IT Options History — February 2013

In February 2013, IT traded between $48.10 and $52.84. ATM implied volatility averaged 22.8%, placing in the 44.1% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded below realized volatility by 0.8% (HV 20d: 23.7%). Max pain ranged from $50.00 to $50.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 12 of 19 days. Put/call ratio averaged 1.50.

Notable Days

2013-02-20: Highest Volume — 40 contracts
2013-02-05: Largest IV drop — 24.7% change
2013-02-04: Highest IV Rank — 93.0%
2013-02-04: Largest Expected Move — 7.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$49.81	$48.10	$52.84	$52.42	$49.76
Max Pain	$50.00	$50.00	$50.00	$50.00	$50.00
ATM IV	22.8%	19.7%	34.0%	33.0%	19.8%
Expected Move	6.2%	5.6%	7.5%	7.3%	5.7%
HV 20d	23.7%	17.3%	26.8%	17.3%	23.0%
HV 60d	20.1%	18.6%	21.1%	19.6%	20.4%
IV Rank	44.1%	30.2%	93.0%	88.3%	30.8%
IV Percentile	47.5%	19.8%	99.6%	99.6%	23.4%
Term Structure	0.4%	-1.8%	2.5%	-1.8%	0.5%
VWIV	21.9%	20.0%	26.2%	26.2%	20.0%
Skew 25d	3.4%	-4.2%	41.0%	2.5%	41.0%
Skew 10d	6.0%	-4.6%	61.2%	3.2%	61.2%
Call IV 25d	20.3%	16.3%	23.2%	22.0%	20.5%
Put IV 25d	23.7%	17.4%	61.5%	24.5%	61.5%
Bid-Ask Spread %	95.98	86.34	100.12	92.56	98.33
Gamma HHI	0.64	0.45	0.89	0.57	0.86
Net GEX	-152.3K	-234.5K	-102.0K	-141.0K	-112.3K
Net DEX	3.8M	2.5M	4.8M	2.7M	3.8M
Net VEX	-11.7K	-16.2K	-9.3K	-16.2K	-10.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.50	0.00	8.50	0.50	0.00
Total Volume	6.474	0	40	2	0
Total OI	1,653.105	1,438	1,808	1,792	1,466

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
2013-02-01	$52.42	$50.00	33.0%	7.3%	17.3%	88.3%	0.0%	2.5%	-1.8%	-141.0K	2.7M	-16.2K	0.00	92.56	0	2	363	1,429
2013-02-04	$51.86	$50.00	34.0%	7.5%	18.0%	93.0%	0.0%	1.3%	-1.7%	-149.6K	3.0M	-15.4K	0.00	92.78	0	0	363	1,431
2013-02-05	$52.84	$50.00	25.6%	6.7%	18.7%	56.3%	0.0%	4.3%	-1.0%	-138.3K	2.5M	-16.1K	0.00	91.10	0	0	363	1,431
2013-02-06	$52.73	$50.00	26.6%	7.0%	18.7%	60.6%	26.2%	4.8%	-1.0%	-143.0K	2.5M	-15.7K	0.50	89.16	10	5	363	1,431
2013-02-07	$50.30	$50.00	22.2%	6.4%	26.0%	41.5%	0.0%	2.8%	0.9%	-207.7K	3.8M	-13.9K	0.00	99.10	0	9	371	1,434
2013-02-08	$49.75	$50.00	20.9%	6.0%	26.2%	35.8%	0.0%	0.9%	2.3%	-227.2K	4.1M	-12.8K	0.00	97.47	3	0	371	1,435
2013-02-11	$49.49	$50.00	20.9%	6.0%	26.1%	35.8%	0.0%	6.2%	2.2%	-233.7K	4.3M	-11.7K	0.00	86.34	10	0	374	1,434
2013-02-12	$49.37	$50.00	20.5%	5.9%	25.9%	34.1%	0.0%	7.2%	2.5%	-234.5K	4.4M	-11.6K	0.00	90.81	0	0	374	1,434
2013-02-13	$48.90	$50.00	22.6%	6.5%	26.1%	43.2%	0.0%	-2.3%	0.4%	-197.0K	4.7M	-10.5K	0.00	100.00	0	2	374	1,434
2013-02-14	$48.53	$50.00	21.1%	6.1%	26.1%	36.7%	0.0%	4.5%	1.9%	-158.8K	4.8M	-10.3K	0.00	98.27	0	0	368	1,421
2013-02-15	$48.91	$50.00	22.1%	6.3%	26.3%	40.8%	0.0%	-1.7%	0.8%	-181.9K	4.7M	-10.1K	0.00	99.93	0	2	368	1,421
2013-02-19	$49.24	$50.00	20.4%	5.9%	26.2%	33.7%	20.4%	-1.1%	1.0%	-112.3K	3.9M	-10.3K	8.50	98.17	2	17	204	1,234
2013-02-20	$48.86	$50.00	21.3%	6.1%	26.3%	37.4%	21.3%	-2.3%	-0.2%	-110.9K	3.9M	-10.2K	0.00	97.23	0	40	206	1,249
2013-02-21	$48.10	$50.00	21.4%	6.1%	26.8%	37.8%	21.6%	-4.2%	-0.6%	-102.0K	4.1M	-9.3K	0.00	99.59	7	0	206	1,249
2013-02-22	$48.61	$50.00	19.7%	5.7%	24.5%	30.5%	0.0%	5.6%	0.7%	-107.7K	4.1M	-9.8K	0.00	95.98	0	0	203	1,249
2013-02-25	$48.55	$50.00	21.7%	6.2%	22.1%	39.1%	0.0%	-3.2%	-0.3%	-108.6K	4.0M	-9.9K	0.00	100.12	0	0	203	1,249
2013-02-26	$48.90	$50.00	19.7%	5.6%	22.4%	30.2%	0.0%	-0.9%	1.4%	-110.3K	4.0M	-9.6K	0.00	99.58	0	0	203	1,249
2013-02-27	$49.29	$50.00	20.0%	5.7%	22.7%	31.6%	20.0%	-0.3%	0.4%	-117.0K	3.8M	-9.7K	0.00	97.14	14	0	203	1,249
2013-02-28	$49.76	$50.00	19.8%	5.7%	23.0%	30.8%	0.0%	41.0%	0.5%	-112.3K	3.8M	-10.2K	0.00	98.33	0	0	217	1,249