IT Options History — April 2017

In April 2017, IT traded between $108.45 and $114.15. ATM implied volatility averaged 23.7%, placing in the 44.6% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded above realized volatility by 10.8% (HV 20d: 12.8%). Max pain ranged from $105.00 to $105.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 3 of 19 days. Put/call ratio averaged 1.60.

Notable Days

2017-04-28: Highest Volume — 782 contracts
2017-04-12: Largest IV spike — 53.0% change
2017-04-28: Highest IV Rank — 69.0%
2017-04-28: Largest Expected Move — 8.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$111.07	$108.45	$114.15	$108.70	$113.99
Max Pain	$105.00	$105.00	$105.00	$105.00	$105.00
ATM IV	23.7%	16.4%	29.1%	17.6%	29.1%
Expected Move	7.3%	5.0%	8.3%	5.1%	8.3%
HV 20d	12.8%	8.3%	18.9%	18.7%	8.4%
HV 60d	14.6%	13.4%	18.3%	18.3%	13.4%
IV Rank	44.6%	12.0%	69.0%	17.4%	69.0%
IV Percentile	64.4%	11.5%	90.5%	33.7%	90.5%
Term Structure	-1.2%	-5.5%	7.8%	7.8%	-5.5%
VWIV	28.9%	19.4%	38.0%	19.7%	36.8%
Skew 25d	4.2%	2.9%	6.6%	3.6%	6.6%
Skew 10d	9.6%	-6.7%	21.9%	13.0%	19.4%
Call IV 25d	24.8%	13.7%	29.0%	16.2%	29.0%
Put IV 25d	29.0%	19.1%	35.6%	19.8%	35.6%
Bid-Ask Spread %	90.56	84.20	103.03	93.48	88.05
Gamma HHI	0.55	0.48	0.65	0.54	0.63
Net GEX	1.0M	847.2K	1.2M	1.0M	986.8K
Net DEX	-28.4M	-35.2M	-23.3M	-23.3M	-34.1M
Net VEX	-80.3K	-95.7K	-55.8K	-95.7K	-57.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.60	1.19	3.71	1.32	3.71
Total Volume	622	394	782	565	782
Total OI	7,060.632	6,744	7,388	6,744	7,388

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
2017-04-03	$108.70	$105.00	17.6%	5.1%	18.7%	17.4%	19.7%	3.6%	7.8%	1.0M	-23.3M	-95.7K	1.32	93.48	244	321	4,006	2,738
2017-04-04	$108.45	$105.00	17.5%	5.0%	18.8%	16.8%	20.1%	5.7%	7.4%	1.1M	-23.7M	-92.8K	1.41	84.20	282	399	4,006	2,738
2017-04-05	$109.43	$105.00	17.3%	5.0%	18.8%	15.9%	19.4%	5.3%	7.5%	1.1M	-26.4M	-88.4K	1.28	103.03	275	352	4,045	2,835
2017-04-06	$110.28	$105.00	16.6%	7.2%	18.9%	13.0%	26.1%	3.0%	-1.8%	1.1M	-27.8M	-86.2K	1.25	90.84	278	348	4,057	2,958
2017-04-07	$109.91	$105.00	16.4%	7.2%	18.9%	12.0%	26.1%	4.5%	-1.6%	1.1M	-27.1M	-85.9K	1.33	89.46	269	358	4,084	2,960
2017-04-10	$109.70	$105.00	18.1%	7.7%	14.7%	19.8%	29.1%	3.5%	-2.4%	1.0M	-26.3M	-89.0K	1.36	88.06	267	363	4,081	2,970
2017-04-11	$109.46	$105.00	17.3%	7.6%	14.7%	16.0%	27.5%	3.7%	-2.0%	1.0M	-24.8M	-93.2K	1.36	91.13	267	363	4,081	2,980
2017-04-12	$109.13	$105.00	26.5%	7.6%	11.5%	57.3%	28.7%	3.2%	-2.2%	1.1M	-25.3M	-86.7K	1.48	89.22	251	371	4,081	2,980
2017-04-13	$109.11	$105.00	26.3%	7.5%	11.4%	56.5%	28.1%	2.9%	-2.5%	981.7K	-23.7M	-93.7K	1.29	91.09	288	371	4,099	2,990
2017-04-17	$109.77	$105.00	27.5%	7.9%	11.7%	61.9%	30.0%	4.2%	-2.7%	1.2M	-26.5M	-80.1K	1.29	89.07	288	371	4,138	2,990
2017-04-18	$110.38	$105.00	27.5%	7.9%	11.9%	61.9%	29.4%	2.9%	-1.9%	1.2M	-27.8M	-78.6K	1.23	88.24	325	399	4,159	2,997
2017-04-19	$111.88	$105.00	27.6%	7.9%	10.3%	62.2%	30.7%	4.9%	-2.3%	1.2M	-31.5M	-73.6K	1.19	94.31	316	376	4,182	3,022
2017-04-20	$113.01	$105.00	26.8%	7.7%	10.3%	58.7%	33.5%	3.6%	-3.1%	918.9K	-31.1M	-76.8K	1.35	91.52	277	375	4,183	3,069
2017-04-21	$112.62	$105.00	27.0%	7.8%	9.1%	59.9%	34.6%	4.4%	-3.1%	954.9K	-31.6M	-73.8K	1.52	92.29	247	375	4,184	3,071
2017-04-24	$113.24	$105.00	27.3%	7.8%	9.2%	61.0%	31.8%	4.1%	-3.6%	863.9K	-31.0M	-71.7K	1.57	88.18	168	264	4,041	2,939
2017-04-25	$113.37	$105.00	27.5%	7.9%	9.2%	62.1%	31.8%	5.8%	-3.9%	868.3K	-31.0M	-71.9K	1.43	88.52	173	248	4,048	2,970
2017-04-26	$113.77	$105.00	27.8%	8.0%	9.2%	63.3%	27.0%	4.6%	-3.7%	847.2K	-31.3M	-73.8K	1.39	85.89	165	229	4,058	2,980
2017-04-27	$114.15	$105.00	27.8%	8.0%	8.3%	63.1%	38.0%	3.8%	-3.1%	1.0M	-35.2M	-55.8K	3.68	93.98	165	608	4,058	2,986
2017-04-28	$113.99	$105.00	29.1%	8.3%	8.4%	69.0%	36.8%	6.6%	-5.5%	986.8K	-34.1M	-57.4K	3.71	88.05	166	616	4,058	3,330