IT Options History — December 2012

In December 2012, IT traded between $45.06 and $47.63. ATM implied volatility averaged 22.6%, placing in the 43.0% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 6.1% (HV 20d: 16.5%). Max pain ranged from $45.00 to $50.00. Net GEX was positive for 7 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 4.27.

Notable Days

2012-12-17: Highest Volume — 90 contracts
2012-12-11: Largest IV drop — 18.0% change
2012-12-03: Highest IV Rank — 55.8%
2012-12-03: Largest Expected Move — 7.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$46.35	$45.06	$47.63	$47.23	$46.02
Max Pain	$46.00	$45.00	$50.00	$50.00	$45.00
ATM IV	22.6%	17.6%	25.5%	25.5%	23.1%
Expected Move	6.6%	6.3%	7.3%	7.3%	6.6%
HV 20d	16.5%	13.7%	24.4%	24.4%	15.5%
HV 60d	26.7%	26.2%	27.9%	27.8%	26.6%
IV Rank	43.0%	21.1%	55.8%	55.8%	45.2%
IV Percentile	49.9%	9.9%	73.8%	73.8%	56.3%
Term Structure	2.2%	0.2%	4.6%	0.2%	3.5%
VWIV	23.3%	23.1%	23.9%	23.1%	23.1%
Skew 25d	4.3%	0.6%	9.9%	9.9%	5.4%
Skew 10d	7.8%	0.1%	42.2%	42.2%	7.4%
Call IV 25d	18.6%	13.7%	22.3%	15.5%	17.8%
Put IV 25d	23.0%	20.9%	25.5%	25.5%	23.2%
Bid-Ask Spread %	87.88	43.58	100.12	98.89	44.24
Gamma HHI	0.61	0.34	0.93	0.93	0.57
Net GEX	-46.9K	-172.6K	19.0K	-172.6K	-21.6K
Net DEX	3.1M	174.6K	4.4M	3.4M	246.6K
Net VEX	-3.6K	-6.3K	-2.7K	-6.3K	-2.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	4.27	0.00	35.00	0.00	0.00
Total Volume	15	0	90	0	2
Total OI	1,456.2	367	1,866	1,787	424

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
2012-12-03	$47.23	$50.00	25.5%	7.3%	24.4%	55.8%	0.0%	9.9%	0.2%	-172.6K	3.4M	-6.3K	0.00	98.89	0	0	428	1,359
2012-12-04	$46.48	$50.00	23.2%	6.6%	22.3%	45.5%	0.0%	6.6%	1.5%	-102.9K	3.9M	-5.0K	0.00	93.14	0	0	428	1,359
2012-12-05	$46.67	$50.00	23.4%	6.7%	19.2%	46.6%	0.0%	6.3%	0.7%	-121.2K	3.8M	-5.2K	0.00	98.34	0	1	428	1,359
2012-12-06	$46.63	$50.00	23.7%	6.8%	19.1%	47.8%	0.0%	6.0%	0.9%	-114.3K	3.9M	-5.1K	0.00	94.80	0	0	428	1,359
2012-12-07	$46.69	$45.00	22.6%	6.9%	17.7%	43.0%	0.0%	0.6%	1.1%	-95.8K	4.0M	-4.5K	0.00	59.12	0	0	428	1,359
2012-12-10	$46.94	$45.00	21.4%	6.8%	17.4%	37.9%	0.0%	4.4%	1.7%	-117.5K	3.9M	-4.5K	0.00	43.58	1	0	428	1,359
2012-12-11	$47.63	$45.00	17.6%	6.3%	16.8%	21.1%	0.0%	1.6%	0.6%	-146.0K	3.8M	-3.9K	0.00	93.91	0	0	428	1,359
2012-12-12	$47.17	$45.00	20.5%	6.8%	17.1%	34.0%	0.0%	1.7%	1.0%	-86.6K	4.0M	-3.7K	0.00	94.76	0	0	428	1,359
2012-12-13	$46.51	$45.00	23.2%	6.6%	16.6%	45.6%	23.1%	0.8%	2.1%	7.8K	4.1M	-3.0K	0.50	93.98	2	1	428	1,359
2012-12-14	$46.38	$45.00	23.3%	6.7%	15.2%	46.1%	0.0%	0.7%	2.3%	14.1K	4.1M	-2.9K	0.00	96.78	10	0	428	1,360
2012-12-17	$46.01	$45.00	23.1%	6.6%	15.0%	45.2%	23.1%	6.3%	1.8%	19.0K	4.2M	-2.8K	2.00	98.02	30	60	425	1,360
2012-12-18	$46.40	$45.00	22.6%	6.5%	14.7%	43.3%	0.0%	8.8%	3.0%	12.3K	4.3M	-2.9K	0.00	98.79	0	0	446	1,420
2012-12-19	$46.50	$45.00	22.2%	6.4%	14.7%	41.2%	0.0%	5.4%	3.6%	10.6K	4.2M	-2.9K	0.00	99.04	2	0	446	1,420
2012-12-20	$46.16	$45.00	22.4%	6.4%	14.0%	42.2%	0.0%	5.3%	2.2%	16.4K	4.3M	-2.9K	0.91	98.60	22	20	446	1,420
2012-12-21	$45.73	$45.00	22.1%	6.3%	13.7%	40.9%	0.0%	3.7%	3.3%	17.8K	4.4M	-2.8K	0.00	99.90	77	0	424	1,440
2012-12-24	$46.05	$45.00	22.7%	6.5%	13.7%	43.5%	0.0%	6.4%	2.8%	-5.0K	174.6K	-2.7K	0.00	98.87	0	0	162	205
2012-12-26	$45.30	$45.00	23.9%	6.8%	14.5%	48.7%	23.9%	2.7%	3.1%	-5.4K	227.9K	-2.7K	35.00	100.12	2	70	162	205
2012-12-27	$45.06	$45.00	21.8%	6.3%	14.3%	39.7%	0.0%	1.7%	4.6%	-24.0K	374.2K	-2.8K	0.00	52.86	0	0	164	260
2012-12-28	$45.35	$45.00	23.2%	6.7%	14.4%	45.8%	0.0%	2.6%	2.8%	-22.6K	336.9K	-2.9K	0.00	99.80	0	0	164	260
2012-12-31	$46.02	$45.00	23.1%	6.6%	15.5%	45.2%	23.1%	5.4%	3.5%	-21.6K	246.6K	-2.8K	0.00	44.24	2	0	164	260