IT Options History — June 2012

In June 2012, IT traded between $39.78 and $44.08. ATM implied volatility averaged 22.0%, placing in the 22.2% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 1.7% (HV 20d: 20.3%). Max pain ranged from $40.00 to $45.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.78.

Notable Days

2012-06-14: Highest Volume — 30 contracts
2012-06-07: Largest IV drop — 24.3% change
2012-06-01: Highest IV Rank — 34.0%
2012-06-04: Largest Expected Move — 7.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$42.22	$39.78	$44.08	$39.78	$43.05
Max Pain	$44.76	$40.00	$45.00	$40.00	$45.00
ATM IV	22.0%	18.0%	27.0%	27.0%	18.4%
Expected Move	6.7%	5.2%	7.9%	7.7%	5.3%
HV 20d	20.3%	15.0%	23.9%	15.0%	22.3%
HV 60d	19.0%	18.0%	20.5%	18.1%	20.5%
IV Rank	22.2%	12.5%	34.0%	34.0%	13.6%
IV Percentile	27.7%	7.1%	55.2%	55.2%	8.7%
Term Structure	3.4%	0.2%	10.4%	0.2%	4.7%
VWIV	22.7%	20.1%	27.0%	27.0%	20.7%
Skew 25d	2.9%	-4.0%	11.4%	3.8%	-2.1%
Skew 10d	4.9%	-4.9%	22.0%	6.1%	-4.1%
Call IV 25d	21.0%	13.6%	26.0%	24.3%	19.2%
Put IV 25d	23.8%	16.9%	30.4%	28.1%	17.1%
Bid-Ask Spread %	97.22	91.78	104.91	91.78	104.91
Gamma HHI	0.42	0.32	0.50	0.32	0.36
Net GEX	11.3K	8.0K	15.2K	9.2K	8.0K
Net DEX	-416.7K	-808.7K	-160.7K	-212.5K	-172.2K
Net VEX	-2.7K	-2.9K	-2.5K	-2.9K	-2.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.78	0.00	1.10	0.00	1.00
Total Volume	5.238	0	30	10	10
Total OI	539.143	304	754	724	349

Daily Data (21 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
2012-06-01	$39.78	$40.00	27.0%	7.7%	15.0%	34.0%	27.0%	3.8%	0.2%	9.2K	-212.5K	-2.9K	0.00	91.78	0	10	370	354
2012-06-04	$40.36	$45.00	26.7%	7.9%	16.3%	33.3%	0.0%	11.3%	0.4%	12.9K	-301.0K	-2.9K	0.00	95.36	0	4	370	354
2012-06-05	$40.78	$45.00	26.3%	7.9%	16.8%	32.4%	0.0%	0.4%	0.5%	13.3K	-411.6K	-2.9K	0.00	95.93	0	1	370	358
2012-06-06	$41.82	$45.00	24.2%	7.7%	19.0%	27.4%	0.0%	2.4%	1.1%	15.2K	-600.9K	-2.8K	0.00	94.36	0	1	370	359
2012-06-07	$42.12	$45.00	18.3%	7.9%	19.2%	13.4%	0.0%	3.5%	0.8%	12.8K	-721.4K	-2.6K	0.00	94.89	0	0	370	360
2012-06-08	$42.17	$45.00	18.1%	7.9%	19.1%	12.8%	0.0%	3.3%	0.4%	12.3K	-731.0K	-2.6K	0.00	94.14	0	0	370	360
2012-06-11	$41.74	$45.00	21.6%	7.5%	19.4%	21.1%	0.0%	1.5%	2.2%	12.0K	-700.1K	-2.5K	0.00	96.67	0	0	370	360
2012-06-12	$41.83	$45.00	23.9%	7.9%	19.0%	26.6%	23.0%	3.2%	0.4%	11.7K	-707.6K	-2.5K	0.00	94.13	1	0	370	360
2012-06-13	$41.60	$45.00	26.3%	7.6%	19.1%	32.3%	0.0%	0.1%	1.9%	11.9K	-688.3K	-2.5K	0.00	92.49	0	0	371	360
2012-06-14	$42.27	$45.00	25.4%	7.3%	20.0%	30.2%	0.0%	2.7%	2.9%	11.8K	-763.9K	-2.5K	1.00	95.36	15	15	371	360
2012-06-15	$43.02	$45.00	23.0%	6.6%	20.4%	24.6%	0.0%	4.8%	2.9%	15.1K	-808.7K	-2.7K	0.00	92.83	0	0	379	375
2012-06-18	$44.08	$45.00	20.1%	5.8%	20.8%	17.6%	20.1%	-1.7%	3.9%	13.6K	-312.2K	-2.7K	1.10	96.50	10	11	200	104
2012-06-19	$43.30	$45.00	20.7%	5.9%	21.9%	19.1%	0.0%	2.0%	3.3%	10.7K	-270.4K	-2.8K	0.00	96.73	0	0	210	115
2012-06-20	$43.00	$45.00	21.6%	6.2%	21.8%	21.2%	0.0%	1.9%	2.2%	11.0K	-235.7K	-2.7K	0.00	97.52	0	10	210	115
2012-06-21	$42.39	$45.00	22.5%	6.4%	22.1%	23.2%	0.0%	1.0%	4.9%	9.3K	-178.2K	-2.7K	0.00	94.28	0	0	210	125
2012-06-22	$43.05	$45.00	20.8%	6.0%	21.8%	19.2%	20.7%	-4.0%	3.3%	9.5K	-215.9K	-2.7K	1.00	101.00	1	1	202	125
2012-06-25	$42.30	$45.00	20.7%	5.9%	23.0%	19.1%	0.0%	8.8%	9.7%	8.7K	-160.7K	-2.6K	0.00	103.14	0	0	203	126
2012-06-26	$42.37	$45.00	19.7%	5.6%	22.9%	16.6%	0.0%	8.3%	10.3%	9.0K	-169.8K	-2.6K	0.00	104.30	0	0	203	126
2012-06-27	$43.13	$45.00	19.2%	5.5%	23.3%	15.4%	0.0%	-2.3%	5.3%	9.6K	-215.1K	-2.7K	0.00	102.84	0	0	203	126
2012-06-28	$42.56	$45.00	18.0%	5.2%	23.9%	12.5%	0.0%	11.4%	10.4%	9.0K	-174.0K	-2.6K	0.00	102.49	0	20	203	126
2012-06-29	$43.05	$45.00	18.4%	5.3%	22.3%	13.6%	0.0%	-2.1%	4.7%	8.0K	-172.2K	-2.9K	0.00	104.91	0	10	203	146