1.1%	-344.0K	3.0M	-6.4K	9.85	72.00	72	709	697	1,253
2016-02-09	$80.93	$95.00	31.0%	7.8%	30.8%	45.2%	30.5%	6.4%	-1.2%	-286.8K	2.4M	-8.9K	9.70	73.06	73	708	728	1,589
2016-02-10	$81.00	$95.00	28.2%	8.1%	30.4%	38.3%	27.1%	6.4%	-2.1%	-320.8K	2.4M	-8.8K	2.38	77.41	237	563	729	1,588
2016-02-11	$80.13	$90.00	29.6%	8.5%	28.8%	41.6%	32.1%	6.5%	-1.7%	-335.7K	2.9M	-9.6K	4.48	72.39	238	1,067	933	1,599
2016-02-12	$79.94	$90.00	28.2%	8.1%	28.0%	38.2%	31.6%	6.4%	-1.0%	-512.2K	4.1M	-13.0K	4.34	76.93	246	1,067	934	2,107
2016-02-16	$81.39	$90.00	26.9%	7.7%	28.9%	35.1%	30.0%	5.8%	-0.1%	-334.6K	2.3M	-9.9K	4.36	79.30	246	1,072	944	2,107
2016-02-17	$82.75	$90.00	23.0%	6.6%	29.4%	25.3%	30.4%	6.6%	2.1%	-205.2K	1.9M	-9.5K	4.39	84.68	246	1,079	944	2,109
2016-02-18	$81.75	$90.00	26.2%	7.5%	28.8%	33.2%	30.0%	5.8%	0.3%	-379.5K	2.3M	-9.3K	4.69	87.15	230	1,079	944	2,119
2016-02-19	$82.76	$90.00	22.8%	6.5%	29.1%	24.8%	29.3%	8.2%	2.1%	-163.2K	1.6M	-8.5K	4.72	90.03	229	1,080	944	2,119
2016-02-22	$82.74	$90.00	21.2%	6.1%	28.4%	21.0%	26.4%	5.9%	1.4%	-153.7K	1.4M	-7.4K	3.83	87.93	173	663	196	1,079
2016-02-23	$82.49	$85.00	26.2%	7.5%	28.1%	33.4%	26.8%	7.7%	-1.3%	-77.4K	1.2M	-8.7K	3.61	90.97	185	667	357	1,079
2016-02-24	$81.24	$85.00	25.6%	7.3%	27.5%	31.7%	27.5%	5.9%	-0.7%	-121.3K	1.4M	-8.2K	3.59	86.47	184	661	357	1,080
2016-02-25	$83.00	$85.00	22.1%	6.3%	28.2%	23.2%	27.7%	7.4%	-0.2%	-59.3K	1.1M	-8.6K	3.59	91.39	184	661	357	1,081
2016-02-26	$82.73	$85.00	21.3%	6.1%	27.2%	21.3%	27.1%	6.8%	0.4%	-64.8K	1.2M	-8.3K	3.59	95.26	184	661	357	1,081
2016-02-29	$82.62	$85.00	21.9%	6.3%	27.0%	22.7%	28.3%	6.3%	-0.2%	-45.6K	932.9K	-7.1K	3.59	95.40	184	661	357	1,081