IT Options History — July 2013

In July 2013, IT traded between $57.43 and $61.36. ATM implied volatility averaged 21.6%, placing in the 42.7% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 1.1% (HV 20d: 20.5%). Max pain ranged from $55.00 to $60.00. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 0.78.

Notable Days

2013-07-08: Highest Volume — 34 contracts
2013-07-11: Largest IV spike — 23.0% change
2013-07-31: Highest IV Rank — 62.9%
2013-07-31: Largest Expected Move — 7.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$60.02	$57.43	$61.36	$57.70	$60.01
Max Pain	$55.68	$55.00	$60.00	$60.00	$55.00
ATM IV	21.6%	16.0%	26.6%	16.0%	26.6%
Expected Move	6.4%	4.6%	7.6%	4.6%	7.6%
HV 20d	20.5%	14.7%	23.8%	23.7%	14.9%
HV 60d	20.1%	18.4%	23.4%	23.4%	18.5%
IV Rank	42.7%	19.5%	62.9%	19.5%	62.9%
IV Percentile	47.4%	9.9%	88.1%	9.9%	88.1%
Term Structure	-0.8%	-5.5%	8.2%	4.1%	-5.5%
VWIV	23.5%	22.9%	24.7%	24.7%	22.9%
Skew 25d	1.8%	-4.2%	7.9%	1.5%	1.8%
Skew 10d	3.1%	-6.1%	21.8%	21.8%	2.2%
Call IV 25d	18.6%	13.5%	23.0%	17.8%	20.8%
Put IV 25d	20.4%	15.3%	25.4%	19.3%	22.5%
Bid-Ask Spread %	97.95	92.00	102.99	102.22	98.18
Gamma HHI	0.33	0.21	0.58	0.44	0.33
Net GEX	8.7K	-18.4K	19.5K	6.0K	15.5K
Net DEX	-333.0K	-432.7K	-160.7K	-206.4K	-324.5K
Net VEX	-1.8K	-2.1K	-1.5K	-1.7K	-2.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.78	0.00	8.00	0.00	0.00
Total Volume	8.273	0	34	10	10
Total OI	253.636	224	279	230	279

Daily Data (22 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
2013-07-01	$57.70	$60.00	16.0%	4.6%	23.7%	19.5%	0.0%	1.5%	4.1%	6.0K	-206.4K	-1.7K	0.00	102.22	0	10	123	107
2013-07-02	$57.43	$60.00	18.6%	5.3%	23.7%	30.2%	0.0%	7.1%	8.2%	4.3K	-160.7K	-1.8K	0.00	102.99	6	0	123	117
2013-07-03	$58.03	$60.00	18.1%	5.2%	23.8%	28.4%	0.0%	-2.9%	3.7%	6.0K	-207.5K	-1.9K	0.00	102.28	1	0	128	117
2013-07-05	$59.11	$55.00	17.3%	6.4%	22.8%	24.9%	0.0%	7.9%	-0.6%	7.7K	-273.6K	-1.9K	0.00	92.00	0	3	129	117
2013-07-08	$59.94	$55.00	18.3%	6.5%	23.1%	29.1%	0.0%	7.1%	0.0%	7.3K	-320.8K	-1.8K	0.03	95.53	33	1	129	120
2013-07-09	$59.67	$55.00	18.4%	6.5%	22.9%	29.5%	24.7%	-0.5%	-0.6%	7.6K	-312.9K	-1.7K	0.00	95.80	9	0	130	121
2013-07-10	$60.18	$55.00	18.2%	6.6%	22.9%	28.5%	0.0%	-2.9%	-1.5%	8.7K	-350.6K	-1.7K	0.00	98.09	3	0	133	121
2013-07-11	$61.26	$55.00	22.3%	6.4%	23.2%	45.6%	0.0%	-1.0%	0.4%	10.5K	-432.7K	-1.6K	1.33	95.28	3	4	135	121
2013-07-12	$61.21	$55.00	22.4%	6.4%	23.0%	45.8%	0.0%	-2.3%	0.1%	9.4K	-419.3K	-1.6K	0.00	94.85	0	0	132	125
2013-07-15	$61.06	$55.00	22.8%	6.5%	22.9%	47.6%	0.0%	-0.8%	-0.8%	8.1K	-415.0K	-1.6K	8.00	96.56	3	24	132	125
2013-07-16	$60.17	$55.00	23.2%	6.7%	23.4%	49.1%	0.0%	-4.2%	-1.5%	4.7K	-327.7K	-1.7K	0.00	96.22	0	0	129	125
2013-07-17	$59.92	$55.00	22.6%	6.5%	22.9%	46.5%	0.0%	0.8%	-0.8%	2.7K	-317.9K	-1.6K	0.00	98.27	0	0	129	125
2013-07-18	$60.06	$55.00	22.2%	6.4%	22.0%	45.0%	0.0%	1.1%	-0.6%	-226	-320.7K	-1.6K	0.00	99.22	10	0	129	125
2013-07-19	$60.07	$55.00	22.9%	6.6%	19.7%	48.0%	22.9%	1.1%	-1.6%	-18.4K	-327.6K	-1.6K	0.00	99.81	0	1	129	125
2013-07-22	$60.55	$55.00	22.9%	6.6%	18.9%	47.9%	22.9%	3.6%	-1.5%	14.9K	-361.0K	-1.5K	0.00	98.19	19	0	124	100
2013-07-23	$60.62	$55.00	22.9%	6.6%	17.1%	47.9%	0.0%	3.5%	-2.4%	19.0K	-405.2K	-1.7K	0.00	99.06	0	2	143	100
2013-07-24	$60.80	$55.00	23.1%	6.6%	17.1%	48.9%	0.0%	4.3%	-3.1%	19.5K	-425.2K	-1.7K	0.00	97.52	0	25	143	100
2013-07-25	$61.36	$55.00	22.6%	6.5%	17.0%	46.8%	0.0%	6.4%	-1.6%	14.5K	-393.0K	-2.0K	0.00	99.37	1	0	143	125
2013-07-26	$60.37	$55.00	22.8%	6.5%	17.3%	47.3%	0.0%	2.2%	-3.0%	15.0K	-346.1K	-2.0K	0.00	97.88	0	7	144	125
2013-07-29	$60.39	$55.00	25.6%	7.3%	15.1%	59.1%	0.0%	3.0%	-4.5%	13.9K	-325.6K	-2.1K	0.00	97.74	7	0	144	130
2013-07-30	$60.47	$55.00	25.9%	7.4%	14.7%	60.3%	0.0%	3.3%	-5.0%	15.5K	-352.6K	-2.1K	0.00	97.83	0	0	149	130
2013-07-31	$60.01	$55.00	26.6%	7.6%	14.9%	62.9%	0.0%	1.8%	-5.5%	15.5K	-324.5K	-2.1K	0.00	98.18	10	0	149	130