IT Options History — July 2017

In July 2017, IT traded between $124.10 and $129.28. ATM implied volatility averaged 23.4%, placing in the 40.6% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded above realized volatility by 12.4% (HV 20d: 11.1%). Max pain ranged from $120.00 to $125.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 1.59.

Notable Days

2017-07-31: Highest Volume — 405 contracts
2017-07-12: Largest IV spike — 37.0% change
2017-07-31: Highest IV Rank — 67.8%
2017-07-31: Largest Expected Move — 8.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$127.03	$124.10	$129.28	$124.10	$128.86
Max Pain	$124.00	$120.00	$125.00	$120.00	$125.00
ATM IV	23.4%	16.2%	29.3%	16.7%	29.3%
Expected Move	7.1%	4.6%	8.4%	4.8%	8.4%
HV 20d	11.1%	10.0%	12.7%	12.3%	10.1%
HV 60d	12.0%	11.8%	12.4%	11.8%	12.2%
IV Rank	40.6%	7.5%	67.8%	13.0%	67.8%
IV Percentile	68.2%	9.5%	91.3%	20.6%	91.3%
Term Structure	-2.8%	-6.6%	7.3%	6.7%	-6.6%
VWIV	26.3%	18.5%	30.2%	21.0%	30.2%
Skew 25d	3.4%	-7.1%	4.8%	2.4%	4.8%
Skew 10d	7.8%	-12.1%	12.3%	3.6%	8.5%
Call IV 25d	24.2%	18.7%	28.5%	18.7%	28.5%
Put IV 25d	27.6%	19.8%	33.2%	21.0%	33.2%
Bid-Ask Spread %	67.83	53.69	98.27	93.76	62.91
Gamma HHI	0.23	0.18	0.35	0.32	0.19
Net GEX	88.8K	-10.7K	204.1K	78.9K	19.9K
Net DEX	-2.2M	-3.0M	-1.1M	-2.0M	-1.5M
Net VEX	-13.2K	-17.0K	-11.4K	-12.3K	-17.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.59	0.90	2.44	0.90	1.91
Total Volume	294.65	172	405	224	405
Total OI	1,047	832	1,185	832	1,164

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
2017-07-03	$124.10	$120.00	16.7%	4.8%	12.3%	13.0%	21.0%	2.4%	6.7%	78.9K	-2.0M	-12.3K	0.90	93.76	118	106	390	442
2017-07-05	$125.11	$120.00	16.2%	4.6%	12.3%	7.5%	18.5%	-7.1%	7.3%	95.8K	-2.3M	-11.6K	0.91	98.27	129	118	389	448
2017-07-06	$124.25	$120.00	17.6%	6.8%	12.6%	14.2%	27.7%	4.5%	-2.0%	76.8K	-1.9M	-12.7K	1.52	64.76	108	164	401	459
2017-07-07	$125.24	$120.00	17.1%	6.9%	12.7%	11.8%	26.4%	4.4%	-2.5%	76.2K	-2.2M	-12.3K	2.25	56.10	92	207	404	505
2017-07-10	$126.47	$125.00	18.8%	6.8%	11.0%	19.6%	24.7%	3.9%	-2.4%	85.2K	-2.3M	-12.6K	2.31	63.17	98	226	428	575
2017-07-11	$126.08	$125.00	18.1%	7.0%	11.1%	14.0%	25.2%	3.7%	-3.0%	69.7K	-2.1M	-14.4K	2.04	63.24	109	222	460	633
2017-07-12	$127.15	$125.00	24.7%	7.1%	10.7%	46.1%	25.1%	3.9%	-2.9%	126.2K	-2.6M	-13.5K	1.77	62.40	128	226	479	632
2017-07-13	$126.11	$125.00	24.1%	6.9%	11.2%	43.2%	25.1%	4.1%	-2.4%	122.8K	-2.2M	-14.4K	1.40	62.30	136	191	510	624
2017-07-14	$126.84	$125.00	24.5%	7.0%	11.0%	44.9%	25.6%	3.9%	-2.7%	148.2K	-2.6M	-13.9K	1.43	69.73	134	191	517	644
2017-07-17	$126.87	$125.00	25.1%	7.2%	10.8%	47.8%	25.1%	4.3%	-3.5%	156.6K	-2.6M	-13.4K	1.36	64.78	137	187	517	644
2017-07-18	$127.12	$125.00	25.8%	7.4%	10.2%	51.3%	25.8%	3.4%	-3.6%	138.2K	-2.4M	-13.8K	1.36	65.68	137	187	503	669
2017-07-19	$128.52	$125.00	24.6%	7.1%	10.6%	45.5%	26.3%	3.5%	-3.7%	204.1K	-3.0M	-12.5K	1.50	53.69	125	187	503	670
2017-07-20	$127.71	$125.00	25.3%	7.3%	11.0%	48.9%	26.8%	3.5%	-4.0%	151.3K	-2.7M	-12.4K	1.42	54.42	111	158	504	670
2017-07-21	$128.22	$125.00	25.6%	7.3%	10.9%	50.2%	27.4%	4.5%	-4.5%	53.7K	-2.8M	-12.5K	1.19	65.74	119	142	508	677
2017-07-24	$128.45	$125.00	26.8%	7.7%	10.8%	55.8%	28.8%	3.9%	-5.1%	54.4K	-2.1M	-12.7K	1.80	63.32	70	126	415	544
2017-07-25	$128.46	$125.00	26.9%	7.7%	10.7%	56.3%	28.9%	4.3%	-4.8%	50.1K	-2.2M	-12.0K	1.36	67.69	73	99	413	559
2017-07-26	$129.28	$125.00	26.9%	7.7%	10.5%	56.3%	29.1%	3.0%	-4.8%	55.6K	-2.4M	-11.4K	1.09	77.04	92	100	413	563
2017-07-27	$127.86	$125.00	27.3%	7.8%	10.7%	58.4%	29.5%	4.3%	-5.2%	22.1K	-1.6M	-11.9K	2.44	75.94	101	246	380	568
2017-07-28	$127.99	$125.00	27.7%	7.9%	10.0%	60.3%	28.9%	4.5%	-5.7%	-10.7K	-1.1M	-16.5K	1.85	71.59	136	252	392	724
2017-07-31	$128.86	$125.00	29.3%	8.4%	10.1%	67.8%	30.2%	4.8%	-6.6%	19.9K	-1.5M	-17.0K	1.91	62.91	139	266	430	734