IT Options History — June 2013

In June 2013, IT traded between $55.73 and $58.74. ATM implied volatility averaged 22.3%, placing in the 45.3% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 3.4% (HV 20d: 18.9%). Max pain ranged from $45.00 to $60.00. Net GEX was positive for 6 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 2.64.

Notable Days

2013-06-21: Highest Volume — 30 contracts
2013-06-07: Largest IV drop — 25.5% change
2013-06-20: Highest IV Rank — 60.3%
2013-06-20: Largest Expected Move — 7.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$57.07	$55.73	$58.74	$56.30	$56.99
Max Pain	$57.25	$45.00	$60.00	$55.00	$60.00
ATM IV	22.3%	18.1%	25.9%	23.7%	19.5%
Expected Move	6.5%	5.4%	7.4%	6.8%	5.6%
HV 20d	18.9%	15.6%	23.4%	16.4%	23.4%
HV 60d	21.7%	20.6%	23.3%	20.7%	23.3%
IV Rank	45.3%	28.3%	60.3%	51.3%	34.2%
IV Percentile	52.0%	17.1%	82.9%	65.5%	24.6%
Term Structure	1.4%	-1.4%	6.0%	0.2%	6.0%
VWIV	24.2%	20.4%	32.1%	24.1%	22.1%
Skew 25d	3.9%	0.1%	10.4%	7.0%	6.2%
Skew 10d	5.4%	0.3%	19.2%	8.5%	6.2%
Call IV 25d	19.1%	13.5%	22.3%	16.3%	13.7%
Put IV 25d	23.0%	19.6%	25.1%	23.3%	20.0%
Bid-Ask Spread %	97.35	94.36	101.12	98.18	101.12
Gamma HHI	0.75	0.35	0.96	0.90	0.43
Net GEX	-156.7K	-323.2K	8.1K	-272.9K	4.5K
Net DEX	-708.0K	-2.1M	734.4K	370.0K	-169.9K
Net VEX	-3.3K	-7.0K	-1.1K	-6.9K	-1.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.64	0.00	13.50	0.00	0.00
Total Volume	8.55	0	30	0	5
Total OI	1,318.85	221	1,736	1,663	225

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
2013-06-03	$56.30	$55.00	23.7%	6.8%	16.4%	51.3%	0.0%	7.0%	0.2%	-272.9K	370.0K	-6.9K	0.00	98.18	0	0	417	1,246
2013-06-04	$56.09	$55.00	23.1%	6.6%	16.4%	48.7%	0.0%	6.4%	0.9%	-292.5K	466.4K	-7.0K	0.00	99.03	2	0	417	1,246
2013-06-05	$55.73	$55.00	22.9%	6.6%	15.6%	48.0%	0.0%	6.0%	-0.1%	-316.2K	734.4K	-6.9K	0.00	98.11	0	4	417	1,246
2013-06-06	$57.24	$55.00	24.3%	7.0%	18.2%	53.6%	24.1%	10.4%	-1.0%	-234.3K	-445.4K	-5.6K	0.00	100.18	6	0	417	1,250
2013-06-07	$57.66	$55.00	18.1%	5.8%	18.3%	28.3%	0.0%	2.2%	1.6%	-202.5K	-720.2K	-4.9K	0.00	94.36	0	0	417	1,250
2013-06-10	$57.12	$55.00	20.1%	6.4%	18.5%	36.3%	0.0%	0.7%	0.2%	-248.3K	-507.0K	-4.6K	0.00	95.89	0	0	417	1,250
2013-06-11	$57.07	$55.00	22.5%	6.6%	17.9%	46.2%	0.0%	2.8%	0.1%	-260.2K	-801.1K	-4.1K	0.00	95.43	0	6	417	1,250
2013-06-12	$56.62	$55.00	21.2%	7.0%	17.3%	40.9%	32.1%	0.7%	-0.2%	-322.3K	-571.5K	-4.2K	0.00	96.26	1	0	417	1,256
2013-06-13	$57.34	$45.00	24.9%	7.1%	17.5%	56.0%	23.3%	2.8%	0.6%	-194.3K	-1.5M	-2.5K	10.00	95.80	2	20	418	1,256
2013-06-14	$57.02	$60.00	24.1%	6.9%	16.6%	52.6%	0.0%	1.2%	1.0%	-243.3K	-1.3M	-2.8K	0.00	95.54	6	0	418	1,276
2013-06-17	$57.82	$60.00	21.4%	6.1%	17.3%	41.8%	0.0%	4.0%	2.5%	-102.2K	-1.8M	-1.7K	0.00	95.57	9	0	421	1,276
2013-06-18	$58.74	$60.00	21.6%	6.2%	18.2%	42.5%	0.0%	6.8%	1.9%	8.1K	-2.1M	-1.1K	2.20	94.73	5	11	427	1,276
2013-06-19	$57.82	$60.00	21.1%	6.0%	18.9%	40.5%	0.0%	2.8%	1.9%	-91.9K	-1.8M	-1.6K	0.00	97.21	12	0	429	1,287
2013-06-20	$56.41	$60.00	25.9%	7.4%	19.4%	60.3%	20.4%	3.1%	-1.4%	-323.2K	-1.4M	-2.0K	13.50	99.26	2	27	435	1,272
2013-06-21	$57.47	$60.00	23.8%	6.8%	20.5%	51.8%	0.0%	3.3%	1.0%	-61.1K	-1.9M	-1.6K	0.00	97.82	30	0	437	1,299
2013-06-24	$56.38	$60.00	23.0%	6.6%	21.7%	48.4%	0.0%	2.2%	4.0%	4.4K	-136.8K	-1.8K	0.00	96.14	0	0	117	104
2013-06-25	$56.41	$60.00	23.2%	6.6%	21.2%	49.0%	23.2%	7.0%	2.9%	4.0K	-127.3K	-1.7K	6.00	99.12	1	6	117	104
2013-06-26	$57.04	$60.00	22.2%	6.4%	21.6%	45.0%	22.1%	1.8%	3.5%	3.6K	-161.1K	-1.7K	0.00	97.48	0	16	118	110
2013-06-27	$58.17	$60.00	18.7%	5.4%	22.6%	30.6%	0.0%	0.1%	2.8%	5.7K	-221.4K	-1.7K	0.00	99.83	0	0	118	107
2013-06-28	$56.99	$60.00	19.5%	5.6%	23.4%	34.2%	0.0%	6.2%	6.0%	4.5K	-169.9K	-1.7K	0.00	101.12	5	0	118	107