IT Options History — January 2017

In January 2017, IT traded between $90.62 and $102.06. ATM implied volatility averaged 28.1%, placing in the 67.1% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded below realized volatility by 17.1% (HV 20d: 45.2%). Max pain ranged from $95.00 to $105.00. Net GEX was positive for 16 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 0.84.

Notable Days

2017-01-31: Highest Volume — 4,036 contracts
2017-01-05: Largest IV spike — 42.9% change
2017-01-31: Highest IV Rank — 95.3%
2017-01-31: Largest Expected Move — 9.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$99.07	$90.62	$102.06	$99.58	$99.22
Max Pain	$96.25	$95.00	$105.00	$105.00	$95.00
ATM IV	28.1%	18.4%	34.5%	18.4%	34.5%
Expected Move	8.3%	5.3%	9.9%	5.3%	9.9%
HV 20d	45.2%	15.0%	49.4%	15.0%	49.4%
HV 60d	34.5%	24.0%	36.2%	24.0%	35.9%
IV Rank	67.1%	24.9%	95.3%	24.9%	95.3%
IV Percentile	84.0%	42.1%	98.8%	42.1%	98.8%
Term Structure	-3.7%	-8.9%	6.6%	6.6%	-8.9%
VWIV	29.5%	17.9%	35.4%	17.9%	35.4%
Skew 25d	3.5%	1.1%	4.8%	1.1%	3.5%
Skew 10d	5.5%	-11.2%	11.4%	6.5%	4.1%
Call IV 25d	27.9%	18.0%	34.0%	19.6%	34.0%
Put IV 25d	31.4%	20.7%	37.5%	20.7%	37.5%
Bid-Ask Spread %	88.44	82.05	99.41	98.63	91.30
Gamma HHI	0.32	0.19	0.50	0.30	0.32
Net GEX	165.6K	-39.7K	427.8K	-29.6K	303.4K
Net DEX	-2.8M	-6.1M	967.6K	193.7K	-5.0M
Net VEX	-19.5K	-76.3K	-4.7K	-5.1K	-76.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.84	0.23	2.49	2.33	0.84
Total Volume	892.35	140	4,036	140	4,036
Total OI	2,071.6	378	4,942	378	4,942

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
2017-01-03	$99.58	$105.00	18.4%	5.3%	15.0%	24.9%	17.9%	1.1%	6.6%	-29.6K	193.7K	-5.1K	2.33	98.63	42	98	124	254
2017-01-04	$101.75	$105.00	18.9%	5.4%	16.8%	27.0%	23.3%	3.8%	6.0%	-27.2K	-82.3K	-4.7K	2.49	99.41	43	107	125	254
2017-01-05	$90.62	$100.00	27.1%	8.7%	44.5%	62.6%	31.0%	4.8%	-3.4%	-39.7K	967.6K	-5.1K	1.25	88.23	848	1,063	125	263
2017-01-06	$94.70	$95.00	23.5%	8.1%	47.0%	46.9%	28.4%	3.9%	-2.8%	-32.6K	913.3K	-18.1K	1.04	85.73	429	445	797	1,222
2017-01-09	$95.69	$95.00	25.2%	8.3%	46.8%	54.4%	28.5%	2.3%	-3.9%	164.1K	-1.1M	-17.4K	0.71	85.63	521	369	941	1,138
2017-01-10	$97.75	$95.00	22.8%	8.2%	47.7%	44.0%	29.3%	4.1%	-3.5%	308.3K	-2.7M	-16.7K	1.12	88.22	389	436	979	1,146
2017-01-11	$99.03	$95.00	27.9%	8.0%	47.8%	66.1%	28.3%	3.1%	-2.9%	427.8K	-4.3M	-16.4K	0.23	85.62	718	166	1,025	1,187
2017-01-12	$99.80	$95.00	28.3%	8.1%	47.6%	68.3%	29.0%	3.5%	-3.1%	338.9K	-4.7M	-14.5K	1.09	82.66	170	186	946	1,172
2017-01-13	$102.06	$95.00	28.1%	8.0%	48.3%	67.1%	29.0%	4.6%	-1.9%	167.9K	-6.1M	-13.7K	0.52	85.02	412	214	943	1,203
2017-01-17	$99.27	$95.00	30.0%	8.6%	49.2%	75.4%	30.5%	3.8%	-4.3%	340.8K	-4.5M	-16.5K	0.46	88.95	423	196	1,191	1,251
2017-01-18	$99.59	$95.00	29.2%	8.4%	49.3%	71.9%	30.6%	4.0%	-4.1%	289.5K	-4.5M	-15.9K	0.72	85.23	297	214	1,166	1,267
2017-01-19	$99.04	$95.00	30.1%	8.6%	49.2%	75.9%	30.4%	3.5%	-4.8%	306.9K	-3.9M	-14.8K	0.69	86.66	296	205	1,167	1,259
2017-01-20	$99.38	$95.00	30.1%	8.6%	49.2%	75.9%	30.2%	2.6%	-4.6%	45.5K	-3.7M	-14.2K	0.55	91.23	322	178	1,168	1,239
2017-01-23	$100.42	$95.00	30.3%	8.7%	49.3%	76.8%	30.4%	4.2%	-4.7%	67.3K	-2.1M	-13.7K	0.42	84.03	250	104	679	943
2017-01-24	$100.96	$95.00	30.0%	8.6%	49.3%	75.7%	30.2%	4.0%	-5.4%	92.5K	-2.4M	-12.9K	0.34	90.90	250	84	679	944
2017-01-25	$101.18	$95.00	30.8%	8.8%	49.3%	79.0%	31.2%	3.9%	-5.8%	83.1K	-2.4M	-13.0K	0.32	82.05	259	84	679	954
2017-01-26	$101.35	$95.00	30.7%	8.8%	49.3%	78.6%	30.8%	2.8%	-5.6%	86.2K	-2.5M	-13.0K	0.46	89.58	278	129	683	954
2017-01-27	$100.41	$95.00	32.0%	9.2%	49.4%	84.3%	32.0%	2.9%	-8.0%	137.9K	-3.0M	-21.3K	0.75	91.22	1,441	1,078	929	1,158
2017-01-30	$99.67	$95.00	33.9%	9.7%	49.4%	92.8%	33.9%	4.0%	-7.9%	280.0K	-4.6M	-66.0K	0.48	88.46	719	348	2,164	2,172
2017-01-31	$99.22	$95.00	34.5%	9.9%	49.4%	95.3%	35.4%	3.5%	-8.9%	303.4K	-5.0M	-76.3K	0.84	91.30	2,190	1,846	2,458	2,484