IT Options History — September 2012

In September 2012, IT traded between $46.09 and $51.01. ATM implied volatility averaged 22.0%, placing in the 32.8% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 1.1% (HV 20d: 20.9%). Max pain ranged from $45.00 to $50.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 1.75.

Notable Days

2012-09-10: Highest Volume — 276 contracts
2012-09-24: Largest IV spike — 28.8% change
2012-09-24: Highest IV Rank — 44.7%
2012-09-24: Largest Expected Move — 7.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$48.72	$46.09	$51.01	$50.67	$46.09
Max Pain	$49.17	$45.00	$50.00	$45.00	$50.00
ATM IV	22.0%	19.8%	25.4%	20.8%	23.9%
Expected Move	6.4%	5.7%	7.3%	6.0%	6.9%
HV 20d	20.9%	17.2%	23.4%	17.3%	22.0%
HV 60d	24.1%	22.0%	25.4%	23.9%	22.0%
IV Rank	32.8%	24.7%	44.7%	28.4%	39.3%
IV Percentile	37.7%	19.0%	60.7%	28.2%	52.8%
Term Structure	1.9%	0.2%	4.3%	1.0%	2.4%
VWIV	22.9%	18.9%	30.3%	20.8%	24.4%
Skew 25d	5.9%	-3.9%	36.7%	36.7%	5.8%
Skew 10d	11.6%	-6.5%	76.4%	75.1%	8.1%
Call IV 25d	19.9%	12.8%	27.1%	18.8%	18.2%
Put IV 25d	25.9%	17.8%	55.5%	55.5%	24.1%
Bid-Ask Spread %	96.83	89.21	101.67	100.96	100.00
Gamma HHI	0.74	0.56	0.90	0.88	0.83
Net GEX	-114.6K	-132.9K	-82.8K	-126.7K	-124.0K
Net DEX	1.9M	770.7K	3.4M	1.0M	3.4M
Net VEX	-15.1K	-16.8K	-12.0K	-15.7K	-12.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.75	0.00	11.00	0.00	8.50
Total Volume	37.579	1	276	4	19
Total OI	2,214.316	1,926	2,472	1,926	2,130

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
2012-09-04	$50.67	$45.00	20.8%	6.0%	17.3%	28.4%	20.8%	36.7%	1.0%	-126.7K	1.0M	-15.7K	0.00	100.96	4	0	405	1,521
2012-09-05	$51.01	$45.00	21.7%	6.2%	17.3%	31.5%	21.7%	29.3%	1.0%	-126.3K	844.7K	-15.6K	0.05	101.59	20	1	405	1,521
2012-09-06	$50.99	$45.00	21.1%	6.0%	17.2%	29.4%	21.1%	3.5%	1.4%	-126.7K	770.7K	-15.7K	0.00	101.67	3	0	415	1,522
2012-09-07	$48.92	$0.00	20.4%	6.3%	23.4%	27.1%	22.1%	4.3%	1.5%	-130.4K	1.7M	-15.8K	0.43	98.61	7	3	416	1,522
2012-09-10	$49.35	$50.00	20.1%	6.4%	23.3%	25.8%	30.3%	-3.3%	2.1%	-129.0K	1.5M	-15.8K	0.02	89.21	271	5	421	1,525
2012-09-11	$49.18	$50.00	21.3%	6.6%	22.2%	30.3%	18.9%	-1.6%	1.0%	-101.1K	1.4M	-16.2K	0.54	100.79	46	25	692	1,527
2012-09-12	$49.67	$50.00	20.9%	6.7%	20.3%	28.9%	25.7%	-0.3%	0.9%	-93.8K	1.3M	-16.6K	0.01	89.34	171	2	734	1,542
2012-09-13	$49.71	$50.00	21.8%	6.2%	20.3%	31.7%	21.7%	6.1%	2.1%	-82.8K	1.2M	-16.8K	2.17	94.50	6	13	905	1,544
2012-09-14	$49.92	$50.00	21.7%	6.2%	20.3%	31.7%	21.7%	-3.9%	1.3%	-82.8K	1.1M	-16.8K	5.00	93.65	1	5	908	1,557
2012-09-17	$49.37	$50.00	22.7%	6.5%	20.6%	35.1%	0.0%	-0.4%	1.6%	-91.3K	1.4M	-16.3K	0.00	98.75	1	0	909	1,562
2012-09-18	$49.18	$50.00	21.5%	6.2%	20.6%	31.0%	0.0%	-0.3%	2.5%	-97.9K	1.5M	-16.0K	0.00	99.81	0	5	910	1,562
2012-09-19	$48.99	$50.00	21.0%	6.0%	20.5%	29.2%	0.0%	5.0%	3.3%	-108.0K	1.7M	-15.5K	0.00	96.52	2	0	910	1,560
2012-09-20	$48.72	$50.00	21.0%	6.0%	20.6%	29.1%	21.4%	5.2%	3.3%	-120.1K	1.9M	-15.2K	0.04	94.78	48	2	908	1,560
2012-09-21	$47.62	$50.00	19.8%	5.7%	22.0%	24.7%	0.0%	3.9%	4.3%	-132.9K	2.4M	-14.3K	0.67	94.74	3	2	907	1,560
2012-09-24	$47.35	$50.00	25.4%	7.3%	22.0%	44.7%	0.0%	4.1%	0.2%	-127.6K	2.8M	-14.0K	0.16	96.47	25	4	797	1,325
2012-09-25	$46.32	$50.00	24.9%	7.2%	22.9%	43.0%	25.0%	0.4%	2.2%	-121.2K	3.2M	-12.9K	3.00	96.01	1	3	802	1,327
2012-09-26	$46.30	$50.00	24.4%	7.0%	22.3%	41.0%	24.4%	11.3%	1.9%	-126.9K	3.3M	-12.8K	11.00	92.66	1	11	803	1,330
2012-09-27	$46.31	$50.00	24.3%	7.0%	22.2%	40.7%	0.0%	7.0%	2.0%	-127.1K	3.2M	-12.7K	0.00	99.65	4	0	803	1,325
2012-09-28	$46.09	$50.00	23.9%	6.9%	22.0%	39.3%	0.0%	5.8%	2.4%	-124.0K	3.4M	-12.0K	8.50	100.00	2	17	805	1,325