IT Options History — November 2019

In November 2019, IT traded between $155.69 and $162.20. ATM implied volatility averaged 17.2%, placing in the 7.9% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded below realized volatility by 4.0% (HV 20d: 21.3%). Max pain ranged from $145.00 to $155.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 2.48.

Notable Days

2019-11-01: Highest Volume — 238 contracts
2019-11-11: Largest IV spike — 9.4% change
2019-11-11: Highest IV Rank — 10.1%
2019-11-07: Largest Expected Move — 5.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$159.32	$155.69	$162.20	$155.69	$160.56
Max Pain	$151.50	$145.00	$155.00	$145.00	$155.00
ATM IV	17.2%	16.1%	17.9%	17.6%	16.9%
Expected Move	5.0%	4.6%	5.2%	5.0%	4.8%
HV 20d	21.3%	14.1%	23.2%	23.0%	14.1%
HV 60d	19.4%	18.6%	20.5%	20.5%	18.9%
IV Rank	7.9%	4.3%	10.1%	9.0%	6.7%
IV Percentile	5.2%	1.6%	10.3%	4.8%	5.2%
Term Structure	2.6%	-0.2%	5.5%	0.7%	0.8%
VWIV	18.0%	16.7%	19.8%	17.6%	16.9%
Skew 25d	2.5%	2.3%	2.9%	2.6%	2.5%
Skew 10d	5.9%	4.9%	7.6%	4.9%	5.6%
Call IV 25d	16.3%	15.2%	17.3%	16.5%	15.7%
Put IV 25d	18.9%	17.6%	20.0%	19.2%	18.2%
Bid-Ask Spread %	76.61	68.47	83.86	80.37	82.53
Gamma HHI	0.15	0.11	0.37	0.15	0.16
Net GEX	208.1K	21.0K	636.5K	100.7K	203.4K
Net DEX	-8.2M	-11.4M	-4.5M	-7.8M	-6.8M
Net VEX	-35.6K	-39.0K	-32.3K	-38.0K	-33.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.48	0.00	31.50	3.41	0.14
Total Volume	73.15	0	238	238	16
Total OI	3,241.05	2,577	3,830	3,553	2,811

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
2019-11-01	$155.69	$145.00	17.6%	5.0%	23.0%	9.0%	17.6%	2.6%	0.7%	100.7K	-7.8M	-38.0K	3.41	80.37	54	184	1,505	2,048
2019-11-04	$158.16	$145.00	17.5%	5.1%	23.2%	8.9%	19.3%	2.8%	4.3%	232.6K	-9.4M	-38.8K	2.52	68.47	33	83	1,518	2,041
2019-11-05	$157.84	$150.00	17.9%	5.1%	22.2%	10.1%	18.8%	2.8%	4.5%	202.9K	-9.1M	-39.0K	0.20	70.29	46	9	1,515	2,119
2019-11-06	$158.39	$150.00	17.2%	5.1%	22.2%	7.9%	18.2%	2.6%	4.4%	236.6K	-9.5M	-38.0K	0.46	68.99	37	17	1,522	2,119
2019-11-07	$160.01	$150.00	17.2%	5.2%	22.3%	7.8%	18.5%	2.9%	4.7%	298.2K	-10.6M	-39.0K	0.73	71.99	59	43	1,540	2,134
2019-11-08	$160.03	$150.00	16.4%	5.0%	21.9%	5.0%	19.8%	2.7%	5.1%	241.2K	-10.5M	-37.6K	1.60	70.36	25	40	1,531	2,169
2019-11-11	$160.04	$150.00	17.9%	5.0%	21.0%	10.1%	18.0%	2.4%	5.0%	243.6K	-10.6M	-36.2K	1.07	74.22	44	47	1,554	2,206
2019-11-12	$160.59	$150.00	17.8%	5.0%	20.9%	9.6%	19.4%	2.4%	5.2%	260.6K	-11.1M	-35.9K	0.12	73.49	42	5	1,559	2,229
2019-11-13	$160.54	$150.00	17.5%	5.0%	20.8%	8.9%	19.0%	2.5%	5.0%	314.0K	-11.4M	-33.6K	2.33	75.82	9	21	1,554	2,232
2019-11-14	$158.51	$150.00	17.1%	4.9%	21.6%	7.6%	16.8%	2.8%	5.0%	184.6K	-9.1M	-35.8K	0.60	74.20	43	26	1,550	2,228
2019-11-15	$159.65	$150.00	16.1%	4.6%	21.5%	4.3%	16.7%	2.7%	5.5%	636.5K	-9.8M	-35.2K	0.80	79.23	51	41	1,587	2,243
2019-11-18	$159.82	$150.00	17.0%	4.9%	21.5%	7.2%	17.0%	2.3%	-0.0%	209.1K	-6.6M	-32.6K	0.93	80.48	46	43	1,223	1,354
2019-11-19	$160.58	$155.00	17.2%	4.9%	20.3%	7.8%	16.7%	2.3%	-0.1%	139.9K	-6.6M	-32.7K	0.50	82.62	18	9	1,202	1,393
2019-11-20	$158.50	$155.00	17.7%	5.1%	21.1%	9.5%	19.0%	2.7%	-0.2%	48.0K	-5.1M	-35.2K	31.50	75.65	2	63	1,206	1,405
2019-11-21	$158.11	$155.00	17.7%	5.1%	21.0%	9.5%	0.0%	2.4%	-0.0%	25.0K	-4.8M	-35.5K	0.00	75.83	0	0	1,204	1,455
2019-11-22	$157.02	$155.00	17.8%	5.1%	21.2%	9.8%	16.7%	2.3%	-0.0%	21.0K	-4.5M	-34.3K	0.06	80.59	17	1	1,204	1,455
2019-11-25	$159.56	$155.00	16.4%	4.7%	21.6%	5.0%	18.7%	2.4%	0.5%	111.3K	-5.8M	-32.3K	0.02	81.66	57	1	1,207	1,456
2019-11-26	$162.20	$155.00	16.8%	4.8%	21.6%	6.4%	16.9%	2.4%	1.1%	235.5K	-7.5M	-32.7K	0.13	81.62	201	27	1,276	1,455
2019-11-27	$160.54	$155.00	16.8%	4.8%	22.2%	6.4%	16.9%	2.4%	0.7%	216.9K	-6.9M	-34.8K	0.00	83.86	3	0	1,333	1,479
2019-11-29	$160.56	$155.00	16.9%	4.8%	14.1%	6.7%	16.9%	2.5%	0.8%	203.4K	-6.8M	-33.9K	0.14	82.53	14	2	1,332	1,479