IT Options History — September 2018

In September 2018, IT traded between $152.26 and $160.02. ATM implied volatility averaged 20.6%, placing in the 22.8% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 4.9% (HV 20d: 15.7%). Max pain ranged from $140.00 to $155.00. Net GEX was positive for 6 of 19 trading days. Term structure was in contango for 18 of 19 days. Put/call ratio averaged 1.52.

Notable Days

2018-09-28: Highest Volume — 3,298 contracts
2018-09-18: Largest IV drop — 5.7% change
2018-09-17: Highest IV Rank — 26.9%
2018-09-17: Largest Expected Move — 6.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$155.79	$152.26	$160.02	$152.63	$158.42
Max Pain	$153.16	$140.00	$155.00	$140.00	$155.00
ATM IV	20.6%	19.6%	21.9%	19.8%	19.6%
Expected Move	5.8%	5.5%	6.3%	5.7%	5.6%
HV 20d	15.7%	13.4%	18.1%	14.7%	17.6%
HV 60d	18.7%	18.4%	19.2%	18.4%	18.6%
IV Rank	22.8%	19.5%	26.9%	20.2%	19.8%
IV Percentile	48.9%	37.7%	58.3%	45.2%	37.7%
Term Structure	3.3%	-0.3%	5.8%	-0.3%	5.7%
VWIV	23.4%	18.7%	28.8%	18.7%	28.8%
Skew 25d	1.7%	-2.0%	4.0%	-2.0%	3.1%
Skew 10d	4.6%	-4.5%	15.0%	4.8%	7.4%
Call IV 25d	21.2%	19.5%	24.1%	23.8%	20.3%
Put IV 25d	22.9%	21.8%	24.4%	21.8%	23.3%
Bid-Ask Spread %	69.76	57.82	86.92	79.63	80.74
Gamma HHI	0.24	0.21	0.33	0.22	0.28
Net GEX	-155.4K	-879.7K	544.9K	-653.2K	-209.1K
Net DEX	-23.1M	-39.5M	-7.8M	-20.8M	-11.6M
Net VEX	-101.0K	-129.5K	-79.4K	-125.0K	-84.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.52	0.65	6.02	0.93	6.02
Total Volume	1,833.316	1,126	3,298	1,989	3,298
Total OI	9,422.421	5,954	11,543	10,188	6,160

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
2018-09-04	$152.63	$140.00	19.8%	5.7%	14.7%	20.2%	18.7%	-2.0%	-0.3%	-653.2K	-20.8M	-125.0K	0.93	79.63	1,032	957	3,180	7,008
2018-09-05	$153.17	$140.00	19.6%	5.6%	13.8%	19.5%	22.4%	2.7%	0.2%	-593.2K	-22.4M	-120.1K	0.93	74.04	1,031	955	3,180	7,015
2018-09-06	$153.91	$150.00	20.5%	5.5%	13.4%	22.6%	24.1%	4.0%	3.3%	-562.1K	-23.1M	-116.9K	0.92	81.79	1,045	962	3,170	7,072
2018-09-07	$152.26	$155.00	21.1%	5.8%	14.5%	24.4%	22.4%	2.8%	2.5%	-879.7K	-17.8M	-129.5K	0.95	77.14	1,042	987	3,181	7,120
2018-09-10	$152.69	$155.00	20.9%	5.6%	14.5%	23.7%	22.4%	2.3%	3.5%	-588.0K	-21.1M	-118.3K	0.99	57.82	1,028	1,015	3,190	7,169
2018-09-11	$155.30	$155.00	21.0%	5.7%	14.5%	24.1%	22.8%	1.4%	3.4%	-203.6K	-28.1M	-101.8K	0.99	71.39	1,040	1,025	3,194	7,219
2018-09-12	$155.82	$155.00	20.5%	5.9%	14.3%	22.4%	24.5%	0.4%	4.1%	-296.6K	-28.5M	-104.9K	0.65	64.79	1,539	993	3,224	7,253
2018-09-13	$157.68	$155.00	20.0%	5.7%	13.7%	20.8%	21.3%	2.2%	3.6%	423.3K	-35.0M	-94.1K	0.90	82.79	986	887	3,521	7,292
2018-09-14	$156.30	$155.00	20.9%	6.0%	14.5%	23.9%	22.5%	2.9%	2.2%	257.4K	-29.9M	-104.7K	0.98	61.03	919	905	3,502	7,295
2018-09-17	$153.67	$155.00	21.9%	6.3%	16.2%	26.9%	23.9%	2.5%	2.9%	-45.7K	-24.9M	-105.2K	1.15	60.68	826	946	3,492	7,327
2018-09-18	$153.16	$155.00	20.6%	5.9%	16.0%	23.0%	25.1%	2.2%	2.9%	221.9K	-23.6M	-101.6K	1.22	74.61	784	955	3,479	7,342
2018-09-19	$153.99	$155.00	20.8%	6.0%	15.7%	23.3%	21.5%	2.0%	3.3%	405.5K	-26.6M	-97.4K	1.19	61.85	786	938	3,481	7,352
2018-09-20	$156.99	$155.00	20.3%	5.8%	16.7%	22.0%	23.4%	1.9%	3.4%	544.9K	-35.3M	-84.1K	1.19	57.88	816	972	3,512	7,368
2018-09-21	$158.37	$155.00	20.4%	5.8%	16.7%	22.2%	22.8%	1.0%	3.1%	-300.3K	-39.5M	-93.8K	2.05	76.72	439	902	3,958	7,585
2018-09-24	$156.93	$155.00	21.1%	6.0%	17.3%	24.2%	23.8%	2.2%	5.8%	-472.1K	-7.8M	-95.8K	1.95	58.15	382	744	1,968	3,986
2018-09-25	$160.02	$155.00	21.0%	6.0%	17.8%	24.1%	23.2%	1.0%	4.1%	-20.1K	-14.2M	-79.4K	1.87	58.71	417	778	2,034	3,986
2018-09-26	$159.56	$155.00	20.8%	6.0%	18.0%	23.6%	27.4%	-1.8%	3.8%	85.6K	-14.9M	-79.4K	2.02	86.92	411	831	2,058	4,022
2018-09-27	$159.15	$155.00	20.4%	5.9%	18.1%	22.3%	22.7%	1.9%	5.5%	-67.7K	-13.6M	-82.0K	1.93	58.82	430	830	2,072	4,059
2018-09-28	$158.42	$155.00	19.6%	5.6%	17.6%	19.8%	28.8%	3.1%	5.7%	-209.1K	-11.6M	-84.7K	6.02	80.74	470	2,828	2,092	4,068