IT Options History — April 2016

In April 2016, IT traded between $87.04 and $90.49. ATM implied volatility averaged 21.4%, placing in the 21.5% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 8.0% (HV 20d: 13.4%). Max pain ranged from $85.00 to $85.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 1.26.

Notable Days

2016-04-14: Highest Volume — 1,054 contracts
2016-04-11: Largest IV spike — 57.2% change
2016-04-29: Highest IV Rank — 39.7%
2016-04-29: Largest Expected Move — 8.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$88.35	$87.04	$90.49	$90.49	$87.26
Max Pain	$85.00	$85.00	$85.00	$85.00	$85.00
ATM IV	21.4%	14.8%	28.8%	15.1%	28.8%
Expected Move	6.6%	4.3%	8.3%	4.3%	8.3%
HV 20d	13.4%	12.2%	14.6%	13.5%	12.5%
HV 60d	20.4%	17.8%	22.2%	22.2%	17.8%
IV Rank	21.5%	5.1%	39.7%	5.9%	39.7%
IV Percentile	42.5%	2.0%	81.3%	2.8%	81.3%
Term Structure	-2.6%	-5.8%	6.4%	6.4%	-5.8%
VWIV	27.5%	16.8%	30.6%	16.8%	29.3%
Skew 25d	5.8%	4.5%	7.3%	4.5%	7.3%
Skew 10d	12.8%	8.2%	15.5%	8.2%	15.5%
Call IV 25d	21.1%	14.2%	24.4%	14.2%	24.1%
Put IV 25d	26.9%	18.7%	31.3%	18.7%	31.3%
Bid-Ask Spread %	80.80	69.59	101.21	101.21	86.01
Gamma HHI	0.48	0.37	0.64	0.37	0.45
Net GEX	238.1K	153.6K	395.4K	153.6K	182.2K
Net DEX	-3.8M	-6.9M	-2.4M	-5.3M	-2.4M
Net VEX	-7.8K	-9.8K	-4.5K	-4.5K	-9.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.26	0.11	3.29	0.28	2.09
Total Volume	490.762	158	1,054	750	238
Total OI	1,261.952	1,097	1,719	1,103	1,393

Daily Data (21 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
2016-04-01	$90.49	$85.00	15.1%	4.3%	13.5%	5.9%	16.8%	4.5%	6.4%	153.6K	-5.3M	-4.5K	0.28	101.21	587	163	731	372
2016-04-04	$90.40	$85.00	17.0%	6.5%	12.8%	10.6%	29.1%	4.7%	-1.9%	174.1K	-5.3M	-5.7K	0.32	75.34	587	188	762	412
2016-04-05	$89.20	$85.00	16.3%	6.4%	13.8%	8.8%	30.5%	5.6%	-1.5%	227.0K	-4.9M	-6.1K	0.34	69.59	573	197	763	447
2016-04-06	$89.00	$85.00	16.3%	6.4%	12.7%	8.9%	30.6%	6.0%	-2.1%	234.5K	-4.8M	-5.9K	0.32	76.06	574	184	765	457
2016-04-07	$88.12	$85.00	14.8%	6.4%	13.3%	5.1%	26.4%	5.6%	-1.6%	385.6K	-4.5M	-6.1K	0.34	75.11	574	194	767	460
2016-04-08	$87.83	$85.00	14.8%	6.3%	12.2%	5.3%	27.2%	5.8%	-1.8%	364.0K	-3.8M	-7.1K	0.31	73.59	575	181	769	489
2016-04-11	$87.25	$85.00	23.3%	7.3%	12.3%	26.2%	26.4%	5.7%	-2.6%	395.4K	-3.5M	-6.7K	0.17	76.64	574	96	768	503
2016-04-12	$87.47	$85.00	23.2%	7.2%	12.2%	25.8%	26.2%	5.7%	-2.3%	375.6K	-3.8M	-6.3K	0.17	79.70	575	95	769	534
2016-04-13	$88.19	$85.00	22.4%	6.4%	12.4%	24.0%	27.5%	6.4%	-2.6%	330.9K	-4.2M	-6.0K	0.17	80.25	594	103	771	541
2016-04-14	$87.04	$85.00	25.0%	7.2%	13.3%	30.3%	25.2%	5.2%	-3.3%	307.8K	-4.3M	-5.7K	0.11	77.85	949	105	791	558
2016-04-15	$88.48	$85.00	21.6%	6.2%	14.1%	22.0%	25.3%	5.6%	-2.7%	188.9K	-6.9M	-9.5K	0.20	84.10	519	105	1,161	558
2016-04-18	$88.93	$85.00	21.8%	6.3%	14.0%	22.5%	27.9%	6.0%	-1.9%	187.5K	-3.1M	-9.2K	1.82	75.13	56	102	640	457
2016-04-19	$88.93	$85.00	22.0%	6.3%	13.8%	22.9%	28.2%	6.1%	-2.4%	185.6K	-3.1M	-8.9K	2.25	80.79	57	128	640	466
2016-04-20	$89.35	$85.00	22.3%	6.4%	13.8%	23.6%	28.2%	4.9%	-3.1%	183.8K	-3.2M	-9.1K	2.09	81.78	57	119	641	517
2016-04-21	$88.18	$85.00	22.2%	6.4%	14.6%	23.5%	27.6%	5.6%	-2.8%	192.8K	-2.9M	-9.4K	2.67	81.23	54	144	641	539
2016-04-22	$88.22	$85.00	22.5%	6.4%	14.5%	24.1%	27.6%	5.8%	-3.5%	186.7K	-2.8M	-9.7K	2.81	83.81	54	152	643	578
2016-04-25	$87.73	$85.00	23.8%	6.8%	14.5%	27.4%	29.2%	6.4%	-4.0%	188.9K	-2.6M	-9.2K	2.13	86.07	54	115	643	617
2016-04-26	$88.13	$85.00	24.6%	7.0%	13.9%	29.2%	29.5%	6.0%	-4.5%	181.9K	-2.7M	-9.2K	2.67	82.35	54	144	643	624
2016-04-27	$88.01	$85.00	23.8%	6.8%	13.8%	27.3%	29.7%	6.9%	-4.1%	186.9K	-2.7M	-9.5K	3.29	87.08	59	194	643	657
2016-04-28	$87.09	$85.00	28.0%	8.0%	13.2%	37.8%	28.6%	5.3%	-5.8%	185.4K	-2.4M	-9.3K	1.99	83.23	78	155	636	735
2016-04-29	$87.26	$85.00	28.8%	8.3%	12.5%	39.7%	29.3%	7.3%	-5.8%	182.2K	-2.4M	-9.8K	2.09	86.01	77	161	652	741