IT Options History — September 2013

In September 2013, IT traded between $56.78 and $60.00. ATM implied volatility averaged 18.2%, placing in the 30.9% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 1.0% (HV 20d: 17.2%). Max pain ranged from $55.00 to $65.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 1.64.

Notable Days

2013-09-09: Highest Volume — 3,508 contracts
2013-09-06: Largest IV spike — 63.0% change
2013-09-03: Highest IV Rank — 51.5%
2013-09-03: Largest Expected Move — 6.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$58.23	$56.78	$60.00	$57.03	$60.00
Max Pain	$59.75	$55.00	$65.00	$55.00	$60.00
ATM IV	18.2%	13.0%	23.0%	23.0%	18.3%
Expected Move	5.5%	3.7%	6.6%	6.6%	5.2%
HV 20d	17.2%	15.3%	19.7%	19.7%	15.3%
HV 60d	26.6%	25.4%	27.4%	27.3%	25.4%
IV Rank	30.9%	8.0%	51.5%	51.5%	31.1%
IV Percentile	24.3%	2.0%	62.3%	62.3%	21.8%
Term Structure	3.3%	-0.9%	6.6%	-0.6%	6.0%
VWIV	21.1%	18.3%	23.4%	23.4%	18.7%
Skew 25d	2.1%	-6.5%	7.9%	7.9%	1.4%
Skew 10d	3.7%	-10.2%	27.5%	6.5%	2.0%
Call IV 25d	17.7%	13.9%	20.9%	14.9%	15.9%
Put IV 25d	19.8%	13.7%	23.1%	22.9%	17.3%
Bid-Ask Spread %	94.68	64.13	99.62	99.62	98.17
Gamma HHI	0.26	0.22	0.33	0.30	0.22
Net GEX	551.8K	230.0K	907.7K	492.1K	255.4K
Net DEX	-4.6M	-10.7M	2.4M	1.9M	-10.5M
Net VEX	-136.9K	-156.2K	-110.4K	-114.4K	-146.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.64	0.00	24.05	0.00	0.00
Total Volume	362.5	0	3,508	2	5
Total OI	16,204.75	13,554	18,660	13,554	17,194

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
2013-09-03	$57.03	$55.00	23.0%	6.6%	19.7%	51.5%	0.0%	7.9%	-0.6%	492.1K	1.9M	-114.4K	0.00	99.62	0	2	7,256	6,298
2013-09-04	$57.56	$55.00	17.6%	5.0%	19.2%	28.1%	0.0%	1.1%	-0.9%	463.4K	569.0K	-115.6K	0.00	64.13	1	0	7,256	6,300
2013-09-05	$57.51	$55.00	13.0%	3.7%	18.2%	8.0%	0.0%	6.9%	6.6%	463.0K	567.3K	-114.1K	0.00	97.48	0	0	7,256	6,300
2013-09-06	$56.93	$65.00	21.2%	6.5%	17.7%	43.8%	0.0%	1.9%	1.0%	504.5K	2.4M	-110.4K	0.00	93.84	2	0	7,256	6,300
2013-09-09	$57.70	$65.00	14.7%	5.8%	18.2%	15.4%	23.4%	4.1%	2.0%	455.3K	344.0K	-111.0K	0.06	94.57	3,307	201	7,255	6,300
2013-09-10	$58.29	$60.00	13.7%	6.0%	17.4%	11.1%	0.0%	3.7%	1.6%	844.1K	-7.0M	-140.1K	0.00	93.74	2	0	9,531	6,501
2013-09-11	$58.19	$60.00	13.6%	5.6%	17.1%	10.7%	22.8%	4.8%	2.5%	853.7K	-7.0M	-139.7K	0.00	92.98	3	0	9,532	6,501
2013-09-12	$57.90	$60.00	19.6%	5.6%	17.1%	36.7%	0.0%	3.1%	2.0%	889.4K	-5.9M	-136.3K	0.00	93.81	0	0	9,529	6,501
2013-09-13	$56.95	$60.00	21.5%	6.2%	16.6%	45.3%	21.8%	1.8%	2.6%	907.7K	-2.2M	-131.7K	24.05	95.13	21	505	9,529	6,501
2013-09-16	$56.78	$60.00	21.6%	6.2%	16.5%	45.4%	0.0%	1.6%	2.6%	691.1K	-163.4K	-129.3K	1.00	97.41	2	2	9,549	7,001
2013-09-17	$56.89	$60.00	22.0%	6.3%	16.5%	47.3%	20.5%	1.8%	1.5%	642.1K	-425.2K	-127.6K	0.48	95.17	2,104	1,010	9,549	7,001
2013-09-18	$57.81	$60.00	17.6%	5.1%	17.5%	28.2%	0.0%	4.0%	4.2%	668.0K	-4.2M	-155.2K	0.00	95.19	0	0	10,649	8,011
2013-09-19	$58.68	$60.00	17.5%	5.0%	17.5%	27.7%	22.5%	-1.3%	4.5%	818.5K	-8.2M	-156.2K	0.00	99.60	2	0	10,648	8,004
2013-09-20	$58.53	$60.00	18.0%	5.2%	16.5%	29.9%	0.0%	-6.5%	3.1%	671.7K	-8.1M	-153.5K	0.50	91.92	4	2	10,650	8,004
2013-09-23	$59.26	$60.00	18.8%	5.4%	17.1%	33.3%	18.3%	4.7%	4.8%	309.2K	-7.3M	-152.1K	0.14	96.88	36	5	9,254	7,900
2013-09-24	$59.57	$60.00	18.6%	5.3%	17.2%	32.5%	0.0%	-0.4%	5.0%	276.6K	-8.9M	-153.5K	0.00	98.11	6	0	9,282	7,905
2013-09-25	$59.24	$60.00	18.7%	5.4%	16.5%	32.8%	18.7%	-1.3%	5.0%	318.3K	-8.0M	-148.8K	0.00	98.03	12	0	9,287	7,905
2013-09-26	$59.70	$60.00	18.2%	5.2%	16.6%	30.9%	0.0%	0.7%	5.3%	281.0K	-9.2M	-151.1K	0.00	98.55	12	0	9,299	7,905
2013-09-27	$59.98	$60.00	17.6%	5.1%	16.0%	28.2%	0.0%	1.7%	6.4%	230.0K	-10.7M	-151.9K	0.00	99.19	4	0	9,291	7,905
2013-09-30	$60.00	$60.00	18.3%	5.2%	15.3%	31.1%	0.0%	1.4%	6.0%	255.4K	-10.5M	-146.2K	0.00	98.17	5	0	9,289	7,905