IT Options History — March 2013

In March 2013, IT traded between $49.83 and $54.41. ATM implied volatility averaged 17.1%, placing in the 19.6% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded below realized volatility by 0.1% (HV 20d: 17.2%). Max pain ranged from $50.00 to $55.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.67.

Notable Days

2013-03-11: Highest Volume — 250 contracts
2013-03-11: Largest IV spike — 62.3% change
2013-03-13: Highest IV Rank — 51.4%
2013-03-05: Largest Expected Move — 6.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$52.38	$49.83	$54.41	$49.83	$54.41
Max Pain	$51.75	$50.00	$55.00	$50.00	$55.00
ATM IV	17.1%	12.1%	24.5%	20.5%	14.7%
Expected Move	5.0%	3.5%	6.0%	5.9%	4.2%
HV 20d	17.2%	13.9%	24.1%	23.0%	15.8%
HV 60d	20.4%	20.1%	20.8%	20.2%	20.3%
IV Rank	19.6%	0.0%	51.4%	33.8%	10.9%
IV Percentile	16.2%	0.0%	74.2%	29.0%	4.8%
Term Structure	4.1%	0.4%	9.5%	1.5%	6.2%
VWIV	16.9%	14.5%	20.1%	20.1%	14.7%
Skew 25d	2.8%	-3.0%	41.7%	41.7%	-0.5%
Skew 10d	4.9%	-3.7%	63.1%	63.1%	-1.1%
Call IV 25d	16.9%	14.2%	21.2%	21.2%	15.2%
Put IV 25d	19.7%	12.0%	62.9%	62.9%	14.7%
Bid-Ask Spread %	82.21	40.87	102.24	98.83	99.59
Gamma HHI	0.88	0.70	0.96	0.86	0.70
Net GEX	-119.8K	-159.1K	-44.9K	-113.0K	-44.9K
Net DEX	2.6M	1.4M	3.7M	3.7M	1.4M
Net VEX	-13.8K	-16.3K	-10.1K	-10.1K	-16.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.67	0.00	4.00	0.00	0.35
Total Volume	36	0	250	0	46
Total OI	1,602.55	1,463	1,746	1,466	1,746

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
2013-03-01	$49.83	$50.00	20.5%	5.9%	23.0%	33.8%	0.0%	41.7%	1.5%	-113.0K	3.7M	-10.1K	0.00	98.83	0	0	217	1,249
2013-03-04	$50.96	$50.00	18.5%	5.9%	23.6%	25.3%	0.0%	5.1%	1.6%	-135.3K	3.3M	-11.5K	0.00	89.87	3	0	217	1,249
2013-03-05	$51.81	$50.00	17.5%	6.0%	24.1%	20.9%	0.0%	1.1%	0.4%	-150.6K	3.1M	-11.8K	0.56	94.42	9	5	214	1,249
2013-03-06	$51.73	$50.00	20.1%	5.9%	23.1%	32.1%	20.1%	1.6%	1.7%	-151.9K	3.1M	-12.0K	0.00	92.45	0	2	212	1,254
2013-03-07	$51.12	$50.00	15.4%	5.8%	23.4%	11.9%	20.1%	0.9%	2.5%	-144.8K	3.3M	-11.3K	4.00	58.13	5	20	212	1,256
2013-03-08	$51.53	$50.00	15.0%	5.6%	16.2%	9.9%	0.0%	1.1%	3.0%	-152.2K	3.2M	-11.7K	0.00	68.82	0	0	214	1,276
2013-03-11	$51.74	$50.00	24.3%	5.8%	15.6%	50.7%	0.0%	1.8%	1.9%	-159.1K	3.2M	-11.7K	0.00	46.94	250	0	214	1,276
2013-03-12	$51.73	$50.00	19.4%	5.6%	15.4%	29.4%	0.0%	2.9%	2.7%	-122.7K	2.7M	-13.8K	0.00	50.68	0	0	451	1,276
2013-03-13	$52.12	$50.00	24.5%	5.8%	15.4%	51.4%	0.0%	0.9%	2.2%	-125.6K	2.5M	-14.3K	0.00	96.85	0	0	451	1,276
2013-03-14	$52.10	$50.00	19.4%	5.6%	14.8%	29.1%	0.0%	2.0%	1.8%	-130.2K	2.6M	-13.7K	0.00	40.87	6	0	451	1,276
2013-03-15	$52.09	$50.00	16.6%	4.8%	14.3%	16.9%	18.8%	1.3%	9.5%	-129.8K	2.5M	-13.8K	0.43	96.15	35	15	456	1,276
2013-03-18	$53.21	$50.00	16.5%	4.7%	15.6%	16.4%	16.5%	2.5%	4.4%	-133.5K	2.4M	-14.8K	1.03	94.87	33	34	386	1,103
2013-03-19	$52.96	$50.00	13.6%	3.9%	15.8%	3.6%	14.5%	3.5%	6.5%	-125.8K	2.5M	-15.1K	0.36	61.10	56	20	417	1,131
2013-03-20	$53.68	$55.00	15.5%	4.5%	15.6%	12.3%	15.6%	-2.0%	5.3%	-123.3K	2.1M	-15.8K	0.05	97.83	21	1	443	1,151
2013-03-21	$53.50	$55.00	16.0%	4.6%	14.0%	14.3%	16.1%	-2.5%	5.9%	-124.2K	2.2M	-15.8K	0.00	97.74	36	0	443	1,152
2013-03-22	$53.56	$55.00	15.2%	4.4%	13.9%	10.8%	15.3%	-1.8%	5.3%	-109.8K	2.2M	-15.8K	0.05	99.81	109	5	479	1,152
2013-03-25	$53.10	$55.00	15.0%	4.3%	14.6%	10.1%	0.0%	-3.0%	5.8%	-73.3K	2.4M	-15.5K	0.50	58.58	4	2	583	1,154
2013-03-26	$53.24	$55.00	12.1%	3.5%	14.6%	0.0%	0.0%	2.4%	6.7%	-71.8K	2.3M	-15.4K	2.00	98.51	1	2	587	1,156
2013-03-27	$53.25	$55.00	12.5%	3.6%	14.6%	1.5%	0.0%	-2.8%	6.6%	-74.9K	2.3M	-15.4K	0.00	102.24	0	0	588	1,158
2013-03-28	$54.41	$55.00	14.7%	4.2%	15.8%	10.9%	14.7%	-0.5%	6.2%	-44.9K	1.4M	-16.3K	0.35	99.59	34	12	588	1,158