IT Options History — August 2014

In August 2014, IT traded between $68.50 and $74.59. ATM implied volatility averaged 20.6%, placing in the 32.6% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 2.8% (HV 20d: 17.8%). Max pain ranged from $55.00 to $60.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 4.17.

Notable Days

2014-08-01: Highest Volume — 1,050 contracts
2014-08-13: Largest IV spike — 161.9% change
2014-08-13: Highest IV Rank — 100.0%
2014-08-04: Largest Expected Move — 6.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$72.64	$68.50	$74.59	$68.50	$74.59
Max Pain	$55.95	$55.00	$60.00	$55.00	$60.00
ATM IV	20.6%	14.8%	43.9%	32.5%	15.0%
Expected Move	5.8%	4.8%	6.5%	6.4%	4.8%
HV 20d	17.8%	10.2%	19.2%	10.2%	17.5%
HV 60d	15.6%	14.7%	16.6%	15.1%	15.3%
IV Rank	32.6%	8.4%	100.0%	88.8%	9.2%
IV Percentile	38.8%	4.4%	100.0%	99.2%	6.0%
Term Structure	1.1%	-8.6%	3.3%	-8.6%	1.0%
VWIV	24.7%	19.6%	34.8%	19.6%	24.5%
Skew 25d	4.1%	1.2%	9.2%	9.2%	2.9%
Skew 10d	11.8%	3.5%	32.8%	27.6%	5.2%
Call IV 25d	16.1%	11.7%	28.6%	28.6%	11.7%
Put IV 25d	20.2%	13.8%	37.8%	37.8%	14.6%
Bid-Ask Spread %	81.51	57.48	96.59	93.16	89.16
Gamma HHI	0.47	0.28	0.57	0.28	0.44
Net GEX	448.4K	18.6K	619.0K	18.6K	336.0K
Net DEX	-6.4M	-8.8M	1.9M	1.9M	-8.0M
Net VEX	-20.7K	-27.6K	-13.2K	-17.5K	-13.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	4.17	0.00	20.17	0.03	0.00
Total Volume	101.81	2	1,050	1,050	35
Total OI	3,261.905	2,374	3,754	2,374	2,956

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
2014-08-01	$68.50	$55.00	32.5%	6.4%	10.2%	88.8%	0.0%	9.2%	-8.6%	18.6K	1.9M	-17.5K	0.03	93.16	1,020	30	1,142	1,232
2014-08-04	$69.40	$55.00	34.1%	6.5%	11.4%	95.8%	0.0%	6.3%	-1.7%	372.3K	-1.8M	-27.6K	0.09	86.36	290	26	2,146	1,257
2014-08-05	$72.08	$55.00	19.5%	5.9%	17.9%	32.4%	19.6%	4.2%	1.6%	540.2K	-7.8M	-27.1K	20.17	74.11	6	121	2,436	1,262
2014-08-06	$71.09	$55.00	22.2%	6.3%	18.4%	43.9%	34.8%	3.4%	2.0%	566.9K	-6.6M	-26.5K	9.00	80.32	6	54	2,438	1,255
2014-08-07	$71.08	$55.00	21.8%	6.2%	17.9%	42.1%	19.9%	2.8%	1.7%	573.0K	-6.4M	-26.6K	0.27	57.48	11	3	2,440	1,288
2014-08-08	$72.15	$55.00	19.3%	6.5%	18.5%	31.4%	0.0%	5.1%	1.6%	556.2K	-7.9M	-25.6K	0.00	68.57	0	67	2,449	1,288
2014-08-11	$72.60	$55.00	30.9%	5.9%	18.6%	81.8%	0.0%	3.8%	2.4%	523.7K	-8.8M	-24.5K	20.00	74.34	3	60	2,449	1,305
2014-08-12	$72.16	$55.00	16.8%	5.9%	18.7%	20.3%	0.0%	3.3%	2.0%	527.0K	-7.3M	-23.6K	1.18	76.82	38	45	2,296	1,304
2014-08-13	$72.51	$55.00	43.9%	5.4%	18.7%	100.0%	0.0%	3.5%	3.1%	547.5K	-7.7M	-23.4K	2.50	96.59	2	5	2,319	1,336
2014-08-14	$72.93	$55.00	17.6%	5.6%	18.0%	17.3%	0.0%	2.7%	3.3%	619.0K	-8.3M	-22.3K	0.00	93.43	2	0	2,313	1,318
2014-08-15	$72.06	$55.00	19.3%	6.0%	18.6%	22.5%	0.0%	2.0%	2.5%	490.6K	-7.5M	-22.8K	0.00	86.32	5	0	2,303	1,318
2014-08-18	$72.91	$55.00	16.1%	5.7%	18.8%	12.6%	0.0%	1.5%	1.3%	377.0K	-4.4M	-21.7K	0.00	91.05	0	45	1,759	1,204
2014-08-19	$73.78	$55.00	15.7%	5.6%	19.1%	11.4%	0.0%	4.2%	1.6%	467.2K	-6.7M	-17.5K	6.00	80.22	5	30	1,759	1,203
2014-08-20	$73.69	$55.00	16.2%	5.9%	19.2%	12.9%	0.0%	5.8%	0.9%	464.1K	-6.6M	-17.9K	1.00	78.18	20	20	1,759	1,194
2014-08-21	$73.85	$55.00	15.5%	5.7%	19.1%	10.7%	0.0%	3.9%	1.3%	447.0K	-7.0M	-16.4K	0.00	78.14	0	47	1,778	1,191
2014-08-22	$74.02	$55.00	15.9%	5.6%	19.0%	11.8%	0.0%	4.8%	1.0%	403.8K	-6.2M	-19.5K	0.20	77.16	54	11	1,778	1,192
2014-08-25	$73.78	$55.00	15.5%	5.0%	18.9%	10.8%	24.5%	5.6%	1.1%	394.7K	-5.9M	-18.7K	0.00	88.82	0	13	1,751	1,203
2014-08-26	$74.12	$60.00	15.5%	5.5%	18.7%	10.7%	0.0%	6.1%	1.4%	372.6K	-7.4M	-14.9K	10.00	82.20	3	30	1,751	1,213
2014-08-27	$74.14	$60.00	15.1%	5.5%	18.7%	9.4%	0.0%	1.2%	1.2%	396.7K	-7.4M	-14.4K	0.50	86.20	10	5	1,752	1,208
2014-08-28	$74.03	$60.00	14.8%	5.9%	17.5%	8.4%	0.0%	3.8%	1.9%	421.8K	-7.3M	-13.3K	0.00	72.97	16	0	1,752	1,203
2014-08-29	$74.59	$60.00	15.0%	4.8%	17.5%	9.2%	0.0%	2.9%	1.0%	336.0K	-8.0M	-13.2K	0.00	89.16	35	0	1,753	1,203