IT Options History — February 2014

In February 2014, IT traded between $62.51 and $69.56. ATM implied volatility averaged 21.4%, placing in the 42.9% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded below realized volatility by 16.9% (HV 20d: 38.4%). Max pain ranged from $55.00 to $75.00. Net GEX was positive for 12 of 19 trading days. Term structure was in contango for 13 of 19 days. Put/call ratio averaged 2.90.

Notable Days

2014-02-13: Highest Volume — 501 contracts
2014-02-06: Largest IV drop — 39.4% change
2014-02-04: Highest IV Rank — 92.1%
2014-02-04: Largest Expected Move — 9.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$66.56	$62.51	$69.56	$65.71	$69.56
Max Pain	$59.21	$55.00	$75.00	$75.00	$55.00
ATM IV	21.4%	17.2%	33.2%	30.6%	17.5%
Expected Move	6.2%	4.9%	9.5%	8.8%	5.0%
HV 20d	38.4%	28.8%	40.8%	28.8%	39.9%
HV 60d	25.3%	21.9%	26.2%	22.0%	26.0%
IV Rank	42.9%	25.1%	92.1%	81.4%	26.6%
IV Percentile	53.7%	19.4%	99.2%	98.8%	22.6%
Term Structure	0.1%	-6.4%	3.4%	-5.0%	0.5%
VWIV	20.5%	16.2%	31.0%	19.0%	16.7%
Skew 25d	2.3%	-5.3%	10.0%	-5.3%	5.6%
Skew 10d	6.7%	-4.9%	27.0%	-4.9%	8.8%
Call IV 25d	20.3%	13.3%	30.1%	30.1%	15.8%
Put IV 25d	22.6%	18.4%	28.4%	24.8%	21.4%
Bid-Ask Spread %	93.56	87.98	100.31	93.71	90.37
Gamma HHI	0.49	0.25	0.84	0.42	0.74
Net GEX	22.9K	-291.6K	190.5K	190.5K	91.5K
Net DEX	-16.8M	-27.7M	-4.3M	-16.7M	-27.7M
Net VEX	-37.1K	-53.3K	-26.7K	-49.2K	-27.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.90	0.00	17.00	17.00	0.45
Total Volume	145.316	0	501	319	221
Total OI	10,392.158	9,628	11,056	10,176	9,946

Daily Data (19 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
2014-02-03	$65.71	$75.00	30.6%	8.8%	28.8%	81.4%	19.0%	-5.3%	-5.0%	190.5K	-16.7M	-49.2K	0.00	93.71	0	319	6,210	3,966
2014-02-04	$66.53	$75.00	33.2%	9.5%	29.2%	92.1%	29.1%	-1.5%	-6.4%	134.1K	-16.7M	-50.4K	17.00	92.05	5	85	6,210	4,213
2014-02-05	$66.57	$75.00	31.6%	9.0%	29.2%	85.3%	31.0%	-2.3%	-4.5%	106.1K	-17.0M	-53.3K	2.26	91.28	147	332	6,215	4,298
2014-02-06	$62.51	$75.00	19.1%	5.5%	36.1%	33.3%	16.2%	5.5%	-1.4%	-1.1K	-4.3M	-30.7K	1.63	95.21	35	57	6,362	4,630
2014-02-07	$65.33	$55.00	20.2%	6.1%	40.0%	37.8%	17.2%	3.4%	1.7%	15.1K	-11.9M	-43.5K	0.00	92.53	52	0	6,396	4,660
2014-02-10	$64.64	$55.00	20.1%	6.3%	40.1%	37.5%	0.0%	2.0%	0.7%	-6.6K	-10.8M	-40.2K	0.00	95.75	0	0	6,412	4,550
2014-02-11	$65.40	$55.00	19.7%	6.2%	40.0%	35.6%	0.0%	2.8%	1.3%	18.8K	-13.3M	-42.1K	0.00	95.92	0	0	6,412	4,550
2014-02-12	$66.25	$55.00	20.0%	6.2%	40.2%	36.8%	0.0%	-1.8%	1.5%	64.3K	-14.5M	-41.4K	3.33	93.49	3	10	6,412	4,550
2014-02-13	$67.06	$55.00	21.7%	6.2%	40.4%	44.0%	19.7%	3.2%	2.0%	80.8K	-18.0M	-43.3K	0.00	93.84	500	1	6,414	4,560
2014-02-14	$66.64	$55.00	20.2%	5.8%	40.4%	37.6%	18.1%	1.1%	3.4%	-6.4K	-16.7M	-39.3K	0.00	94.99	501	0	5,914	4,560
2014-02-18	$66.37	$55.00	20.0%	5.7%	40.4%	36.7%	20.3%	-1.0%	3.0%	-21.3K	-15.9M	-34.0K	1.14	96.92	14	16	5,914	4,560
2014-02-19	$65.74	$55.00	20.6%	5.9%	40.5%	39.4%	22.8%	3.4%	1.2%	-203.8K	-12.1M	-31.0K	2.21	90.79	28	62	5,593	4,575
2014-02-20	$65.77	$55.00	20.1%	5.8%	40.4%	37.4%	0.0%	3.2%	2.4%	-291.6K	-13.0M	-31.2K	0.00	100.31	0	0	5,589	4,614
2014-02-21	$66.54	$55.00	20.8%	6.0%	40.7%	40.4%	22.3%	10.0%	0.9%	-68.9K	-15.5M	-32.2K	1.27	98.17	15	19	5,589	4,614
2014-02-24	$67.55	$55.00	18.1%	5.2%	40.6%	28.8%	20.0%	3.3%	-0.2%	46.5K	-20.1M	-29.6K	0.43	87.98	76	33	5,582	4,046
2014-02-25	$68.14	$55.00	18.3%	5.3%	40.8%	30.0%	19.3%	2.1%	-0.1%	90.7K	-22.8M	-29.0K	11.00	88.78	1	11	5,651	4,078
2014-02-26	$68.96	$55.00	18.1%	5.2%	40.6%	29.0%	18.4%	5.1%	0.2%	103.5K	-24.6M	-30.3K	1.40	92.45	53	74	5,652	4,088
2014-02-27	$69.45	$55.00	17.2%	4.9%	40.7%	25.1%	17.4%	4.5%	1.1%	93.7K	-27.2M	-26.7K	1.39	93.00	38	53	5,704	4,162
2014-02-28	$69.56	$55.00	17.5%	5.0%	39.9%	26.6%	16.7%	5.6%	0.5%	91.5K	-27.7M	-27.2K	0.45	90.37	152	69	5,741	4,205