IT Options History — December 2018

In December 2018, IT traded between $123.84 and $153.31. ATM implied volatility averaged 30.9%, placing in the 52.8% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded above realized volatility by 6.0% (HV 20d: 24.9%). Max pain ranged from $130.00 to $155.00. Net GEX was positive for 11 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 2.99.

Notable Days

2018-12-28: Highest Volume — 2,105 contracts
2018-12-12: Largest IV drop — 15.0% change
2018-12-24: Highest IV Rank — 76.0%
2018-12-24: Largest Expected Move — 11.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$137.23	$123.84	$153.31	$153.31	$127.52
Max Pain	$146.25	$130.00	$155.00	$145.00	$130.00
ATM IV	30.9%	24.5%	38.6%	24.5%	32.0%
Expected Move	8.7%	7.0%	11.1%	7.0%	9.2%
HV 20d	24.9%	21.1%	30.6%	21.1%	27.3%
HV 60d	26.5%	25.0%	28.6%	25.0%	28.6%
IV Rank	52.8%	33.5%	76.0%	33.5%	56.0%
IV Percentile	84.3%	61.5%	96.0%	61.5%	86.5%
Term Structure	1.0%	-3.3%	4.3%	-2.5%	4.3%
VWIV	30.5%	23.9%	43.6%	24.6%	32.3%
Skew 25d	5.8%	3.4%	10.4%	5.1%	6.2%
Skew 10d	11.7%	0.4%	29.3%	9.4%	29.3%
Call IV 25d	28.6%	21.2%	38.5%	22.7%	32.0%
Put IV 25d	34.4%	27.7%	44.3%	27.7%	38.3%
Bid-Ask Spread %	73.10	55.88	89.49	80.62	76.01
Gamma HHI	0.22	0.16	0.32	0.21	0.32
Net GEX	307	-728.0K	685.5K	624.4K	685.5K
Net DEX	3.3M	-10.6M	13.9M	-10.6M	236.1K
Net VEX	-42.8K	-56.0K	-28.7K	-45.0K	-40.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.99	0.00	31.60	31.60	2.00
Total Volume	516	3	2,105	489	3
Total OI	4,030.75	1,596	4,572	4,030	3,623

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
2018-12-03	$153.31	$145.00	24.5%	7.0%	21.1%	33.5%	24.6%	5.1%	-2.5%	624.4K	-10.6M	-45.0K	31.60	80.62	15	474	1,792	2,238
2018-12-04	$150.15	$145.00	27.8%	8.0%	22.5%	43.2%	23.9%	10.4%	-3.3%	390.6K	-5.9M	-55.8K	5.12	89.49	95	486	1,800	2,647
2018-12-05	$150.01	$145.00	28.1%	8.1%	22.5%	44.3%	28.1%	4.3%	-3.1%	421.3K	-5.8M	-54.4K	5.12	87.89	95	486	1,800	2,647
2018-12-06	$147.80	$155.00	29.4%	7.4%	21.3%	48.1%	24.3%	4.9%	2.4%	251.9K	-2.6M	-56.0K	0.02	55.88	48	1	1,823	2,657
2018-12-07	$145.43	$155.00	30.0%	7.7%	22.0%	50.2%	27.3%	6.0%	3.5%	77.4K	1.1M	-52.7K	3.22	74.89	151	486	1,870	2,658
2018-12-10	$143.56	$155.00	31.0%	8.1%	22.2%	53.1%	0.0%	3.4%	1.1%	14.2K	1.7M	-51.9K	2.00	65.27	5	10	1,914	2,658
2018-12-11	$144.19	$155.00	31.1%	7.9%	22.0%	53.3%	30.8%	4.1%	2.2%	50.7K	1.4M	-50.2K	0.11	58.16	100	11	1,915	2,648
2018-12-12	$145.40	$155.00	26.5%	7.6%	22.0%	39.3%	30.5%	4.5%	2.6%	134.9K	274.6K	-48.1K	0.17	65.26	77	13	1,860	2,648
2018-12-13	$144.06	$155.00	26.4%	7.6%	21.8%	39.1%	25.9%	4.0%	2.9%	-3.0K	1.9M	-45.1K	0.13	60.99	132	17	1,850	2,645
2018-12-14	$138.86	$155.00	27.9%	8.0%	24.6%	43.7%	25.1%	4.6%	2.1%	-560.6K	8.2M	-44.0K	1.04	69.53	159	166	1,896	2,649
2018-12-17	$132.99	$145.00	30.5%	8.7%	27.9%	51.4%	29.7%	6.0%	1.6%	-719.8K	12.8M	-37.9K	0.38	70.32	45	17	1,927	2,586
2018-12-18	$132.99	$145.00	30.3%	8.7%	27.7%	50.8%	30.9%	5.6%	1.4%	-728.0K	12.3M	-36.1K	0.88	67.71	50	44	1,967	2,497
2018-12-19	$130.49	$145.00	32.0%	9.2%	28.1%	56.2%	36.3%	5.6%	0.7%	-690.9K	13.2M	-33.4K	2.05	77.45	55	113	1,971	2,414
2018-12-20	$128.65	$145.00	31.3%	9.0%	27.5%	53.8%	34.9%	5.7%	1.5%	-671.7K	13.9M	-33.0K	2.05	75.58	61	125	1,982	2,433
2018-12-21	$127.22	$145.00	34.6%	9.9%	27.5%	63.8%	35.0%	6.7%	-1.8%	-146.2K	12.1M	-31.1K	2.98	71.84	63	188	1,987	2,183
2018-12-24	$123.84	$145.00	38.6%	11.1%	27.8%	76.0%	43.6%	5.7%	-1.5%	-141.3K	5.2M	-28.7K	1.02	83.01	112	114	645	951
2018-12-26	$127.47	$145.00	35.9%	10.3%	30.6%	67.7%	35.2%	8.9%	1.3%	-154.7K	5.0M	-29.1K	0.00	77.80	2,097	1	646	951
2018-12-27	$124.99	$130.00	35.9%	10.3%	25.8%	67.7%	30.9%	7.7%	1.3%	561.2K	1.4M	-40.9K	0.00	76.62	2,098	2	2,667	951
2018-12-28	$125.60	$130.00	34.7%	9.9%	25.9%	64.1%	30.9%	6.0%	2.6%	610.2K	409.2K	-42.5K	0.00	77.76	2,098	7	2,667	952
2018-12-31	$127.52	$130.00	32.0%	9.2%	27.3%	56.0%	32.3%	6.2%	4.3%	685.5K	236.1K	-40.9K	2.00	76.01	1	2	2,672	951