IT Options History — November 2014

In November 2014, IT traded between $80.40 and $86.30. ATM implied volatility averaged 21.0%, placing in the 19.3% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded below realized volatility by 0.4% (HV 20d: 21.4%). Max pain ranged from $75.00 to $80.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 13 of 19 days. Put/call ratio averaged 8.70.

Notable Days

2014-11-03: Highest Volume — 1,519 contracts
2014-11-06: Largest IV drop — 42.9% change
2014-11-05: Highest IV Rank — 51.3%
2014-11-04: Largest Expected Move — 6.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$84.24	$80.40	$86.30	$80.80	$85.48
Max Pain	$77.63	$75.00	$80.00	$75.00	$80.00
ATM IV	21.0%	17.0%	35.6%	34.6%	17.6%
Expected Move	6.2%	6.0%	6.5%	6.4%	6.1%
HV 20d	21.4%	16.8%	23.8%	17.5%	21.8%
HV 60d	18.2%	15.5%	19.0%	15.5%	19.0%
IV Rank	19.3%	10.7%	51.3%	49.1%	12.0%
IV Percentile	49.8%	19.4%	98.4%	98.0%	31.3%
Term Structure	0.3%	-10.1%	4.8%	-9.5%	0.3%
VWIV	23.9%	21.3%	26.8%	24.7%	22.0%
Skew 25d	3.2%	-3.6%	7.2%	7.2%	6.1%
Skew 10d	4.7%	-9.3%	19.1%	19.1%	8.2%
Call IV 25d	20.4%	13.3%	34.2%	30.5%	13.3%
Put IV 25d	23.7%	18.7%	38.5%	37.7%	19.4%
Bid-Ask Spread %	70.83	59.13	82.73	82.73	72.91
Gamma HHI	0.60	0.38	0.84	0.47	0.84
Net GEX	-741.8K	-1.1M	-405.4K	-813.5K	-820.2K
Net DEX	592.7K	-3.4M	4.5M	4.5M	1.3M
Net VEX	-16.8K	-27.1K	-11.0K	-25.1K	-13.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	8.70	1.13	82.33	3.96	6.00
Total Volume	678.053	9	1,519	1,519	35
Total OI	4,683.368	2,699	5,896	3,913	2,730

Daily Data (19 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
2014-11-03	$80.80	$75.00	34.6%	6.4%	17.5%	49.1%	24.7%	7.2%	-9.5%	-813.5K	4.5M	-25.1K	3.96	82.73	306	1,213	467	3,446
2014-11-04	$80.55	$75.00	35.4%	6.5%	16.8%	50.8%	25.9%	5.3%	-10.1%	-759.4K	4.1M	-25.9K	1.13	77.47	190	215	667	3,470
2014-11-05	$80.40	$75.00	35.6%	6.5%	16.9%	51.3%	26.8%	4.3%	-9.0%	-726.7K	4.5M	-27.1K	4.48	77.73	226	1,013	749	3,472
2014-11-06	$84.70	$75.00	20.3%	6.1%	22.8%	17.9%	25.4%	2.9%	-0.6%	-602.2K	-2.0M	-15.3K	4.72	67.45	237	1,119	759	4,185
2014-11-07	$83.57	$75.00	18.5%	6.0%	23.8%	14.0%	26.1%	-3.6%	3.7%	-909.4K	595.3K	-19.9K	4.46	76.75	251	1,119	754	4,693
2014-11-10	$83.97	$75.00	20.2%	6.2%	22.5%	17.7%	26.2%	1.4%	2.4%	-1.1M	3.4M	-25.5K	1.88	59.13	251	471	780	4,688
2014-11-11	$84.49	$80.00	18.1%	6.1%	22.5%	13.2%	23.6%	2.9%	3.3%	-804.4K	266.7K	-15.9K	1.73	71.83	253	438	669	4,673
2014-11-12	$85.58	$75.00	17.9%	6.1%	21.6%	12.8%	22.9%	0.6%	3.0%	-566.6K	-2.3M	-13.8K	2.88	61.79	237	682	784	4,679
2014-11-13	$85.64	$75.00	17.9%	6.1%	21.5%	12.8%	24.3%	1.8%	3.3%	-776.5K	-1.7M	-14.9K	3.94	63.95	173	682	786	4,870
2014-11-14	$86.05	$75.00	18.4%	6.0%	21.4%	13.7%	21.4%	3.2%	2.6%	-405.4K	-3.1M	-12.2K	2.00	73.91	12	24	791	4,620
2014-11-17	$86.30	$80.00	18.8%	6.0%	21.5%	14.6%	22.1%	5.8%	2.1%	-446.7K	-3.4M	-11.4K	3.80	69.42	183	696	792	4,640
2014-11-18	$85.77	$80.00	18.2%	6.0%	21.6%	13.2%	21.6%	0.2%	3.2%	-433.3K	-3.3M	-11.0K	2.35	70.12	192	451	793	4,640
2014-11-19	$85.07	$80.00	19.0%	6.3%	22.2%	15.1%	21.3%	3.4%	3.2%	-488.4K	-2.0M	-11.9K	82.33	75.10	6	494	804	4,650
2014-11-20	$83.98	$80.00	18.2%	6.2%	22.7%	13.3%	22.3%	1.4%	3.5%	-1.1M	2.3M	-17.3K	2.29	69.14	196	448	783	5,103
2014-11-21	$84.08	$80.00	17.2%	6.3%	22.7%	11.2%	25.0%	2.9%	4.8%	-872.5K	1.8M	-16.8K	2.38	62.87	199	473	793	5,103
2014-11-24	$84.89	$80.00	17.8%	6.2%	22.6%	12.5%	0.0%	6.5%	-0.8%	-780.6K	2.0M	-14.3K	24.00	69.76	1	24	391	2,308
2014-11-25	$84.68	$80.00	17.4%	6.1%	21.6%	11.6%	22.0%	4.9%	0.7%	-810.8K	2.2M	-14.5K	2.34	68.16	109	255	392	2,332
2014-11-26	$84.49	$80.00	17.0%	6.2%	21.7%	10.7%	0.0%	4.0%	-0.5%	-841.5K	2.3M	-14.2K	0.00	75.51	0	9	392	2,336
2014-11-28	$85.48	$80.00	17.6%	6.1%	21.8%	12.0%	0.0%	6.1%	0.3%	-820.2K	1.3M	-13.0K	6.00	72.91	5	30	391	2,339