IT Options History — January 2015

In January 2015, IT traded between $81.35 and $85.86. ATM implied volatility averaged 27.4%, placing in the 33.5% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 8.9% (HV 20d: 18.5%). Max pain ranged from $85.00 to $85.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 1 of 20 days. Put/call ratio averaged 3.13.

Notable Days

2015-01-30: Highest Volume — 318 contracts
2015-01-12: Largest IV spike — 122.0% change
2015-01-12: Highest IV Rank — 72.2%
2015-01-30: Largest Expected Move — 8.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$83.76	$81.35	$85.86	$83.68	$84.19
Max Pain	$85.00	$85.00	$85.00	$85.00	$85.00
ATM IV	27.4%	16.9%	45.2%	19.1%	29.7%
Expected Move	7.8%	7.2%	8.5%	7.2%	8.5%
HV 20d	18.5%	15.2%	21.2%	20.2%	18.7%
HV 60d	19.7%	19.3%	20.1%	19.6%	20.0%
IV Rank	33.5%	10.5%	72.2%	15.4%	38.4%
IV Percentile	81.4%	17.1%	99.6%	56.3%	92.5%
Term Structure	-3.2%	-6.4%	6.0%	6.0%	-5.2%
VWIV	27.2%	25.2%	29.4%	26.8%	29.4%
Skew 25d	4.3%	-1.0%	11.8%	4.7%	4.7%
Skew 10d	11.3%	1.9%	24.4%	10.4%	19.9%
Call IV 25d	28.5%	18.2%	35.8%	18.2%	30.0%
Put IV 25d	32.9%	22.9%	40.1%	22.9%	34.7%
Bid-Ask Spread %	93.04	84.67	115.74	88.19	99.40
Gamma HHI	0.38	0.23	0.62	0.61	0.24
Net GEX	-33.9K	-65.1K	-1.1K	-55.6K	-14.6K
Net DEX	169.1K	-161.4K	582.0K	252.8K	39.7K
Net VEX	-5.4K	-6.6K	-4.4K	-5.3K	-6.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.13	0.00	8.42	3.54	3.13
Total Volume	153.5	0	318	218	318
Total OI	469.8	384	512	462	499

Daily Data (20 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
2015-01-02	$83.68	$0.00	19.1%	7.2%	20.2%	15.4%	0.0%	4.7%	6.0%	-55.6K	252.8K	-5.3K	3.54	88.19	48	170	165	297
2015-01-05	$82.10	$0.00	21.0%	7.8%	21.0%	19.4%	0.0%	3.5%	-1.3%	-48.5K	395.3K	-5.2K	1.50	84.79	4	6	165	297
2015-01-06	$81.35	$0.00	24.9%	8.0%	21.0%	28.0%	26.8%	-0.4%	-3.5%	-42.5K	582.0K	-5.1K	3.00	90.71	1	3	161	303
2015-01-07	$82.60	$85.00	27.2%	7.7%	21.1%	33.0%	0.0%	5.9%	-2.9%	-52.5K	390.3K	-5.2K	0.00	88.87	0	0	162	300
2015-01-08	$83.34	$85.00	16.9%	7.4%	21.2%	10.5%	25.8%	11.8%	-2.8%	-65.1K	344.5K	-5.3K	2.94	90.43	50	147	163	300
2015-01-09	$83.07	$85.00	20.3%	7.2%	21.2%	18.0%	25.2%	5.0%	-2.1%	-59.7K	338.1K	-4.8K	2.94	88.86	50	147	163	300
2015-01-12	$82.90	$85.00	45.2%	7.5%	21.0%	72.2%	26.3%	4.1%	-3.5%	-44.5K	240.4K	-4.7K	2.94	86.21	50	147	163	300
2015-01-13	$83.07	$85.00	38.1%	7.6%	19.9%	56.9%	26.2%	5.2%	-3.2%	-58.5K	175.0K	-4.8K	2.94	90.81	50	147	163	302
2015-01-14	$82.54	$85.00	27.6%	7.9%	18.6%	33.8%	27.3%	-1.0%	-4.2%	-51.9K	386.2K	-4.6K	2.94	85.67	50	147	163	302
2015-01-15	$81.93	$85.00	28.9%	8.3%	17.9%	36.7%	27.5%	3.4%	-3.5%	-45.1K	541.6K	-4.7K	2.94	84.98	50	147	163	302
2015-01-16	$83.92	$85.00	26.3%	7.5%	17.9%	31.0%	0.0%	5.0%	-3.1%	-12.1K	-64.8K	-4.5K	0.00	84.67	2	0	162	248
2015-01-20	$84.17	$85.00	27.9%	8.0%	15.3%	34.5%	0.0%	0.1%	-3.7%	-1.1K	-161.4K	-4.4K	8.42	92.18	12	101	160	224
2015-01-21	$84.34	$85.00	27.6%	7.9%	15.2%	33.8%	0.0%	3.1%	-4.3%	-18.9K	116.1K	-6.5K	0.00	91.36	0	0	162	325
2015-01-22	$85.81	$85.00	27.1%	7.8%	16.2%	32.8%	27.0%	5.4%	-3.9%	-19.6K	-23.0K	-6.3K	4.36	89.17	55	240	163	325
2015-01-23	$85.62	$85.00	27.3%	7.8%	16.2%	33.2%	27.2%	8.6%	-4.3%	-26.3K	37.3K	-6.6K	3.75	99.05	64	240	164	348
2015-01-26	$85.64	$85.00	27.4%	7.8%	16.2%	33.3%	0.0%	6.3%	-4.3%	-12.5K	-94.4K	-6.1K	0.00	100.82	0	0	173	319
2015-01-27	$84.43	$85.00	29.4%	8.4%	16.9%	37.9%	29.4%	4.4%	-6.4%	-13.4K	-4.9K	-6.1K	0.60	99.67	5	3	173	319
2015-01-28	$84.54	$85.00	27.2%	7.8%	16.9%	32.9%	27.0%	3.8%	-3.5%	-14.3K	3.9K	-6.2K	3.60	115.74	67	241	177	322
2015-01-29	$85.86	$85.00	29.5%	8.5%	17.6%	38.1%	28.6%	3.4%	-4.2%	-20.5K	-113.1K	-6.0K	3.60	109.26	67	241	177	322
2015-01-30	$84.19	$85.00	29.7%	8.5%	18.7%	38.4%	29.4%	4.7%	-5.2%	-14.6K	39.7K	-6.1K	3.13	99.40	77	241	177	322