IT Options History — December 2016

In December 2016, IT traded between $100.18 and $104.82. ATM implied volatility averaged 17.1%, placing in the 18.9% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded below realized volatility by 0.8% (HV 20d: 17.9%). Max pain ranged from $90.00 to $105.00. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 1.46.

Notable Days

2016-12-16: Highest Volume — 253 contracts
2016-12-27: Largest IV spike — 12.0% change
2016-12-01: Highest IV Rank — 29.5%
2016-12-01: Largest Expected Move — 5.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$102.73	$100.18	$104.82	$100.82	$100.88
Max Pain	$101.90	$90.00	$105.00	$90.00	$105.00
ATM IV	17.1%	15.4%	19.5%	19.5%	17.7%
Expected Move	4.9%	4.4%	5.6%	5.6%	5.1%
HV 20d	17.9%	14.4%	35.1%	35.1%	14.4%
HV 60d	23.7%	23.4%	23.8%	23.7%	23.8%
IV Rank	18.9%	11.4%	29.5%	29.5%	21.6%
IV Percentile	23.2%	4.4%	50.0%	50.0%	36.5%
Term Structure	4.4%	-1.6%	6.8%	-1.6%	5.5%
VWIV	17.1%	15.5%	20.3%	18.9%	15.7%
Skew 25d	2.7%	-1.4%	6.2%	-1.4%	2.5%
Skew 10d	5.1%	-3.7%	26.6%	-3.7%	-0.9%
Call IV 25d	16.1%	12.5%	19.3%	18.5%	17.0%
Put IV 25d	18.8%	16.0%	20.6%	17.1%	19.5%
Bid-Ask Spread %	98.31	93.48	105.28	105.28	104.06
Gamma HHI	0.35	0.21	0.61	0.55	0.33
Net GEX	-40.2K	-112.2K	1.9K	-98.3K	-28.3K
Net DEX	-923.0K	-1.9M	884	-1.0M	884
Net VEX	-5.4K	-6.2K	-5.0K	-6.2K	-5.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.46	0.81	2.55	1.03	2.33
Total Volume	195.952	140	253	211	140
Total OI	526.667	370	672	620	378

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
2016-12-01	$100.82	$90.00	19.5%	5.6%	35.1%	29.5%	18.9%	-1.4%	-1.6%	-98.3K	-1.0M	-6.2K	1.03	105.28	104	107	250	370
2016-12-02	$100.18	$90.00	18.8%	5.4%	19.9%	26.5%	20.3%	1.3%	-1.6%	-103.1K	-932.0K	-6.1K	1.01	104.88	104	105	253	369
2016-12-05	$100.71	$100.00	18.4%	5.0%	19.4%	24.9%	17.6%	3.4%	3.6%	-112.2K	-1.0M	-6.0K	1.00	94.35	104	104	253	369
2016-12-06	$101.24	$100.00	17.7%	5.0%	18.6%	21.4%	15.5%	3.8%	4.0%	-109.1K	-1.2M	-5.7K	1.00	93.48	104	104	253	367
2016-12-07	$103.41	$100.00	16.1%	4.6%	17.1%	14.4%	17.0%	3.6%	4.4%	-58.5K	-1.6M	-5.5K	0.83	94.98	125	104	253	367
2016-12-08	$104.82	$100.00	16.7%	4.6%	16.0%	17.1%	17.4%	2.9%	4.4%	-8.7K	-1.9M	-5.4K	0.81	94.57	128	104	277	367
2016-12-09	$104.41	$100.00	16.5%	4.6%	16.1%	16.2%	17.7%	2.5%	4.4%	-15.4K	-1.9M	-5.3K	0.81	93.75	128	104	277	367
2016-12-12	$102.68	$100.00	16.0%	4.8%	17.3%	14.2%	17.4%	2.3%	4.2%	-59.5K	-1.6M	-5.4K	0.86	97.02	128	110	276	367
2016-12-13	$104.03	$100.00	17.3%	4.6%	17.8%	19.8%	16.8%	2.6%	4.3%	1.9K	-1.8M	-5.1K	0.94	94.20	128	120	276	377
2016-12-14	$103.37	$105.00	16.4%	4.7%	18.0%	15.9%	17.3%	2.6%	4.1%	-28.4K	-1.7M	-5.3K	0.94	98.77	128	120	276	387
2016-12-15	$103.70	$105.00	16.5%	4.7%	17.7%	16.3%	17.1%	2.3%	4.2%	-32.6K	-1.7M	-5.2K	0.94	96.59	128	120	276	387
2016-12-16	$103.50	$105.00	15.9%	4.6%	16.3%	13.9%	17.1%	3.9%	4.8%	-14.3K	-1.6M	-5.1K	1.04	94.60	124	129	275	397
2016-12-19	$104.15	$105.00	15.7%	4.5%	16.1%	12.6%	17.1%	3.3%	5.9%	-18.6K	-269.2K	-5.5K	1.45	98.01	74	107	123	247
2016-12-20	$103.58	$105.00	16.3%	4.7%	16.2%	15.3%	17.2%	2.8%	6.8%	-21.1K	-220.9K	-5.4K	1.45	98.55	74	107	123	250
2016-12-21	$104.22	$105.00	15.4%	4.4%	16.3%	11.4%	16.1%	6.2%	6.5%	-20.6K	-328.1K	-5.0K	2.55	102.20	42	107	123	250
2016-12-22	$103.35	$105.00	16.2%	4.6%	16.6%	15.1%	15.5%	4.2%	5.8%	-19.6K	-235.1K	-5.2K	2.33	100.72	42	98	124	250
2016-12-23	$102.80	$105.00	17.0%	4.9%	16.7%	18.4%	16.2%	3.4%	5.3%	-21.5K	-204.1K	-5.2K	2.33	101.28	42	98	124	252
2016-12-27	$102.47	$105.00	19.0%	5.5%	16.6%	27.4%	18.1%	2.3%	4.5%	-22.8K	-179.7K	-5.0K	2.33	96.99	42	98	124	252
2016-12-28	$101.60	$105.00	17.8%	5.1%	16.6%	22.0%	16.5%	-0.7%	6.0%	-25.6K	-54.1K	-5.1K	2.33	100.50	42	98	124	252
2016-12-29	$101.43	$105.00	18.1%	5.2%	16.4%	23.1%	17.5%	1.9%	6.3%	-27.4K	-51.1K	-5.1K	2.33	99.68	42	98	124	254
2016-12-30	$100.88	$105.00	17.7%	5.1%	14.4%	21.6%	15.7%	2.5%	5.5%	-28.3K	884	-5.1K	2.33	104.06	42	98	124	254