IT Options History — May 2014

In May 2014, IT traded between $68.48 and $74.90. ATM implied volatility averaged 19.2%, placing in the 30.8% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded below realized volatility by 12.8% (HV 20d: 32.0%). Max pain ranged from $70.00 to $70.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 12.96.

Notable Days

2014-05-01: Highest Volume — 365 contracts
2014-05-15: Largest IV drop — 24.0% change
2014-05-14: Highest IV Rank — 53.0%
2014-05-06: Largest Expected Move — 6.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$70.99	$68.48	$74.90	$73.54	$71.09
Max Pain	$70.00	$70.00	$70.00	$70.00	$70.00
ATM IV	19.2%	17.2%	24.3%	18.7%	18.4%
Expected Move	5.4%	4.9%	6.1%	5.4%	5.3%
HV 20d	32.0%	20.9%	33.5%	32.5%	20.9%
HV 60d	26.2%	25.2%	29.3%	29.1%	25.6%
IV Rank	30.8%	22.1%	53.0%	28.7%	27.7%
IV Percentile	38.2%	13.1%	82.9%	38.5%	32.5%
Term Structure	0.9%	-0.8%	2.7%	-0.3%	-0.7%
VWIV	19.4%	16.6%	24.2%	17.6%	18.4%
Skew 25d	3.4%	0.1%	8.6%	0.1%	1.3%
Skew 10d	5.2%	0.2%	12.3%	0.3%	0.2%
Call IV 25d	17.0%	11.9%	20.1%	18.7%	16.3%
Put IV 25d	20.4%	17.1%	22.6%	18.8%	17.6%
Bid-Ask Spread %	91.21	84.11	97.80	97.24	91.89
Gamma HHI	0.34	0.28	0.47	0.36	0.39
Net GEX	103.0K	31.1K	165.3K	95.3K	101.5K
Net DEX	-416.1K	-3.0M	1.2M	-2.0M	46.7K
Net VEX	-17.7K	-21.1K	-10.9K	-10.9K	-21.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	12.96	0.00	95.00	0.49	20.00
Total Volume	62.667	1	365	365	21
Total OI	1,719.524	1,159	1,973	1,159	1,973

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
2014-05-01	$73.54	$70.00	18.7%	5.4%	32.5%	28.7%	17.6%	0.1%	-0.3%	95.3K	-2.0M	-10.9K	0.49	97.24	245	120	593	566
2014-05-02	$74.90	$70.00	18.5%	5.3%	32.4%	27.9%	18.7%	1.3%	-0.0%	137.1K	-3.0M	-15.4K	0.06	97.80	162	10	811	681
2014-05-05	$73.30	$70.00	18.0%	5.6%	32.6%	25.6%	20.9%	2.0%	1.0%	151.3K	-2.5M	-17.7K	3.35	86.39	23	77	913	691
2014-05-06	$72.24	$70.00	19.7%	6.1%	32.6%	33.1%	23.5%	4.3%	1.3%	129.0K	-1.7M	-19.0K	50.00	88.60	2	100	936	756
2014-05-07	$71.31	$70.00	22.1%	5.9%	33.2%	43.7%	20.9%	1.6%	1.4%	94.5K	-686.4K	-20.1K	20.00	84.57	2	40	935	854
2014-05-08	$69.88	$70.00	20.4%	5.8%	33.5%	36.4%	20.1%	3.0%	1.7%	78.5K	-286	-18.9K	0.00	86.86	25	0	935	823
2014-05-09	$69.50	$70.00	19.8%	5.6%	31.3%	33.3%	0.0%	3.2%	2.0%	65.7K	463.2K	-17.9K	0.63	84.11	16	10	933	823
2014-05-12	$71.06	$70.00	21.6%	5.7%	31.7%	41.5%	19.9%	3.0%	1.6%	121.1K	-540.7K	-18.4K	0.00	86.30	17	0	948	823
2014-05-13	$70.59	$70.00	20.1%	5.4%	31.7%	35.0%	19.1%	1.3%	2.5%	116.4K	-374.9K	-18.3K	0.00	88.39	0	1	942	823
2014-05-14	$69.57	$70.00	24.3%	5.5%	32.3%	53.0%	24.2%	6.1%	2.1%	74.3K	543.8K	-16.9K	0.20	91.87	5	1	942	823
2014-05-15	$68.48	$70.00	18.4%	5.3%	32.6%	27.7%	18.5%	5.1%	2.7%	31.1K	1.2M	-15.7K	0.50	90.06	2	1	934	813
2014-05-16	$70.01	$70.00	18.9%	5.4%	33.4%	29.8%	18.9%	8.3%	2.6%	165.3K	121.6K	-17.2K	0.12	92.47	84	10	934	812
2014-05-19	$70.51	$70.00	19.1%	5.5%	33.5%	30.5%	22.7%	2.3%	-0.8%	99.5K	-141.6K	-17.9K	0.00	86.21	0	10	944	752
2014-05-20	$70.40	$70.00	18.1%	5.2%	33.2%	26.2%	18.1%	2.9%	0.3%	95.1K	43.3K	-17.2K	0.58	89.10	12	7	944	742
2014-05-21	$70.11	$70.00	17.8%	5.1%	33.0%	24.7%	17.8%	0.9%	0.2%	92.0K	63.7K	-16.9K	0.00	92.72	0	10	950	749
2014-05-22	$70.01	$70.00	17.8%	5.1%	32.7%	24.7%	17.8%	7.5%	-0.2%	91.0K	57.9K	-16.9K	20.50	95.94	2	41	950	749
2014-05-23	$70.73	$70.00	17.4%	5.0%	32.3%	23.3%	17.5%	8.6%	0.5%	104.2K	-71.2K	-17.6K	1.50	96.20	2	3	950	779
2014-05-27	$71.29	$70.00	17.2%	4.9%	32.3%	22.1%	16.6%	0.5%	0.6%	128.2K	-365.1K	-17.4K	95.00	95.91	2	190	952	781
2014-05-28	$71.10	$70.00	18.0%	5.2%	32.2%	25.8%	0.0%	4.1%	-0.2%	99.3K	32.6K	-20.5K	20.00	96.08	1	20	950	965
2014-05-29	$71.10	$70.00	18.3%	5.2%	31.5%	26.8%	18.3%	4.2%	-0.2%	92.0K	143.0K	-20.6K	0.40	96.61	30	12	951	985
2014-05-30	$71.09	$70.00	18.4%	5.3%	20.9%	27.7%	18.4%	1.3%	-0.7%	101.5K	46.7K	-21.1K	20.00	91.89	1	20	976	997