IT Options History — March 2014

In March 2014, IT traded between $67.06 and $73.35. ATM implied volatility averaged 18.1%, placing in the 29.1% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded below realized volatility by 2.1% (HV 20d: 20.2%). Max pain ranged from $55.00 to $70.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 3.47.

Notable Days

2014-03-05: Highest Volume — 250 contracts
2014-03-13: Largest IV spike — 59.6% change
2014-03-28: Highest IV Rank — 46.6%
2014-03-28: Largest Expected Move — 6.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$71.38	$67.06	$73.35	$69.50	$69.44
Max Pain	$67.14	$55.00	$70.00	$55.00	$70.00
ATM IV	18.1%	12.1%	22.3%	19.6%	18.6%
Expected Move	5.5%	4.9%	6.4%	5.6%	5.3%
HV 20d	20.2%	13.9%	39.9%	39.9%	24.3%
HV 60d	26.6%	26.0%	28.0%	26.0%	28.0%
IV Rank	29.1%	3.9%	46.6%	35.4%	31.2%
IV Percentile	36.6%	0.4%	68.7%	52.0%	38.1%
Term Structure	2.8%	-1.1%	6.5%	-0.4%	5.8%
VWIV	18.4%	13.7%	20.6%	15.2%	14.0%
Skew 25d	3.9%	0.4%	9.5%	4.7%	6.5%
Skew 10d	9.1%	-0.1%	33.3%	7.7%	10.4%
Call IV 25d	17.0%	10.4%	18.9%	17.1%	16.6%
Put IV 25d	20.9%	19.0%	23.1%	21.8%	23.1%
Bid-Ask Spread %	93.97	88.58	97.67	92.31	97.67
Gamma HHI	0.41	0.27	0.54	0.52	0.29
Net GEX	70.8K	-4.7K	117.0K	96.6K	-218
Net DEX	-26.8M	-40.8M	660.6K	-27.4M	60.3K
Net VEX	-14.0K	-27.9K	-8.4K	-27.9K	-9.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.47	0.00	31.00	1.67	0.27
Total Volume	50.571	1	250	32	52
Total OI	7,604.762	806	10,384	10,154	962

Daily Data (21 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
2014-03-03	$69.50	$55.00	19.6%	5.6%	39.9%	35.4%	15.2%	4.7%	-0.4%	96.6K	-27.4M	-27.9K	1.67	92.31	12	20	5,883	4,271
2014-03-04	$71.39	$55.00	20.5%	5.9%	32.1%	39.0%	20.5%	5.8%	-1.1%	95.3K	-33.5M	-24.1K	1.00	96.43	5	5	5,891	4,288
2014-03-05	$71.49	$55.00	19.8%	5.7%	32.0%	36.0%	19.7%	9.5%	-0.7%	97.5K	-34.1M	-22.8K	0.00	92.79	250	0	5,887	4,288
2014-03-06	$72.22	$55.00	17.0%	4.9%	32.1%	24.3%	13.7%	3.0%	6.5%	90.3K	-36.5M	-19.3K	0.33	96.15	66	22	5,887	4,288
2014-03-07	$73.00	$70.00	13.3%	5.5%	20.0%	9.0%	18.7%	3.3%	2.4%	92.8K	-38.6M	-17.0K	0.08	95.23	13	1	5,944	4,308
2014-03-10	$72.83	$70.00	12.1%	5.4%	15.0%	3.9%	18.7%	2.8%	2.0%	96.6K	-39.1M	-14.7K	0.02	91.59	58	1	5,957	4,309
2014-03-11	$72.65	$70.00	14.0%	5.3%	14.1%	11.6%	20.3%	2.2%	2.1%	108.9K	-38.6M	-15.6K	2.00	93.71	2	4	5,990	4,310
2014-03-12	$73.08	$70.00	13.1%	5.5%	13.9%	7.8%	0.0%	3.1%	2.2%	102.9K	-39.7M	-13.8K	0.00	93.78	0	10	5,989	4,312
2014-03-13	$71.82	$70.00	20.8%	6.0%	15.8%	40.4%	20.5%	0.4%	1.5%	117.0K	-37.1M	-16.1K	9.50	95.66	4	38	5,989	4,322
2014-03-14	$72.12	$70.00	20.5%	5.9%	15.6%	38.8%	20.6%	3.6%	2.6%	93.1K	-37.8M	-15.3K	0.00	91.80	0	18	5,990	4,360
2014-03-17	$72.49	$70.00	21.2%	6.1%	15.1%	41.9%	18.1%	4.7%	1.9%	82.5K	-38.6M	-12.8K	0.00	93.93	5	0	5,990	4,376
2014-03-18	$73.35	$70.00	17.6%	5.0%	15.0%	26.8%	17.9%	4.3%	3.1%	72.0K	-40.5M	-10.8K	0.06	93.39	32	2	5,992	4,376
2014-03-19	$72.54	$70.00	18.4%	5.3%	15.2%	30.0%	19.8%	3.4%	2.8%	84.0K	-39.6M	-11.4K	13.00	94.38	1	13	6,019	4,365
2014-03-20	$72.90	$70.00	18.4%	5.3%	15.1%	30.2%	0.0%	0.9%	2.7%	89.7K	-40.1M	-10.4K	0.00	95.87	1	0	6,016	4,352
2014-03-21	$72.70	$70.00	17.6%	5.0%	15.2%	26.8%	0.0%	1.6%	3.0%	70.1K	-40.8M	-9.1K	0.20	95.49	10	2	6,016	4,351
2014-03-24	$71.26	$70.00	19.5%	5.6%	16.9%	34.8%	18.3%	4.5%	5.6%	53.5K	-952.3K	-8.4K	0.58	88.58	26	15	487	319
2014-03-25	$70.74	$70.00	19.3%	5.5%	17.1%	34.0%	19.3%	3.7%	4.4%	42.3K	-769.5K	-8.5K	5.05	88.90	20	101	488	332
2014-03-26	$68.81	$70.00	18.5%	5.3%	19.6%	30.6%	18.5%	5.5%	5.1%	6.1K	32.7K	-9.3K	31.00	94.12	1	31	488	430
2014-03-27	$67.58	$70.00	19.0%	5.4%	20.4%	32.6%	18.9%	3.8%	4.8%	504	495.3K	-8.6K	0.22	95.47	179	40	488	430
2014-03-28	$67.06	$70.00	22.3%	6.4%	20.5%	46.6%	18.2%	3.9%	2.6%	-4.7K	660.6K	-8.8K	1.00	96.12	1	1	496	464
2014-03-31	$69.44	$70.00	18.6%	5.3%	24.3%	31.2%	14.0%	6.5%	5.8%	-218	60.3K	-9.4K	0.27	97.67	41	11	497	465