IT Options History — September 2014

In September 2014, IT traded between $72.82 and $76.79. ATM implied volatility averaged 16.8%, placing in the 14.9% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 4.7% (HV 20d: 12.2%). Max pain ranged from $60.00 to $70.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 4.24.

Notable Days

2014-09-25: Highest Volume — 1,262 contracts
2014-09-30: Largest IV spike — 30.0% change
2014-09-30: Highest IV Rank — 32.7%
2014-09-16: Largest Expected Move — 6.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$75.06	$72.82	$76.79	$75.32	$73.47
Max Pain	$61.43	$60.00	$70.00	$60.00	$70.00
ATM IV	16.8%	13.5%	22.5%	15.9%	22.5%
Expected Move	5.7%	5.0%	6.0%	5.0%	5.8%
HV 20d	12.2%	9.1%	17.3%	17.3%	15.6%
HV 60d	15.5%	15.2%	15.9%	15.4%	15.3%
IV Rank	14.9%	4.2%	32.7%	12.0%	32.7%
IV Percentile	21.0%	1.6%	73.8%	11.9%	73.8%
Term Structure	3.1%	-0.2%	5.2%	-0.2%	0.3%
VWIV	21.7%	19.0%	24.5%	24.5%	21.0%
Skew 25d	5.0%	-0.6%	13.7%	5.3%	13.1%
Skew 10d	8.9%	-5.1%	26.0%	7.9%	18.6%
Call IV 25d	16.3%	11.0%	24.5%	11.0%	24.5%
Put IV 25d	21.3%	15.9%	37.7%	16.3%	37.7%
Bid-Ask Spread %	81.57	63.75	90.57	90.57	82.18
Gamma HHI	0.62	0.29	0.92	0.55	0.65
Net GEX	214.6K	-370.3K	1.3M	284.9K	-327.2K
Net DEX	-4.9M	-10.7M	4.8M	-9.1M	4.4M
Net VEX	-10.3K	-19.9K	-6.6K	-11.4K	-19.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	4.24	0.00	25.29	12.50	0.00
Total Volume	94.619	3	1,262	54	5
Total OI	2,392.238	786	3,131	2,965	1,989

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
2014-09-02	$75.32	$60.00	15.9%	5.0%	17.3%	12.0%	0.0%	5.3%	-0.2%	284.9K	-9.1M	-11.4K	12.50	90.57	4	50	1,762	1,203
2014-09-03	$75.08	$60.00	15.3%	5.2%	12.0%	9.9%	0.0%	4.3%	1.4%	298.6K	-8.8M	-11.0K	1.25	90.37	4	5	1,764	1,187
2014-09-04	$75.18	$60.00	15.7%	5.6%	10.5%	11.2%	0.0%	3.2%	1.2%	283.7K	-8.9M	-11.0K	1.51	86.23	41	62	1,764	1,192
2014-09-05	$75.89	$60.00	15.3%	5.8%	10.7%	10.2%	0.0%	5.6%	2.4%	225.1K	-9.6M	-10.2K	1.61	85.45	36	58	1,803	1,244
2014-09-08	$75.90	$60.00	16.1%	5.7%	9.8%	12.4%	24.5%	3.4%	2.8%	240.6K	-9.5M	-10.3K	0.55	84.37	40	22	1,833	1,291
2014-09-09	$75.33	$60.00	16.0%	5.7%	10.3%	12.2%	0.0%	9.4%	2.9%	270.7K	-8.9M	-10.4K	1.33	84.95	15	20	1,840	1,291
2014-09-10	$76.35	$60.00	13.5%	5.8%	10.6%	4.2%	0.0%	1.0%	3.8%	281.0K	-10.3M	-9.3K	20.00	69.77	1	20	1,855	1,271
2014-09-11	$76.63	$60.00	17.3%	5.8%	10.6%	16.5%	0.0%	0.5%	3.6%	299.6K	-10.6M	-8.9K	0.00	88.40	0	10	1,854	1,251
2014-09-12	$76.79	$60.00	17.6%	5.8%	10.6%	17.3%	0.0%	1.0%	2.9%	224.7K	-10.7M	-8.7K	4.00	77.20	2	8	1,854	1,261
2014-09-15	$76.34	$60.00	17.9%	5.8%	9.6%	18.2%	23.2%	-0.6%	2.3%	413.5K	-10.7M	-7.7K	0.91	76.06	11	10	1,852	1,257
2014-09-16	$76.36	$60.00	18.0%	6.0%	9.1%	18.5%	0.0%	1.0%	2.8%	267.4K	-10.6M	-7.8K	1.54	83.71	13	20	1,854	1,267
2014-09-17	$75.30	$60.00	17.5%	5.8%	10.1%	16.9%	0.0%	9.3%	3.6%	594.2K	-9.3M	-8.5K	0.00	82.68	0	6	1,865	1,265
2014-09-18	$75.75	$60.00	16.7%	5.8%	10.2%	14.6%	0.0%	5.1%	4.1%	573.8K	-2.7M	-7.7K	0.00	86.81	62	0	864	1,265
2014-09-19	$74.73	$60.00	16.9%	5.8%	11.5%	15.0%	19.0%	5.7%	2.9%	1.3M	456.9K	-7.5K	0.78	80.56	37	29	866	1,265
2014-09-22	$74.43	$60.00	16.7%	5.7%	11.5%	14.3%	0.0%	13.7%	3.1%	-15.8K	383.6K	-6.6K	0.00	86.16	12	0	243	543
2014-09-23	$73.18	$60.00	16.4%	5.9%	13.0%	13.6%	20.5%	4.8%	4.9%	-17.4K	570.3K	-6.8K	0.00	78.31	0	14	254	543
2014-09-24	$74.32	$60.00	16.6%	5.8%	14.1%	14.2%	0.0%	5.2%	4.8%	-7.5K	379.0K	-6.6K	0.39	63.75	23	9	254	533
2014-09-25	$72.82	$60.00	17.2%	5.9%	15.9%	15.9%	21.0%	3.7%	5.0%	-11.5K	587.1K	-7.0K	25.29	79.81	48	1,214	277	536
2014-09-26	$73.28	$70.00	17.4%	5.9%	16.1%	16.6%	0.0%	3.5%	4.6%	-370.3K	4.8M	-19.9K	0.46	81.38	50	23	325	1,609
2014-09-29	$73.81	$70.00	17.3%	5.9%	16.1%	16.4%	0.0%	6.6%	5.2%	-323.4K	4.5M	-19.9K	0.00	74.18	3	0	372	1,619
2014-09-30	$73.47	$70.00	22.5%	5.8%	15.6%	32.7%	0.0%	13.1%	0.3%	-327.2K	4.4M	-19.7K	0.00	82.18	0	5	370	1,619