IT Options History — February 2018

In February 2018, IT traded between $113.64 and $138.60. ATM implied volatility averaged 27.4%, placing in the 46.0% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded below realized volatility by 4.7% (HV 20d: 32.1%). Max pain ranged from $125.00 to $130.00. Net GEX was positive for 6 of 19 trading days. Term structure was in contango for 10 of 19 days. Put/call ratio averaged 1.01.

Notable Days

2018-02-21: Highest Volume — 4,753 contracts
2018-02-07: Largest IV drop — 43.0% change
2018-02-01: Highest IV Rank — 100.0%
2018-02-05: Largest Expected Move — 7.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$120.25	$113.64	$138.60	$138.60	$113.64
Max Pain	$129.74	$125.00	$130.00	$130.00	$130.00
ATM IV	27.4%	21.6%	44.8%	37.4%	24.1%
Expected Move	6.9%	6.2%	7.9%	6.7%	6.9%
HV 20d	32.1%	16.4%	36.6%	16.4%	34.6%
HV 60d	23.3%	15.4%	25.6%	15.4%	25.6%
IV Rank	46.0%	25.8%	100.0%	100.0%	34.1%
IV Percentile	79.1%	68.7%	100.0%	100.0%	73.4%
Term Structure	0.4%	-1.5%	3.1%	-0.8%	-1.5%
VWIV	24.2%	20.3%	30.1%	24.3%	23.8%
Skew 25d	2.9%	-6.9%	7.8%	3.2%	1.6%
Skew 10d	8.9%	-9.9%	19.3%	7.7%	5.6%
Call IV 25d	24.2%	20.8%	37.5%	22.6%	24.0%
Put IV 25d	27.1%	24.8%	33.1%	25.8%	25.6%
Bid-Ask Spread %	49.69	14.18	97.05	75.29	23.70
Gamma HHI	0.30	0.15	0.51	0.16	0.21
Net GEX	-449.8K	-1.9M	380.6K	167.6K	-307.8K
Net DEX	33.3M	-5.6M	49.4M	-5.6M	46.3M
Net VEX	-85.4K	-139.7K	-25.2K	-25.2K	-76.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.01	0.17	5.19	1.12	0.28
Total Volume	2,911.211	710	4,753	710	3,052
Total OI	8,362.947	2,316	11,941	2,316	10,292

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
2018-02-01	$138.60	$130.00	37.4%	6.7%	16.4%	100.0%	24.3%	3.2%	-0.8%	167.6K	-5.6M	-25.2K	1.12	75.29	335	375	953	1,363
2018-02-02	$135.50	$130.00	44.0%	6.9%	18.5%	100.0%	27.6%	0.1%	1.1%	97.8K	-4.1M	-27.5K	5.19	83.86	286	1,484	948	1,403
2018-02-05	$132.07	$130.00	44.8%	7.9%	20.5%	100.0%	30.1%	-6.9%	0.0%	-493.9K	3.3M	-45.6K	3.59	88.93	297	1,066	966	2,531
2018-02-06	$123.84	$130.00	40.2%	7.4%	30.8%	85.2%	22.0%	4.6%	0.9%	-1.1M	17.2M	-50.3K	1.80	78.28	1,581	2,840	1,016	3,278
2018-02-07	$119.89	$130.00	22.9%	6.6%	32.5%	30.1%	23.3%	4.9%	-0.4%	-1.9M	43.4M	-99.6K	0.17	85.12	1,633	271	2,309	5,861
2018-02-08	$114.70	$130.00	25.3%	7.3%	35.5%	37.9%	25.4%	4.8%	-0.4%	-1.1M	49.4M	-84.4K	0.17	24.40	1,681	280	2,355	5,844
2018-02-09	$115.82	$130.00	26.6%	7.6%	35.5%	42.1%	26.4%	7.8%	0.2%	-954.6K	48.9M	-82.5K	0.31	65.77	2,742	850	2,480	5,855
2018-02-12	$118.00	$130.00	23.1%	6.6%	36.4%	30.8%	23.6%	5.9%	1.6%	-454.1K	37.7M	-139.7K	0.33	33.48	2,721	892	4,327	5,709
2018-02-13	$118.84	$130.00	22.1%	6.3%	36.6%	27.5%	24.5%	5.5%	2.3%	-1.1M	41.1M	-96.0K	0.53	23.05	998	527	2,731	5,763
2018-02-14	$120.56	$130.00	23.5%	6.7%	36.5%	32.1%	20.3%	-1.4%	1.7%	-1.7M	33.3M	-117.1K	0.24	97.05	2,607	638	2,816	5,890
2018-02-15	$118.02	$130.00	23.7%	6.8%	36.3%	32.7%	24.1%	5.0%	2.1%	245.2K	36.1M	-120.7K	1.64	27.08	604	989	5,004	5,994
2018-02-16	$118.27	$130.00	21.6%	6.2%	34.5%	25.8%	21.9%	3.4%	3.1%	-71.7K	33.7M	-122.8K	2.02	76.47	681	1,379	5,001	5,831
2018-02-20	$116.02	$130.00	25.2%	7.2%	34.3%	37.5%	24.3%	3.1%	-1.3%	14.9K	36.7M	-110.5K	0.24	14.37	3,565	848	4,426	5,695
2018-02-21	$114.34	$125.00	24.4%	7.0%	33.9%	34.9%	25.6%	2.2%	-0.2%	380.6K	41.7M	-98.3K	0.23	17.83	3,869	884	6,073	5,868
2018-02-22	$115.64	$130.00	23.3%	6.7%	34.2%	31.3%	23.6%	2.9%	0.1%	-203.9K	44.9M	-76.1K	0.31	19.33	3,185	990	3,763	5,941
2018-02-23	$116.93	$130.00	23.1%	6.6%	34.9%	30.6%	22.1%	2.9%	-0.4%	-30.6K	42.7M	-86.2K	0.29	81.25	3,188	924	4,041	6,104
2018-02-26	$117.90	$130.00	22.5%	6.4%	34.4%	28.8%	22.6%	2.7%	-0.3%	129.2K	41.6M	-86.5K	0.30	14.18	2,940	871	4,072	6,136
2018-02-27	$116.17	$130.00	23.6%	6.8%	34.4%	32.4%	23.4%	2.8%	-0.6%	-127.6K	44.6M	-76.9K	0.37	14.66	2,359	881	4,093	6,164
2018-02-28	$113.64	$130.00	24.1%	6.9%	34.6%	34.1%	23.8%	1.6%	-1.5%	-307.8K	46.3M	-76.7K	0.28	23.70	2,391	661	4,113	6,179