IT Options History — September 2017

In September 2017, IT traded between $120.20 and $125.96. ATM implied volatility averaged 16.0%, placing in the 6.6% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded above realized volatility by 0.3% (HV 20d: 15.7%). Max pain ranged from $110.00 to $125.00. Net GEX was positive for 13 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.44.

Notable Days

2017-09-05: Highest Volume — 649 contracts
2017-09-05: Largest IV spike — 17.8% change
2017-09-14: Highest IV Rank — 12.7%
2017-09-05: Largest Expected Move — 5.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$123.35	$120.20	$125.96	$120.91	$124.39
Max Pain	$121.25	$110.00	$125.00	$115.00	$125.00
ATM IV	16.0%	14.4%	17.4%	14.8%	15.2%
Expected Move	4.6%	4.2%	5.0%	4.2%	4.3%
HV 20d	15.7%	12.1%	19.6%	19.6%	15.7%
HV 60d	15.3%	14.5%	16.0%	14.8%	15.8%
IV Rank	6.6%	0.0%	12.7%	0.0%	3.2%
IV Percentile	10.2%	0.0%	34.5%	0.0%	1.2%
Term Structure	4.6%	2.8%	6.7%	2.8%	6.7%
VWIV	16.6%	15.5%	19.6%	15.5%	16.9%
Skew 25d	2.9%	2.4%	3.5%	3.4%	3.2%
Skew 10d	7.1%	5.9%	8.0%	6.3%	7.4%
Call IV 25d	15.5%	13.9%	16.2%	13.9%	14.7%
Put IV 25d	18.4%	17.2%	19.6%	17.2%	17.9%
Bid-Ask Spread %	63.17	17.17	82.01	68.99	65.57
Gamma HHI	0.20	0.16	0.24	0.17	0.22
Net GEX	29.3K	-55.8K	133.6K	-53.2K	86.8K
Net DEX	-925.8K	-2.9M	19.3K	-23.5K	-923.3K
Net VEX	-23.5K	-25.0K	-21.7K	-22.2K	-23.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.44	0.85	2.12	1.45	1.91
Total Volume	362.5	206	649	597	218
Total OI	1,310.15	1,141	1,607	1,242	1,283

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
2017-09-01	$120.91	$115.00	14.8%	4.2%	19.6%	0.0%	15.5%	3.4%	2.8%	-53.2K	-23.5K	-22.2K	1.45	68.99	244	353	466	776
2017-09-05	$120.20	$115.00	17.4%	5.0%	19.6%	12.0%	17.6%	3.5%	3.0%	-43.0K	-106.9K	-21.7K	1.13	73.89	305	344	472	777
2017-09-06	$121.26	$115.00	16.8%	4.9%	16.5%	8.9%	16.5%	2.9%	3.3%	-10.8K	-662.6K	-23.0K	1.50	71.71	249	373	515	780
2017-09-07	$122.75	$115.00	15.9%	4.6%	15.2%	4.9%	16.5%	2.8%	3.8%	11.1K	-1.2M	-22.9K	1.40	39.53	227	317	558	810
2017-09-08	$124.42	$110.00	14.4%	4.6%	12.4%	0.0%	16.4%	2.6%	3.7%	37.0K	-2.1M	-22.9K	1.24	51.43	259	321	587	811
2017-09-11	$125.42	$120.00	16.7%	4.7%	12.4%	10.1%	16.4%	2.9%	3.8%	133.0K	-2.8M	-22.6K	1.01	48.86	185	187	628	823
2017-09-12	$125.96	$125.00	16.4%	4.6%	12.3%	8.6%	16.3%	2.5%	3.9%	122.4K	-2.9M	-22.9K	0.99	61.38	189	187	627	848
2017-09-13	$125.74	$125.00	15.7%	4.5%	12.1%	5.8%	16.0%	2.6%	4.0%	133.6K	-2.8M	-22.9K	0.85	58.38	186	158	625	848
2017-09-14	$122.22	$125.00	17.3%	5.0%	16.0%	12.7%	19.6%	3.0%	3.5%	53.8K	-860.5K	-22.8K	1.52	74.86	188	285	623	849
2017-09-15	$121.22	$125.00	16.9%	4.9%	15.9%	11.1%	16.2%	3.4%	3.5%	-55.8K	-446.1K	-24.0K	1.56	53.83	107	167	629	978
2017-09-18	$122.73	$120.00	15.9%	4.6%	16.3%	6.4%	16.5%	3.0%	4.8%	-21.9K	19.3K	-23.8K	2.12	76.17	66	140	438	703
2017-09-19	$123.51	$120.00	16.1%	4.6%	16.1%	7.4%	17.0%	2.8%	5.1%	-6.8K	-307.8K	-23.8K	1.91	63.10	79	151	447	708
2017-09-20	$124.39	$120.00	15.5%	4.4%	16.1%	4.8%	16.1%	3.0%	5.8%	12.1K	-653.6K	-24.6K	1.48	76.69	101	149	479	725
2017-09-21	$123.39	$125.00	15.6%	4.5%	16.3%	5.4%	16.1%	3.5%	5.6%	-438	-301.8K	-25.0K	1.32	70.58	111	147	481	725
2017-09-22	$124.16	$125.00	15.7%	4.5%	16.4%	5.7%	16.0%	2.8%	5.7%	22.4K	-530.9K	-24.7K	1.25	69.26	111	139	483	726
2017-09-25	$123.61	$125.00	16.1%	4.6%	16.6%	7.4%	17.3%	2.9%	5.6%	11.7K	-315.9K	-24.4K	1.89	63.77	80	151	483	728
2017-09-26	$124.12	$125.00	16.1%	4.6%	16.5%	7.3%	16.3%	2.8%	5.9%	23.7K	-613.4K	-23.7K	1.18	82.01	128	151	484	743
2017-09-27	$123.47	$125.00	15.8%	4.5%	16.5%	5.9%	16.0%	2.7%	6.1%	65.2K	-590.4K	-24.2K	1.18	76.30	128	151	524	743
2017-09-28	$123.23	$125.00	15.6%	4.5%	15.5%	5.0%	16.7%	2.4%	6.2%	65.6K	-501.0K	-23.9K	1.91	17.17	75	143	526	744
2017-09-29	$124.39	$125.00	15.2%	4.3%	15.7%	3.2%	16.9%	3.2%	6.7%	86.8K	-923.3K	-23.6K	1.91	65.57	75	143	525	758