IT Options History — January 2013

In January 2013, IT traded between $47.42 and $52.83. ATM implied volatility averaged 23.5%, placing in the 47.2% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded above realized volatility by 4.5% (HV 20d: 19.0%). Max pain ranged from $45.00 to $50.00. Net GEX was positive for 2 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 2.17.

Notable Days

2013-01-25: Highest Volume — 1,177 contracts
2013-01-10: Largest IV spike — 24.7% change
2013-01-30: Highest IV Rank — 79.6%
2013-01-30: Largest Expected Move — 8.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$50.15	$47.42	$52.83	$47.42	$51.51
Max Pain	$48.81	$45.00	$50.00	$45.00	$50.00
ATM IV	23.5%	15.8%	31.0%	19.7%	30.8%
Expected Move	7.1%	5.5%	8.9%	5.6%	8.8%
HV 20d	19.0%	17.3%	20.4%	18.6%	18.5%
HV 60d	27.2%	20.5%	27.9%	27.3%	20.5%
IV Rank	47.2%	13.4%	79.6%	30.4%	78.9%
IV Percentile	58.1%	5.6%	99.6%	20.2%	98.8%
Term Structure	-0.9%	-6.2%	9.7%	9.7%	-6.2%
VWIV	25.9%	18.7%	31.1%	18.7%	31.1%
Skew 25d	3.8%	-1.7%	11.0%	8.9%	1.2%
Skew 10d	7.0%	-4.3%	36.9%	8.4%	-0.6%
Call IV 25d	21.5%	13.4%	29.8%	13.4%	28.9%
Put IV 25d	25.2%	17.8%	31.7%	22.3%	30.1%
Bid-Ask Spread %	85.72	40.33	102.42	40.33	93.59
Gamma HHI	0.61	0.36	0.79	0.48	0.53
Net GEX	-62.7K	-156.4K	1.1K	-13.5K	-156.4K
Net DEX	706.8K	-391.0K	3.2M	70.9K	3.2M
Net VEX	-5.7K	-16.3K	-2.5K	-2.7K	-15.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.17	0.00	10.50	2.30	2.00
Total Volume	93.048	0	1,177	0	15
Total OI	813.571	426	1,802	426	1,802

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
2013-01-02	$47.42	$45.00	19.7%	5.6%	18.6%	30.4%	0.0%	8.9%	9.7%	-13.5K	70.9K	-2.7K	0.00	40.33	0	0	166	260
2013-01-03	$48.70	$45.00	19.1%	5.5%	19.8%	27.7%	18.7%	-1.7%	3.7%	-1.2K	-108.5K	-2.5K	2.30	102.42	10	23	166	260
2013-01-04	$48.70	$45.00	15.8%	6.6%	19.8%	13.4%	0.0%	5.3%	0.1%	1.1K	-106.7K	-2.6K	0.00	93.75	1	0	176	274
2013-01-07	$48.56	$45.00	17.3%	6.7%	19.8%	19.8%	0.0%	6.8%	-1.4%	-3.4K	-87.4K	-2.6K	0.00	57.57	0	1	176	274
2013-01-08	$49.04	$45.00	16.3%	7.1%	20.0%	15.5%	24.9%	8.3%	-1.5%	354	-113.0K	-2.6K	0.00	57.45	0	300	176	275
2013-01-09	$49.20	$50.00	19.5%	7.3%	20.0%	29.6%	0.0%	8.0%	-1.5%	-70.3K	719.2K	-4.5K	0.00	88.36	0	0	176	575
2013-01-10	$49.60	$50.00	24.3%	7.0%	19.6%	50.6%	0.0%	7.9%	-0.5%	-75.4K	629.6K	-4.4K	0.00	88.02	0	0	176	575
2013-01-11	$49.91	$50.00	23.6%	6.8%	19.1%	47.5%	23.6%	0.7%	1.1%	-80.5K	581.6K	-4.4K	0.00	55.52	5	0	176	575
2013-01-14	$50.32	$50.00	23.8%	6.8%	18.1%	48.3%	23.8%	11.0%	-0.9%	-79.6K	440.8K	-4.1K	0.00	77.39	0	300	177	575
2013-01-15	$50.20	$50.00	22.5%	6.5%	18.1%	42.7%	0.0%	2.1%	0.4%	-81.6K	439.3K	-4.0K	0.00	97.46	4	0	177	555
2013-01-16	$49.74	$50.00	23.8%	6.8%	18.2%	48.5%	0.0%	0.1%	-0.9%	-50.0K	279.8K	-3.4K	0.00	96.89	0	0	179	458
2013-01-17	$49.60	$50.00	23.3%	6.7%	18.3%	46.0%	0.0%	-0.1%	-0.5%	-52.1K	312.4K	-3.4K	0.00	97.07	1	0	178	458
2013-01-18	$49.97	$50.00	22.4%	6.4%	18.3%	42.0%	0.0%	1.4%	0.7%	-59.0K	254.7K	-3.3K	0.00	97.37	0	5	178	458
2013-01-22	$49.99	$50.00	23.9%	6.9%	17.9%	48.9%	0.0%	0.6%	-0.7%	-53.0K	239.1K	-3.2K	0.00	95.56	0	0	163	374
2013-01-23	$49.95	$50.00	24.2%	6.9%	17.3%	50.0%	24.2%	1.6%	-1.3%	-52.7K	228.8K	-3.1K	1.25	95.94	4	5	163	374
2013-01-24	$51.50	$50.00	24.5%	7.0%	19.7%	51.5%	24.5%	7.8%	-1.5%	-45.1K	-76.7K	-2.9K	0.23	98.64	30	7	167	374
2013-01-25	$52.83	$50.00	27.1%	7.8%	19.0%	62.7%	27.5%	3.0%	-4.0%	-25.9K	-391.0K	-2.7K	6.40	90.04	159	1,018	195	371
2013-01-28	$52.37	$50.00	30.5%	8.7%	19.4%	77.4%	30.3%	2.9%	-5.2%	-137.1K	2.7M	-16.3K	3.33	90.88	3	10	354	1,387
2013-01-29	$52.23	$50.00	30.9%	8.8%	19.7%	79.1%	0.0%	2.6%	-4.3%	-139.7K	2.7M	-16.3K	0.00	93.37	7	0	357	1,397
2013-01-30	$51.71	$50.00	31.0%	8.9%	20.4%	79.6%	30.0%	1.4%	-3.9%	-142.5K	2.9M	-15.8K	10.50	92.59	4	42	361	1,397
2013-01-31	$51.51	$50.00	30.8%	8.8%	18.5%	78.9%	31.1%	1.2%	-6.2%	-156.4K	3.2M	-15.9K	2.00	93.59	5	10	363	1,439