IT Options History — November 2016

In November 2016, IT traded between $86.26 and $104.50. ATM implied volatility averaged 20.0%, placing in the 31.7% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded below realized volatility by 12.2% (HV 20d: 32.3%). Max pain ranged from $85.00 to $90.00. Net GEX was positive for 9 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 1.09.

Notable Days

2016-11-16: Highest Volume — 492 contracts
2016-11-03: Largest IV drop — 32.6% change
2016-11-01: Highest IV Rank — 98.0%
2016-11-01: Largest Expected Move — 10.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$99.63	$86.26	$104.50	$86.26	$103.08
Max Pain	$87.14	$85.00	$90.00	$85.00	$90.00
ATM IV	20.0%	15.2%	35.1%	35.1%	16.6%
Expected Move	5.6%	4.3%	10.1%	10.1%	4.8%
HV 20d	32.3%	13.9%	35.5%	14.0%	33.4%
HV 60d	21.8%	12.2%	23.1%	12.2%	23.1%
IV Rank	31.7%	10.4%	98.0%	98.0%	17.0%
IV Percentile	39.4%	4.0%	99.6%	99.6%	14.7%
Term Structure	0.6%	-9.6%	3.9%	-9.4%	-0.0%
VWIV	21.0%	15.5%	35.2%	35.2%	18.1%
Skew 25d	4.5%	0.2%	8.8%	6.7%	3.1%
Skew 10d	10.7%	2.5%	18.8%	16.5%	2.5%
Call IV 25d	18.1%	13.4%	32.1%	31.9%	16.0%
Put IV 25d	22.6%	17.4%	38.6%	38.6%	19.1%
Bid-Ask Spread %	93.28	80.78	103.00	89.32	100.55
Gamma HHI	0.36	0.21	0.70	0.43	0.47
Net GEX	-14.4K	-76.5K	101.0K	-22.8K	-76.5K
Net DEX	-2.0M	-5.0M	858.6K	858.6K	-1.4M
Net VEX	-6.4K	-8.8K	-4.8K	-8.6K	-5.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.09	0.46	2.61	1.38	1.00
Total Volume	272.476	188	492	188	206
Total OI	742.333	552	1,016	728	610

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
2016-11-01	$86.26	$85.00	35.1%	10.1%	14.0%	98.0%	35.2%	6.7%	-9.4%	-22.8K	858.6K	-8.6K	1.38	89.32	79	109	319	409
2016-11-02	$86.27	$85.00	34.5%	9.9%	13.9%	95.1%	34.0%	5.8%	-9.6%	-24.3K	765.8K	-8.8K	1.01	86.76	115	116	329	409
2016-11-03	$93.99	$85.00	23.2%	5.9%	33.8%	45.9%	22.4%	4.4%	1.3%	33.3K	-1.6M	-8.2K	2.61	94.77	109	284	360	404
2016-11-04	$93.19	$85.00	23.9%	5.8%	33.9%	48.8%	21.7%	5.8%	0.9%	23.9K	-1.2M	-8.2K	1.02	80.78	109	111	343	386
2016-11-07	$94.97	$85.00	22.2%	5.5%	34.3%	41.4%	22.4%	2.6%	2.5%	30.6K	-1.7M	-7.3K	0.82	94.07	124	102	343	387
2016-11-08	$97.83	$85.00	21.9%	5.3%	35.1%	40.2%	18.9%	8.8%	2.7%	16.0K	-2.0M	-7.2K	0.84	95.61	134	112	343	387
2016-11-09	$100.09	$85.00	18.9%	5.4%	35.5%	26.8%	19.3%	5.2%	1.3%	5.4K	-2.4M	-6.2K	1.13	92.08	135	152	341	395
2016-11-10	$100.29	$85.00	19.3%	5.5%	35.3%	28.5%	19.2%	2.8%	2.3%	-15.0K	-2.5M	-5.6K	1.10	90.67	139	153	339	447
2016-11-11	$101.04	$85.00	19.6%	5.6%	35.1%	29.9%	19.1%	5.1%	1.9%	720	-2.5M	-5.8K	1.07	89.53	143	153	343	452
2016-11-14	$101.29	$85.00	19.4%	5.6%	34.8%	29.0%	21.4%	4.2%	2.2%	10.3K	-2.6M	-5.7K	1.03	86.36	152	157	352	452
2016-11-15	$101.51	$85.00	19.4%	5.6%	34.8%	29.0%	21.0%	2.9%	2.3%	10.5K	-2.6M	-5.9K	0.96	94.11	161	155	355	457
2016-11-16	$102.53	$85.00	16.5%	4.7%	34.7%	16.3%	22.2%	6.1%	3.4%	101.0K	-4.6M	-5.7K	0.46	86.49	337	155	551	461
2016-11-17	$104.50	$90.00	17.1%	4.9%	34.4%	19.0%	18.4%	3.4%	3.0%	-11.3K	-5.0M	-4.8K	0.68	94.74	236	161	549	467
2016-11-18	$103.42	$90.00	16.0%	4.6%	35.1%	14.2%	19.9%	3.5%	3.9%	-11.6K	-5.0M	-4.8K	0.82	91.40	221	181	549	467
2016-11-21	$103.70	$90.00	16.4%	4.7%	35.1%	16.1%	17.6%	0.2%	0.8%	-34.8K	-1.5M	-5.7K	1.07	94.86	94	101	234	318
2016-11-22	$103.75	$90.00	15.2%	4.4%	33.2%	10.6%	18.2%	5.1%	1.3%	-63.7K	-1.5M	-5.9K	1.55	100.56	94	146	240	363
2016-11-23	$103.44	$90.00	15.2%	4.3%	32.8%	10.4%	15.5%	2.9%	1.1%	-70.0K	-1.5M	-6.1K	1.07	99.72	94	101	240	363
2016-11-25	$103.67	$90.00	16.5%	4.7%	32.6%	16.5%	17.0%	4.2%	-0.2%	-71.7K	-1.4M	-6.0K	1.06	103.00	95	101	239	368
2016-11-28	$103.29	$90.00	17.0%	4.9%	32.8%	18.4%	18.1%	4.6%	-0.3%	-71.0K	-1.4M	-5.7K	1.08	95.42	95	103	240	368
2016-11-29	$104.03	$90.00	16.2%	4.6%	32.8%	14.9%	20.6%	6.6%	0.4%	-60.8K	-1.4M	-5.9K	1.10	98.06	94	103	240	370
2016-11-30	$103.08	$90.00	16.6%	4.8%	33.4%	17.0%	18.1%	3.1%	-0.0%	-76.5K	-1.4M	-5.7K	1.00	100.55	103	103	240	370