IT Options History — November 2013

In November 2013, IT traded between $57.82 and $65.60. ATM implied volatility averaged 20.4%, placing in the 39.1% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 1.0% (HV 20d: 19.4%). Max pain ranged from $60.00 to $60.00. Net GEX was positive for 9 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 5.41.

Notable Days

2013-11-18: Highest Volume — 397 contracts
2013-11-07: Largest IV drop — 57.8% change
2013-11-06: Highest IV Rank — 100.0%
2013-11-01: Largest Expected Move — 8.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$62.32	$57.82	$65.60	$59.19	$64.65
Max Pain	$60.00	$60.00	$60.00	$60.00	$60.00
ATM IV	20.4%	14.8%	35.1%	27.8%	19.2%
Expected Move	5.7%	5.0%	8.0%	8.0%	5.5%
HV 20d	19.4%	14.4%	20.9%	17.8%	18.7%
HV 60d	17.2%	16.0%	18.0%	16.4%	17.1%
IV Rank	39.1%	15.2%	100.0%	72.6%	33.4%
IV Percentile	40.0%	6.7%	100.0%	94.0%	36.9%
Term Structure	0.7%	-6.1%	3.7%	-6.1%	-1.1%
VWIV	16.8%	7.6%	22.3%	22.3%	19.1%
Skew 25d	1.3%	-4.0%	7.6%	-2.7%	-0.1%
Skew 10d	2.0%	-4.0%	12.2%	-1.6%	0.1%
Call IV 25d	17.1%	13.7%	24.5%	24.5%	15.9%
Put IV 25d	18.5%	12.4%	24.6%	21.8%	15.8%
Bid-Ask Spread %	97.88	91.50	103.16	99.98	99.08
Gamma HHI	0.28	0.24	0.34	0.24	0.30
Net GEX	-15.3K	-468.7K	618.8K	366.0K	-310.8K
Net DEX	-21.7M	-35.9M	-2.1M	-7.9M	-32.9M
Net VEX	-89.1K	-109.1K	-72.7K	-109.1K	-76.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	5.41	0.00	58.00	0.00	0.00
Total Volume	54.8	0	397	2	0
Total OI	14,863.05	14,588	15,332	14,663	15,332

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
2013-11-01	$59.19	$60.00	27.8%	8.0%	17.8%	72.6%	0.0%	-2.7%	-6.1%	366.0K	-7.9M	-109.1K	0.00	99.98	2	0	8,249	6,414
2013-11-04	$58.85	$60.00	29.4%	6.5%	17.7%	79.8%	0.0%	6.0%	0.8%	400.0K	-6.9M	-106.0K	0.00	94.17	0	25	8,250	6,414
2013-11-05	$58.45	$60.00	30.1%	6.5%	16.8%	82.6%	22.3%	6.0%	1.2%	422.4K	-5.5M	-107.2K	1.04	94.16	24	25	8,250	6,439
2013-11-06	$58.50	$60.00	35.1%	5.9%	15.9%	100.0%	15.3%	5.5%	3.7%	453.6K	-5.8M	-104.7K	58.00	98.00	1	58	8,274	6,464
2013-11-07	$57.82	$60.00	14.8%	5.1%	14.4%	15.2%	0.0%	2.1%	2.7%	618.8K	-2.1M	-94.3K	0.00	98.73	0	0	8,275	6,434
2013-11-08	$60.24	$60.00	15.6%	5.5%	20.7%	18.5%	14.4%	1.7%	3.0%	348.2K	-11.9M	-92.8K	0.00	91.50	0	1	8,275	6,334
2013-11-11	$60.78	$60.00	14.9%	5.6%	20.9%	15.7%	19.2%	-3.1%	2.8%	233.1K	-15.0M	-92.6K	0.00	94.82	121	0	8,275	6,334
2013-11-12	$61.33	$60.00	15.3%	5.4%	20.6%	17.2%	0.0%	4.4%	2.4%	220.0K	-17.7M	-89.7K	0.00	101.44	0	0	8,395	6,334
2013-11-13	$62.27	$60.00	20.5%	5.9%	20.6%	39.0%	0.0%	3.8%	0.3%	57.9K	-21.0M	-90.8K	0.00	98.36	0	0	8,395	6,334
2013-11-14	$63.06	$60.00	17.3%	5.0%	20.6%	25.8%	19.3%	1.9%	3.1%	-143.4K	-24.6M	-89.5K	8.00	96.03	1	8	8,395	6,324
2013-11-15	$63.49	$60.00	17.6%	5.0%	20.5%	26.9%	7.6%	-4.0%	2.6%	-288.3K	-27.1M	-84.0K	0.08	103.16	12	1	8,395	6,332
2013-11-18	$64.21	$60.00	18.4%	5.3%	20.7%	30.3%	18.4%	-0.9%	-0.1%	-375.8K	-28.6M	-83.6K	0.13	97.93	352	45	8,334	6,254
2013-11-19	$64.57	$60.00	18.9%	5.4%	20.6%	32.4%	18.9%	-0.4%	0.0%	-295.1K	-30.8M	-83.8K	0.00	98.29	102	0	8,671	6,299
2013-11-20	$64.34	$60.00	18.5%	5.3%	20.2%	30.6%	14.8%	-1.1%	0.5%	-259.8K	-30.7M	-84.6K	0.00	100.53	6	0	8,769	6,299
2013-11-21	$64.45	$60.00	18.7%	5.3%	20.2%	31.3%	17.3%	-1.6%	0.1%	-262.1K	-31.2M	-85.0K	1.87	99.59	30	56	8,766	6,299
2013-11-22	$64.59	$60.00	18.6%	5.3%	20.2%	30.9%	13.8%	-1.5%	-0.1%	-297.5K	-32.0M	-81.6K	0.00	98.83	12	0	8,790	6,355
2013-11-25	$64.55	$60.00	19.4%	5.6%	20.3%	34.4%	0.0%	0.2%	-1.1%	-291.1K	-31.7M	-79.1K	0.00	99.32	0	0	8,783	6,355
2013-11-26	$65.37	$60.00	18.6%	5.3%	20.4%	30.9%	18.0%	7.6%	-0.1%	-433.7K	-35.0M	-75.8K	1.18	95.10	51	60	8,783	6,355
2013-11-27	$65.60	$60.00	19.1%	5.5%	19.5%	33.3%	19.1%	2.9%	-0.6%	-468.7K	-35.9M	-72.7K	0.00	98.65	103	0	8,832	6,400
2013-11-29	$64.65	$60.00	19.2%	5.5%	18.7%	33.4%	0.0%	-0.1%	-1.1%	-310.8K	-32.9M	-76.0K	0.00	99.08	0	0	8,932	6,400