IT Options History — November 2012

In November 2012, IT traded between $43.75 and $47.88. ATM implied volatility averaged 23.3%, placing in the 46.1% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded below realized volatility by 16.5% (HV 20d: 39.8%). Max pain ranged from $45.00 to $50.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 1.11.

Notable Days

2012-11-02: Highest Volume — 91 contracts
2012-11-15: Largest IV spike — 34.4% change
2012-11-06: Highest IV Rank — 72.2%
2012-11-07: Largest Expected Move — 7.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$46.39	$43.75	$47.88	$47.65	$47.88
Max Pain	$49.52	$45.00	$50.00	$45.00	$50.00
ATM IV	23.3%	17.4%	29.3%	22.9%	22.0%
Expected Move	6.8%	5.0%	7.3%	6.6%	6.3%
HV 20d	39.8%	19.3%	42.2%	19.3%	39.7%
HV 60d	27.3%	19.1%	28.3%	19.1%	27.7%
IV Rank	46.1%	20.6%	72.2%	44.5%	40.6%
IV Percentile	51.7%	9.5%	86.5%	48.8%	44.4%
Term Structure	0.9%	-3.1%	7.9%	-3.1%	-0.2%
VWIV	23.6%	17.1%	29.8%	29.8%	24.0%
Skew 25d	2.6%	-5.5%	10.6%	1.7%	-5.5%
Skew 10d	10.9%	-3.6%	33.5%	26.8%	8.2%
Call IV 25d	21.7%	16.6%	26.6%	26.6%	22.4%
Put IV 25d	24.4%	16.9%	28.3%	28.3%	16.9%
Bid-Ask Spread %	76.00	35.86	102.72	99.28	102.72
Gamma HHI	0.73	0.45	0.95	0.54	0.95
Net GEX	-139.2K	-225.7K	-33.4K	-33.4K	-225.7K
Net DEX	3.4M	2.2M	4.3M	2.2M	3.0M
Net VEX	-8.0K	-11.9K	-6.8K	-11.9K	-7.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.11	0.00	10.00	1.82	0.00
Total Volume	15.143	0	91	31	0
Total OI	2,118.333	1,742	2,419	2,311	1,787

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
2012-11-01	$47.65	$45.00	22.9%	6.6%	19.3%	44.5%	29.8%	1.7%	-3.1%	-33.4K	2.2M	-11.9K	1.82	99.28	11	20	975	1,336
2012-11-02	$43.75	$45.00	25.4%	7.3%	36.3%	55.2%	25.3%	-2.9%	-0.9%	-77.5K	4.3M	-6.9K	0.49	45.34	61	30	985	1,356
2012-11-05	$45.33	$50.00	26.9%	7.1%	38.7%	61.7%	24.9%	4.2%	0.9%	-87.2K	3.8M	-8.1K	0.05	74.54	22	1	1,007	1,366
2012-11-06	$46.78	$50.00	29.3%	7.0%	40.4%	72.2%	0.0%	3.7%	1.5%	-74.1K	3.0M	-10.0K	0.00	69.25	0	2	998	1,367
2012-11-07	$46.52	$50.00	22.3%	7.3%	40.3%	41.9%	22.1%	0.7%	0.5%	-95.7K	3.2M	-9.6K	10.00	58.92	2	20	998	1,369
2012-11-08	$45.62	$50.00	24.6%	7.0%	40.9%	51.9%	17.1%	2.1%	1.3%	-118.6K	3.7M	-8.1K	0.00	56.07	2	0	1,000	1,389
2012-11-09	$45.29	$50.00	24.3%	7.2%	40.9%	50.3%	25.0%	10.6%	0.6%	-122.3K	3.9M	-7.9K	0.50	59.69	20	10	1,000	1,389
2012-11-12	$46.19	$50.00	25.5%	7.2%	41.6%	55.6%	0.0%	4.6%	0.5%	-133.7K	3.5M	-8.8K	0.00	84.83	10	0	1,010	1,399
2012-11-13	$46.56	$50.00	20.6%	7.0%	41.7%	34.6%	0.0%	3.4%	2.3%	-151.8K	3.4M	-8.5K	0.00	54.27	0	0	1,020	1,399
2012-11-14	$45.74	$50.00	18.4%	7.2%	42.2%	24.7%	23.3%	5.7%	1.5%	-149.9K	3.7M	-7.7K	0.00	96.88	3	0	1,020	1,399
2012-11-15	$44.94	$50.00	24.7%	7.1%	41.8%	52.3%	25.5%	2.4%	0.9%	-143.9K	4.2M	-6.8K	0.00	65.23	5	0	1,019	1,399
2012-11-16	$45.52	$50.00	24.2%	6.9%	41.5%	50.1%	0.0%	5.1%	1.5%	-153.9K	3.9M	-7.0K	1.33	67.25	9	12	1,019	1,399
2012-11-19	$46.03	$50.00	23.2%	6.6%	41.5%	45.6%	0.0%	4.9%	0.9%	-111.5K	3.8M	-6.9K	0.00	96.75	0	0	409	1,333
2012-11-20	$46.23	$50.00	22.9%	6.5%	41.4%	44.2%	22.8%	0.4%	1.1%	-125.8K	3.6M	-7.1K	2.00	94.45	5	10	409	1,333
2012-11-21	$46.87	$50.00	23.9%	6.8%	41.3%	48.7%	0.0%	1.6%	-0.3%	-152.7K	3.4M	-7.8K	0.00	94.11	0	0	414	1,343
2012-11-23	$47.34	$50.00	24.4%	7.0%	41.2%	50.8%	21.7%	2.8%	-0.5%	-179.1K	3.2M	-7.9K	0.50	35.86	10	5	414	1,343
2012-11-26	$47.66	$50.00	21.2%	6.1%	41.1%	36.8%	21.3%	3.1%	0.8%	-202.5K	3.0M	-7.8K	0.00	75.78	11	0	414	1,348
2012-11-27	$47.23	$50.00	23.7%	6.8%	41.3%	47.8%	24.0%	0.7%	0.4%	-180.7K	3.2M	-7.3K	0.00	95.80	10	0	424	1,348
2012-11-28	$47.43	$50.00	21.4%	6.1%	41.2%	38.0%	0.0%	4.1%	7.9%	-186.6K	3.2M	-7.4K	0.00	72.97	15	0	424	1,348
2012-11-29	$47.72	$50.00	17.4%	5.0%	40.7%	20.6%	0.0%	2.0%	0.5%	-216.3K	3.1M	-7.3K	0.00	95.99	0	12	428	1,348
2012-11-30	$47.88	$50.00	22.0%	6.3%	39.7%	40.6%	0.0%	-5.5%	-0.2%	-225.7K	3.0M	-7.2K	0.00	102.72	0	0	428	1,359