IT Options History — April 2014

In April 2014, IT traded between $65.73 and $70.31. ATM implied volatility averaged 24.1%, placing in the 52.8% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded below realized volatility by 0.8% (HV 20d: 24.9%). Max pain ranged from $70.00 to $70.00. Net GEX was positive for 9 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 3.48.

Notable Days

2014-04-15: Highest Volume — 233 contracts
2014-04-10: Largest IV spike — 69.4% change
2014-04-28: Highest IV Rank — 79.9%
2014-04-28: Largest Expected Move — 8.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$67.67	$65.73	$70.31	$70.31	$68.94
Max Pain	$70.00	$70.00	$70.00	$70.00	$70.00
ATM IV	24.1%	14.6%	30.4%	18.6%	27.3%
Expected Move	7.3%	5.2%	8.7%	5.3%	7.8%
HV 20d	24.9%	21.9%	27.0%	22.7%	22.7%
HV 60d	28.9%	26.1%	29.5%	28.1%	26.1%
IV Rank	52.8%	14.1%	79.9%	31.0%	66.2%
IV Percentile	71.4%	4.4%	98.4%	37.3%	92.1%
Term Structure	-2.4%	-5.9%	5.6%	5.5%	-5.0%
VWIV	25.5%	18.0%	31.0%	18.0%	27.5%
Skew 25d	3.9%	-1.6%	9.3%	7.9%	9.3%
Skew 10d	6.1%	-1.9%	16.6%	13.0%	9.2%
Call IV 25d	23.1%	15.4%	27.5%	15.4%	23.8%
Put IV 25d	27.0%	21.9%	33.0%	23.3%	33.0%
Bid-Ask Spread %	93.11	86.72	97.24	97.20	93.08
Gamma HHI	0.32	0.27	0.38	0.33	0.33
Net GEX	194	-14.6K	16.5K	16.5K	10.3K
Net DEX	612.0K	-465.8K	1.4M	-465.8K	92.3K
Net VEX	-9.5K	-11.1K	-7.3K	-9.8K	-10.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.48	0.00	12.00	12.00	0.14
Total Volume	31.143	0	233	0	126
Total OI	1,056.857	990	1,290	1,001	1,049

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
2014-04-01	$70.31	$70.00	18.6%	5.3%	22.7%	31.0%	0.0%	7.9%	5.5%	16.5K	-465.8K	-9.8K	0.00	97.20	0	0	536	465
2014-04-02	$70.12	$70.00	18.0%	5.2%	22.7%	28.5%	18.0%	6.1%	5.3%	13.7K	-430.7K	-9.6K	12.00	97.24	2	24	536	465
2014-04-03	$69.21	$70.00	18.1%	5.2%	22.6%	29.1%	18.1%	5.7%	5.6%	-2.7K	68.5K	-9.6K	0.00	97.20	0	5	538	489
2014-04-04	$67.85	$70.00	14.6%	7.1%	22.9%	14.4%	26.0%	1.9%	-3.0%	-6.0K	657.7K	-8.8K	0.00	86.72	0	24	538	491
2014-04-07	$66.89	$70.00	21.8%	7.6%	23.2%	42.3%	26.2%	3.0%	-2.4%	-2.8K	902.2K	-7.9K	0.00	89.63	0	23	538	477
2014-04-08	$67.28	$70.00	20.8%	7.8%	23.5%	37.8%	0.0%	6.6%	-2.8%	-2.7K	910.9K	-7.8K	0.75	90.14	4	3	538	488
2014-04-09	$68.63	$70.00	15.3%	7.3%	24.8%	14.1%	27.5%	2.4%	-2.5%	908	440.9K	-8.7K	0.00	91.63	73	0	538	489
2014-04-10	$66.49	$70.00	26.0%	7.4%	26.3%	60.4%	25.3%	2.4%	-2.8%	4.5K	963.9K	-8.0K	3.75	94.20	4	15	584	489
2014-04-11	$65.73	$70.00	26.5%	7.6%	26.3%	62.7%	26.8%	2.8%	-2.8%	-1.9K	1.2M	-7.6K	7.00	90.10	1	7	585	500
2014-04-14	$66.56	$70.00	28.0%	8.0%	26.8%	69.1%	27.8%	4.2%	-4.4%	8.1K	1.2M	-7.3K	2.67	93.39	6	16	584	498
2014-04-15	$66.81	$70.00	27.8%	8.0%	26.3%	68.3%	25.5%	5.0%	-3.9%	7.2K	1.2M	-7.6K	8.32	89.83	25	208	589	514
2014-04-16	$67.75	$70.00	25.2%	7.2%	27.0%	57.0%	25.1%	3.1%	-3.2%	-12.2K	1.3M	-11.0K	0.91	94.18	11	10	586	689
2014-04-17	$67.57	$70.00	24.3%	7.0%	26.8%	53.0%	24.3%	2.8%	-2.2%	-8.9K	1.4M	-11.1K	1.00	93.82	1	1	597	693
2014-04-21	$67.50	$70.00	28.7%	8.2%	26.8%	72.2%	24.9%	1.8%	-5.9%	-1.6K	387.9K	-10.5K	0.00	94.21	7	0	465	525
2014-04-22	$68.40	$70.00	25.3%	7.2%	26.7%	57.3%	25.1%	6.3%	-3.1%	12.5K	128.2K	-10.7K	0.40	93.78	5	2	472	525
2014-04-23	$67.63	$70.00	25.4%	7.3%	26.9%	57.8%	0.0%	3.0%	-3.2%	5.6K	302.0K	-10.6K	0.00	93.96	0	0	476	526
2014-04-24	$67.03	$70.00	28.5%	8.2%	25.3%	71.4%	28.6%	5.2%	-5.2%	-4.0K	521.9K	-10.3K	3.33	92.42	6	20	476	526
2014-04-25	$66.15	$70.00	28.0%	8.0%	24.9%	69.4%	0.0%	-1.6%	-4.6%	-14.6K	834.7K	-10.2K	8.50	94.34	2	17	482	546
2014-04-28	$66.66	$70.00	30.4%	8.7%	25.0%	79.9%	0.0%	0.4%	-5.6%	-14.3K	767.8K	-10.5K	0.00	94.38	0	1	483	563
2014-04-29	$67.56	$70.00	27.6%	7.9%	21.9%	67.4%	31.0%	3.3%	-4.0%	-3.5K	496.8K	-10.6K	0.00	93.96	0	5	483	563
2014-04-30	$68.94	$70.00	27.3%	7.8%	22.7%	66.2%	27.5%	9.3%	-5.0%	10.3K	92.3K	-10.7K	0.14	93.08	111	15	483	566