IT Options History — July 2016

In July 2016, IT traded between $97.16 and $100.30. ATM implied volatility averaged 22.9%, placing in the 25.0% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 1.3% (HV 20d: 21.6%). Max pain ranged from $95.00 to $100.00. Net GEX was positive for 11 of 20 trading days. Term structure was in contango for 1 of 20 days. Put/call ratio averaged 2.60.

Notable Days

2016-07-27: Highest Volume — 6,481 contracts
2016-07-05: Largest IV spike — 111.3% change
2016-07-07: Highest IV Rank — 41.5%
2016-07-28: Largest Expected Move — 7.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$98.63	$97.16	$100.30	$97.51	$100.30
Max Pain	$95.25	$95.00	$100.00	$100.00	$95.00
ATM IV	22.9%	13.8%	29.6%	13.8%	26.5%
Expected Move	6.8%	4.0%	7.7%	4.0%	7.6%
HV 20d	21.6%	11.0%	24.5%	24.0%	11.0%
HV 60d	24.6%	24.4%	24.9%	24.9%	24.5%
IV Rank	25.0%	2.5%	41.5%	2.5%	33.9%
IV Percentile	54.0%	0.8%	86.5%	0.8%	75.8%
Term Structure	-2.4%	-5.2%	6.8%	6.8%	-5.2%
VWIV	25.7%	14.5%	36.9%	14.5%	24.4%
Skew 25d	3.7%	-6.7%	6.1%	4.6%	5.0%
Skew 10d	13.2%	1.8%	32.4%	32.4%	11.2%
Call IV 25d	24.6%	15.8%	35.1%	15.8%	26.4%
Put IV 25d	28.3%	20.4%	31.4%	20.4%	31.4%
Bid-Ask Spread %	92.05	86.76	109.55	109.55	96.44
Gamma HHI	0.45	0.21	0.84	0.49	0.49
Net GEX	403.1K	-229.0K	3.2M	-86.3K	3.2M
Net DEX	-3.8M	-24.7M	194.8K	56.0K	-24.7M
Net VEX	-15.8K	-83.3K	-3.4K	-5.4K	-82.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.60	0.05	4.04	3.46	0.10
Total Volume	1,318.95	380	6,481	401	3,483
Total OI	1,490.9	477	6,595	659	6,595

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
2016-07-01	$97.51	$100.00	13.8%	4.0%	24.0%	2.5%	14.5%	4.6%	6.8%	-86.3K	56.0K	-5.4K	3.46	109.55	90	311	230	429
2016-07-05	$97.16	$95.00	29.2%	7.1%	24.0%	40.5%	27.1%	-3.9%	-1.3%	-57.5K	49.1K	-5.1K	3.46	91.88	90	311	230	430
2016-07-06	$97.57	$95.00	21.5%	6.8%	24.1%	21.5%	28.1%	5.7%	-2.8%	-97.0K	194.8K	-5.0K	3.89	88.99	79	307	230	430
2016-07-07	$97.39	$95.00	29.6%	7.2%	24.1%	41.5%	27.5%	5.1%	-2.3%	-94.7K	161.5K	-4.8K	3.89	92.98	79	307	220	429
2016-07-08	$98.40	$95.00	14.6%	6.6%	24.5%	4.4%	26.0%	5.5%	-2.1%	-134.6K	-73.4K	-4.8K	4.00	89.68	76	304	220	429
2016-07-11	$98.62	$95.00	16.3%	6.7%	24.4%	8.6%	26.3%	5.1%	-2.1%	-131.8K	-78.9K	-4.5K	4.04	87.42	76	307	221	429
2016-07-12	$99.05	$95.00	16.5%	6.6%	24.5%	9.2%	25.8%	3.6%	-1.9%	-158.6K	-202.7K	-4.1K	3.90	91.70	78	304	220	426
2016-07-13	$98.78	$95.00	23.4%	6.7%	24.4%	26.3%	25.8%	4.4%	-2.3%	-134.3K	-146.5K	-3.9K	3.81	89.37	79	301	220	426
2016-07-14	$99.05	$95.00	23.1%	6.6%	24.4%	25.4%	23.4%	4.4%	-1.6%	-229.0K	-151.7K	-3.8K	2.76	89.37	109	301	221	425
2016-07-15	$98.48	$95.00	22.6%	6.5%	24.5%	24.4%	23.4%	6.1%	-2.2%	35.7K	48.2K	-3.8K	2.78	92.91	109	303	241	425
2016-07-18	$97.73	$95.00	23.4%	6.7%	24.0%	26.1%	23.8%	5.1%	-2.2%	33.4K	-745.0K	-3.7K	2.87	90.95	105	301	208	269
2016-07-19	$97.87	$95.00	23.2%	6.6%	23.8%	25.6%	22.8%	5.2%	-2.7%	36.1K	-758.1K	-3.8K	2.95	87.97	102	301	213	274
2016-07-20	$99.04	$95.00	22.7%	6.5%	24.1%	24.5%	36.9%	-6.7%	-2.1%	41.7K	-947.2K	-3.4K	2.95	100.13	102	301	212	274
2016-07-21	$98.52	$95.00	24.1%	6.9%	24.1%	28.0%	25.6%	2.3%	-3.0%	39.4K	-890.2K	-3.4K	2.92	93.63	103	301	212	274
2016-07-22	$99.57	$95.00	24.0%	6.9%	23.9%	27.8%	24.7%	5.1%	-3.4%	38.5K	-917.5K	-3.5K	2.03	92.47	151	307	213	274
2016-07-25	$99.03	$95.00	25.5%	7.3%	20.3%	31.4%	26.2%	5.0%	-4.2%	54.9K	-1.2M	-4.0K	2.03	88.60	151	307	261	281
2016-07-26	$100.14	$95.00	25.6%	7.3%	13.0%	31.7%	25.5%	5.3%	-4.0%	55.1K	-1.3M	-3.9K	0.05	90.97	6,170	309	261	281
2016-07-27	$99.45	$95.00	25.9%	7.4%	12.9%	32.5%	27.3%	1.8%	-4.2%	2.9M	-23.2M	-83.3K	0.05	86.76	6,172	309	6,305	285
2016-07-28	$98.97	$95.00	26.8%	7.7%	12.5%	34.7%	28.1%	4.6%	-5.0%	2.8M	-21.4M	-79.7K	0.10	89.25	3,174	309	6,310	285
2016-07-29	$100.30	$95.00	26.5%	7.6%	11.0%	33.9%	24.4%	5.0%	-5.2%	3.2M	-24.7M	-82.3K	0.10	96.44	3,174	309	6,310	285