IT Options History — June 2014

In June 2014, IT traded between $68.81 and $72.46. ATM implied volatility averaged 17.4%, placing in the 23.2% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 3.9% (HV 20d: 13.5%). Max pain ranged from $70.00 to $70.00. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 1.57.

Notable Days

2014-06-20: Highest Volume — 102 contracts
2014-06-05: Largest IV spike — 17.1% change
2014-06-10: Highest IV Rank — 30.9%
2014-06-09: Largest Expected Move — 5.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$70.43	$68.81	$72.46	$71.17	$70.52
Max Pain	$70.00	$70.00	$70.00	$70.00	$70.00
ATM IV	17.4%	15.3%	19.2%	18.4%	16.9%
Expected Move	5.0%	4.4%	5.5%	5.3%	4.9%
HV 20d	13.5%	9.8%	19.6%	19.6%	13.1%
HV 60d	24.8%	23.0%	25.7%	25.5%	23.2%
IV Rank	23.2%	13.7%	30.9%	27.7%	21.0%
IV Percentile	20.2%	7.1%	46.8%	32.5%	13.9%
Term Structure	3.6%	-0.3%	8.1%	-0.3%	5.7%
VWIV	17.6%	16.0%	18.5%	18.5%	16.7%
Skew 25d	3.5%	-2.2%	10.9%	4.2%	5.5%
Skew 10d	7.4%	-2.1%	36.0%	5.1%	9.5%
Call IV 25d	16.0%	13.5%	19.1%	14.4%	14.7%
Put IV 25d	19.5%	14.1%	25.8%	18.6%	20.3%
Bid-Ask Spread %	95.13	86.70	109.06	95.13	98.18
Gamma HHI	0.33	0.24	0.50	0.39	0.24
Net GEX	39.9K	-90.5K	178.7K	94.2K	-64.8K
Net DEX	1.0M	-494.6K	2.3M	174.1K	1.6M
Net VEX	-19.5K	-22.3K	-17.4K	-20.7K	-17.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.57	0.00	8.00	8.00	1.11
Total Volume	32.476	0	102	90	19
Total OI	1,985.143	1,585	2,168	1,994	1,664

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
2014-06-02	$71.17	$70.00	18.4%	5.3%	19.6%	27.7%	18.5%	4.2%	-0.3%	94.2K	174.1K	-20.7K	8.00	95.13	10	80	977	1,017
2014-06-03	$71.28	$70.00	18.1%	5.2%	18.3%	26.1%	18.1%	3.0%	0.1%	83.1K	248.5K	-21.6K	0.00	86.70	0	40	987	1,095
2014-06-04	$72.46	$70.00	15.3%	4.4%	18.6%	13.7%	0.0%	2.3%	6.8%	141.6K	-494.6K	-21.4K	0.29	96.86	35	10	987	1,105
2014-06-05	$72.00	$70.00	17.9%	5.1%	18.1%	25.1%	18.3%	1.5%	1.3%	130.5K	-369.4K	-22.3K	3.60	96.14	5	18	1,013	1,108
2014-06-06	$72.05	$70.00	17.3%	5.3%	16.4%	22.9%	17.6%	2.2%	2.9%	127.8K	-324.5K	-22.0K	1.22	88.81	23	28	1,018	1,122
2014-06-09	$71.97	$70.00	16.5%	5.5%	16.2%	19.3%	0.0%	3.5%	2.5%	139.0K	-266.9K	-21.5K	0.00	89.41	0	0	1,040	1,105
2014-06-10	$71.40	$70.00	19.2%	5.2%	14.6%	30.9%	18.5%	-0.7%	3.4%	106.4K	45.6K	-21.0K	0.00	90.79	0	2	1,040	1,105
2014-06-11	$70.75	$70.00	18.2%	5.2%	14.8%	26.6%	0.0%	2.4%	2.8%	62.4K	583.3K	-20.4K	0.00	91.77	22	0	1,040	1,107
2014-06-12	$70.20	$70.00	18.2%	5.2%	14.1%	26.6%	0.0%	2.7%	3.1%	42.0K	1.1M	-19.8K	0.56	94.79	43	24	1,041	1,107
2014-06-13	$70.10	$70.00	17.9%	5.1%	12.8%	25.4%	0.0%	1.1%	2.7%	44.4K	1.1M	-19.8K	0.00	90.05	10	0	1,030	1,123
2014-06-16	$69.58	$70.00	18.4%	5.3%	10.5%	27.5%	18.4%	2.5%	2.5%	26.9K	1.5M	-18.8K	0.11	89.04	28	3	1,020	1,123
2014-06-17	$70.02	$70.00	18.0%	5.2%	10.4%	25.6%	18.2%	3.3%	3.0%	55.5K	1.2M	-19.2K	4.00	92.80	3	12	1,033	1,123
2014-06-18	$69.77	$70.00	17.9%	5.1%	10.4%	25.5%	0.0%	6.0%	2.7%	37.3K	1.4M	-18.6K	0.00	94.31	0	20	1,034	1,134
2014-06-19	$69.34	$70.00	17.1%	4.9%	10.6%	21.8%	17.1%	6.6%	3.3%	40.7K	1.7M	-18.0K	1.00	97.43	5	5	1,027	1,117
2014-06-20	$69.67	$70.00	17.1%	4.9%	10.7%	21.8%	0.0%	2.8%	3.8%	178.7K	1.8M	-17.6K	2.92	98.94	26	76	1,030	1,112
2014-06-23	$69.43	$70.00	17.4%	5.0%	10.0%	23.2%	0.0%	5.9%	4.3%	-81.0K	2.0M	-18.1K	0.35	96.01	23	8	532	1,053
2014-06-24	$68.81	$70.00	16.2%	4.6%	9.8%	17.7%	16.2%	6.2%	7.0%	-87.5K	2.1M	-17.5K	0.97	99.98	29	28	555	1,058
2014-06-25	$69.42	$70.00	16.0%	4.6%	10.5%	17.0%	16.0%	3.1%	8.1%	-78.9K	2.0M	-17.8K	0.83	109.06	12	10	557	1,065
2014-06-26	$68.90	$70.00	17.0%	4.9%	10.8%	21.4%	0.0%	-2.2%	5.1%	-90.5K	2.3M	-17.4K	0.00	98.71	0	0	567	1,075
2014-06-27	$70.20	$70.00	16.7%	4.8%	12.9%	20.0%	16.7%	10.9%	5.7%	-69.9K	1.8M	-18.5K	0.25	102.80	20	5	567	1,075
2014-06-30	$70.52	$70.00	16.9%	4.9%	13.1%	21.0%	0.0%	5.5%	5.7%	-64.8K	1.6M	-17.9K	1.11	98.18	9	10	584	1,080