IT Options History — October 2016

In October 2016, IT traded between $85.11 and $88.78. ATM implied volatility averaged 24.3%, placing in the 45.8% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded above realized volatility by 11.8% (HV 20d: 12.5%). Max pain ranged from $85.00 to $90.00. Net GEX was positive for 3 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 1.23.

Notable Days

2016-10-27: Highest Volume — 290 contracts
2016-10-12: Largest IV spike — 18.8% change
2016-10-31: Highest IV Rank — 90.3%
2016-10-31: Largest Expected Move — 9.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$87.45	$85.11	$88.78	$88.78	$86.16
Max Pain	$89.29	$85.00	$90.00	$90.00	$85.00
ATM IV	24.3%	17.1%	33.4%	17.5%	33.4%
Expected Move	7.3%	5.0%	9.6%	5.0%	9.6%
HV 20d	12.5%	11.1%	14.3%	12.6%	14.2%
HV 60d	13.8%	12.0%	14.4%	13.8%	12.3%
IV Rank	45.8%	10.7%	90.3%	11.7%	90.3%
IV Percentile	66.9%	21.4%	98.8%	28.6%	98.8%
Term Structure	-2.5%	-9.0%	6.2%	5.7%	-9.0%
VWIV	25.1%	17.6%	34.2%	18.1%	34.2%
Skew 25d	5.0%	0.3%	7.0%	4.9%	7.0%
Skew 10d	12.6%	-0.3%	23.0%	11.0%	16.4%
Call IV 25d	24.3%	16.9%	30.5%	17.9%	30.5%
Put IV 25d	29.3%	21.8%	37.5%	22.8%	37.5%
Bid-Ask Spread %	90.56	79.95	101.21	101.21	87.76
Gamma HHI	0.47	0.29	0.58	0.45	0.44
Net GEX	-39.8K	-136.3K	20.8K	-24.8K	-23.0K
Net DEX	855.2K	418.3K	1.2M	722.5K	865.5K
Net VEX	-7.7K	-8.9K	-6.2K	-8.7K	-8.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.23	0.88	2.07	1.61	1.58
Total Volume	171.714	109	290	172	178
Total OI	775.429	430	893	796	721

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
2016-10-03	$88.78	$90.00	17.5%	5.0%	12.6%	11.7%	18.1%	4.9%	5.7%	-24.8K	722.5K	-8.7K	1.61	101.21	66	106	310	486
2016-10-04	$88.04	$90.00	18.0%	5.2%	12.9%	12.9%	18.4%	4.3%	6.2%	-50.7K	910.3K	-8.7K	1.04	99.37	92	96	317	486
2016-10-05	$88.37	$90.00	17.3%	5.0%	13.0%	11.3%	17.6%	4.9%	6.1%	-27.9K	741.3K	-8.9K	1.08	100.05	92	99	344	499
2016-10-06	$88.19	$90.00	17.1%	6.8%	12.5%	10.7%	25.6%	0.3%	-1.7%	-44.4K	815.0K	-8.9K	1.08	91.25	92	99	344	508
2016-10-07	$87.64	$90.00	17.7%	6.8%	12.0%	12.1%	24.1%	5.2%	-2.2%	-82.4K	1.0M	-8.6K	1.11	83.97	92	102	344	508
2016-10-10	$88.29	$90.00	18.1%	6.9%	11.8%	13.3%	24.1%	6.7%	-2.3%	-25.5K	606.9K	-8.0K	1.11	82.45	92	102	344	512
2016-10-11	$87.35	$90.00	20.8%	7.9%	12.1%	19.9%	25.4%	4.3%	-3.8%	-114.6K	1.1M	-7.9K	1.03	79.95	97	100	344	512
2016-10-12	$88.70	$90.00	24.8%	7.1%	13.2%	29.6%	25.2%	6.2%	-3.4%	20.8K	418.3K	-7.7K	1.38	90.67	76	105	339	511
2016-10-13	$88.29	$90.00	23.6%	6.8%	11.5%	47.4%	23.6%	5.8%	-1.9%	752	722.3K	-8.1K	1.30	88.89	76	99	365	511
2016-10-14	$87.98	$90.00	24.6%	7.0%	11.4%	51.7%	25.0%	3.9%	-2.9%	-68.4K	991.6K	-7.9K	1.30	90.02	76	99	365	512
2016-10-17	$87.43	$90.00	28.7%	8.2%	11.6%	70.1%	25.1%	6.9%	-3.8%	-104.2K	1.2M	-7.3K	0.91	83.88	58	53	365	513
2016-10-18	$88.08	$90.00	25.1%	7.2%	11.8%	54.2%	24.9%	6.5%	-3.6%	-64.8K	958.1K	-7.2K	0.91	89.13	58	53	367	513
2016-10-19	$88.03	$90.00	24.9%	7.2%	11.6%	53.4%	24.6%	6.3%	-3.2%	-28.0K	781.3K	-6.9K	0.88	92.35	58	51	378	513
2016-10-20	$87.27	$90.00	27.5%	7.9%	11.1%	64.7%	25.0%	6.3%	-3.1%	-136.3K	1.1M	-6.6K	0.90	93.49	58	52	378	515
2016-10-21	$87.72	$90.00	24.3%	7.0%	11.4%	50.4%	24.5%	6.0%	-2.9%	-7.8K	768.3K	-6.2K	0.90	90.64	58	52	378	507
2016-10-24	$88.24	$90.00	25.5%	7.3%	11.5%	55.9%	25.6%	5.8%	-3.9%	-7.0K	492.3K	-6.3K	2.07	90.89	46	95	195	235
2016-10-25	$86.19	$90.00	28.0%	8.0%	14.0%	66.8%	25.7%	5.0%	-3.5%	-22.4K	922.0K	-7.1K	1.66	91.85	59	98	197	286
2016-10-26	$85.42	$90.00	29.5%	8.5%	14.3%	73.3%	28.6%	3.0%	-5.3%	-19.4K	1.0M	-6.7K	0.89	87.99	110	98	216	283
2016-10-27	$85.11	$85.00	30.6%	8.8%	13.7%	78.0%	30.5%	2.6%	-6.2%	10.0K	831.1K	-7.2K	1.82	92.05	103	187	286	284
2016-10-28	$85.24	$85.00	32.1%	9.2%	13.4%	85.0%	32.0%	3.7%	-7.7%	-16.6K	962.2K	-8.6K	1.25	93.84	99	124	315	378
2016-10-31	$86.16	$85.00	33.4%	9.6%	14.2%	90.3%	34.2%	7.0%	-9.0%	-23.0K	865.5K	-8.6K	1.58	87.76	69	109	316	405