IT Options History — December 2017

In December 2017, IT traded between $119.46 and $124.36. ATM implied volatility averaged 16.2%, placing in the 8.1% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 0.6% (HV 20d: 15.6%). Max pain ranged from $120.00 to $125.00. Net GEX was positive for 1 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 1.46.

Notable Days

2017-12-04: Highest Volume — 406 contracts
2017-12-04: Largest IV spike — 17.1% change
2017-12-04: Highest IV Rank — 22.6%
2017-12-04: Largest Expected Move — 4.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$122.01	$119.46	$124.36	$119.99	$123.30
Max Pain	$122.00	$120.00	$125.00	$120.00	$125.00
ATM IV	16.2%	14.4%	19.5%	16.7%	14.6%
Expected Move	4.5%	4.1%	4.9%	4.8%	4.2%
HV 20d	15.6%	14.2%	16.9%	16.3%	14.2%
HV 60d	16.5%	15.8%	17.1%	16.8%	16.4%
IV Rank	8.1%	0.0%	22.6%	9.9%	0.9%
IV Percentile	19.8%	0.0%	68.7%	23.0%	1.2%
Term Structure	4.9%	-0.5%	7.5%	-0.5%	7.5%
VWIV	16.3%	15.0%	17.9%	17.9%	15.0%
Skew 25d	3.1%	2.0%	3.6%	3.5%	2.5%
Skew 10d	7.1%	-0.1%	11.1%	7.7%	6.3%
Call IV 25d	14.9%	13.8%	16.1%	15.9%	14.6%
Put IV 25d	17.9%	16.5%	19.4%	19.3%	17.1%
Bid-Ask Spread %	64.68	21.25	91.47	86.05	53.60
Gamma HHI	0.25	0.20	0.33	0.33	0.22
Net GEX	-194.3K	-307.5K	78.3K	-83.4K	-289.5K
Net DEX	391.4K	-1.4M	1.3M	559.5K	813.3K
Net VEX	-26.0K	-27.8K	-24.7K	-25.4K	-26.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.46	0.61	2.90	1.25	2.18
Total Volume	237.5	137	406	283	194
Total OI	1,724.25	1,362	2,026	1,654	1,586

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
2017-12-01	$119.99	$120.00	16.7%	4.8%	16.3%	9.9%	17.9%	3.5%	-0.5%	-83.4K	559.5K	-25.4K	1.25	86.05	126	157	665	989
2017-12-04	$121.46	$120.00	19.5%	4.9%	15.8%	22.6%	17.5%	3.6%	4.1%	-33.9K	-341.1K	-24.9K	0.68	82.60	241	165	675	996
2017-12-05	$121.57	$120.00	18.3%	4.8%	15.8%	17.4%	17.0%	3.4%	4.3%	78.3K	-932.7K	-27.0K	1.36	53.04	132	179	821	1,052
2017-12-06	$119.46	$120.00	18.8%	4.9%	16.9%	19.4%	17.6%	2.6%	3.1%	-177.9K	1.3M	-27.2K	0.84	46.29	148	124	809	1,127
2017-12-07	$120.17	$120.00	16.8%	4.7%	16.7%	10.7%	17.2%	3.2%	4.2%	-214.8K	903.3K	-26.4K	0.66	70.62	142	94	796	1,126
2017-12-08	$120.60	$120.00	16.2%	4.7%	16.1%	7.8%	16.4%	3.2%	4.2%	-114.0K	242.6K	-25.8K	0.61	63.45	137	84	798	1,123
2017-12-11	$120.00	$120.00	17.4%	4.8%	16.2%	13.4%	16.5%	3.3%	4.0%	-195.5K	868.4K	-24.7K	0.96	50.66	136	130	795	1,124
2017-12-12	$120.69	$120.00	17.1%	4.6%	15.7%	12.1%	16.1%	3.1%	4.0%	-200.8K	380.1K	-25.8K	1.48	59.52	88	130	795	1,174
2017-12-13	$121.25	$120.00	16.1%	4.6%	15.5%	7.3%	16.6%	3.2%	4.2%	-170.3K	-207.1K	-24.8K	1.45	91.47	56	81	790	1,174
2017-12-14	$120.07	$120.00	15.8%	4.5%	15.9%	6.1%	15.9%	3.5%	4.5%	-307.5K	878.5K	-25.0K	1.38	84.82	73	101	793	1,180
2017-12-15	$122.39	$120.00	16.7%	4.8%	16.4%	9.9%	16.0%	3.5%	4.2%	-112.3K	-1.4M	-24.9K	1.52	77.52	132	201	816	1,210
2017-12-18	$124.36	$120.00	15.0%	4.3%	15.4%	2.5%	15.4%	2.7%	5.8%	-135.6K	-498.4K	-25.1K	1.30	75.29	128	166	461	901
2017-12-19	$123.52	$125.00	15.1%	4.3%	15.7%	2.9%	16.0%	3.5%	5.7%	-220.6K	449.6K	-26.8K	1.55	56.30	85	132	474	973
2017-12-20	$123.71	$125.00	14.6%	4.2%	15.6%	0.6%	15.2%	2.7%	6.3%	-279.0K	580.9K	-27.1K	1.60	85.71	75	120	484	1,039
2017-12-21	$122.99	$125.00	14.9%	4.3%	15.2%	2.0%	15.5%	2.0%	6.0%	-291.3K	1.1M	-27.4K	1.82	76.05	66	120	487	1,044
2017-12-22	$123.52	$125.00	14.4%	4.1%	15.3%	0.0%	15.2%	2.4%	6.9%	-283.0K	968.1K	-27.8K	1.85	49.30	65	120	491	1,044
2017-12-26	$123.07	$125.00	15.9%	4.6%	14.8%	6.9%	16.6%	3.0%	5.5%	-290.7K	1.1M	-26.2K	1.80	42.04	79	142	492	1,043
2017-12-27	$124.05	$125.00	15.2%	4.4%	14.5%	3.6%	15.8%	3.5%	6.7%	-278.5K	464.6K	-26.4K	2.09	67.99	68	142	509	1,059
2017-12-28	$123.93	$125.00	15.5%	4.5%	14.5%	5.2%	16.0%	2.8%	6.3%	-284.9K	551.0K	-26.2K	2.90	21.25	49	142	511	1,059
2017-12-29	$123.30	$125.00	14.6%	4.2%	14.2%	0.9%	15.0%	2.5%	7.5%	-289.5K	813.3K	-26.0K	2.18	53.60	61	133	527	1,059