IT Options History — February 2017

In February 2017, IT traded between $98.53 and $104.37. ATM implied volatility averaged 19.3%, placing in the 28.1% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 1.8% (HV 20d: 17.4%). Max pain ranged from $95.00 to $100.00. Net GEX was positive for 13 of 19 trading days. Term structure was in contango for 13 of 19 days. Put/call ratio averaged 0.49.

Notable Days

2017-02-07: Highest Volume — 1,134 contracts
2017-02-02: Largest IV drop — 42.0% change
2017-02-01: Highest IV Rank — 100.0%
2017-02-01: Largest Expected Move — 10.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$101.40	$98.53	$104.37	$98.53	$103.32
Max Pain	$96.84	$95.00	$100.00	$95.00	$100.00
ATM IV	19.3%	17.2%	35.9%	35.9%	18.5%
Expected Move	5.5%	4.9%	10.3%	10.3%	5.3%
HV 20d	17.4%	10.1%	49.2%	49.2%	11.6%
HV 60d	30.5%	30.2%	31.4%	31.4%	30.3%
IV Rank	28.1%	19.3%	100.0%	100.0%	24.7%
IV Percentile	45.8%	26.6%	100.0%	100.0%	47.2%
Term Structure	1.7%	-9.7%	4.5%	-9.7%	-0.5%
VWIV	20.9%	14.7%	37.5%	35.9%	37.5%
Skew 25d	1.7%	-6.5%	4.0%	2.6%	-6.5%
Skew 10d	2.9%	-20.2%	13.2%	-20.2%	-18.5%
Call IV 25d	19.5%	16.2%	35.5%	35.5%	27.3%
Put IV 25d	21.2%	18.8%	38.1%	38.1%	20.9%
Bid-Ask Spread %	94.51	89.86	101.48	92.08	101.48
Gamma HHI	0.35	0.28	0.70	0.32	0.35
Net GEX	472.1K	-177.9K	3.0M	188.0K	162.3K
Net DEX	-6.0M	-13.2M	-1.9M	-2.8M	-7.0M
Net VEX	-76.9K	-96.3K	-68.5K	-96.3K	-81.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.49	0.09	2.00	0.12	0.12
Total Volume	586.474	305	1,134	842	659
Total OI	7,518.684	5,246	9,200	7,894	5,750

Daily Data (19 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
2017-02-01	$98.53	$95.00	35.9%	10.3%	49.2%	100.0%	35.9%	2.6%	-9.7%	188.0K	-2.8M	-96.3K	0.12	92.08	754	88	3,948	3,946
2017-02-02	$98.70	$95.00	20.8%	5.8%	48.6%	34.9%	21.9%	2.9%	2.3%	78.2K	-1.9M	-86.5K	0.11	92.90	537	57	3,935	3,986
2017-02-03	$99.65	$95.00	17.8%	5.2%	23.2%	21.9%	21.2%	2.2%	3.7%	525.0K	-5.9M	-77.5K	0.12	93.14	566	66	3,955	3,985
2017-02-06	$99.13	$95.00	18.8%	5.3%	18.2%	25.9%	15.1%	2.6%	3.7%	211.9K	-4.5M	-76.0K	0.11	93.36	542	57	3,944	3,985
2017-02-07	$98.73	$95.00	17.9%	5.2%	18.0%	22.1%	19.6%	2.1%	3.6%	-55.1K	-3.6M	-74.0K	1.09	94.45	542	592	3,951	3,984
2017-02-08	$98.98	$95.00	17.7%	5.1%	16.5%	21.5%	17.1%	2.4%	4.5%	-167.3K	-2.8M	-77.6K	0.14	93.70	562	77	3,951	4,511
2017-02-09	$100.28	$95.00	18.3%	5.3%	16.5%	24.0%	16.2%	2.0%	3.6%	152.0K	-4.5M	-77.5K	0.94	89.86	558	526	3,953	4,531
2017-02-10	$101.05	$95.00	18.9%	5.4%	16.5%	26.6%	16.8%	2.3%	2.9%	1.1M	-7.9M	-77.1K	2.00	91.69	263	526	3,935	4,981
2017-02-13	$101.45	$95.00	18.5%	5.3%	14.4%	24.9%	23.1%	1.9%	4.2%	1.2M	-8.4M	-76.2K	0.25	92.48	263	65	3,941	4,981
2017-02-14	$101.36	$95.00	18.6%	5.3%	10.1%	25.2%	19.5%	1.7%	4.0%	1.0M	-7.9M	-75.0K	0.25	91.10	263	65	3,941	4,982
2017-02-15	$102.72	$95.00	17.4%	5.0%	11.0%	20.1%	14.9%	3.3%	4.0%	1.7M	-9.7M	-75.0K	0.26	92.51	253	67	3,941	4,982
2017-02-16	$103.48	$95.00	17.3%	5.0%	10.9%	19.5%	18.3%	1.9%	4.2%	3.0M	-13.2M	-72.8K	1.40	97.10	253	353	3,938	4,980
2017-02-17	$103.13	$100.00	17.3%	5.0%	11.0%	19.5%	18.7%	2.9%	4.2%	13.0K	-9.1M	-73.2K	1.11	93.74	254	282	3,933	5,267
2017-02-21	$103.33	$100.00	18.0%	5.2%	10.6%	22.8%	14.7%	3.9%	-0.8%	-23.2K	-4.3M	-72.3K	0.29	96.21	238	68	1,957	3,291
2017-02-22	$102.36	$100.00	19.6%	5.6%	11.1%	29.5%	19.9%	4.0%	-0.9%	-177.9K	-2.7M	-74.6K	0.28	99.27	239	68	1,955	3,291
2017-02-23	$102.48	$100.00	19.5%	5.6%	11.1%	29.1%	17.4%	3.1%	-0.4%	-150.8K	-3.1M	-72.0K	0.29	94.22	237	68	1,955	3,291
2017-02-24	$103.59	$100.00	17.2%	4.9%	11.7%	19.3%	30.3%	-6.2%	0.3%	-35.1K	-5.2M	-68.5K	0.09	100.29	754	68	1,956	3,291
2017-02-27	$104.37	$100.00	17.8%	5.1%	11.2%	21.9%	19.2%	2.4%	-0.0%	249.1K	-9.0M	-77.2K	0.28	96.17	245	68	2,460	3,291
2017-02-28	$103.32	$100.00	18.5%	5.3%	11.6%	24.7%	37.5%	-6.5%	-0.5%	162.3K	-7.0M	-81.8K	0.12	101.48	589	70	2,459	3,291