IT Options History — February 2015

In February 2015, IT traded between $77.95 and $85.25. ATM implied volatility averaged 21.1%, placing in the 19.6% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded below realized volatility by 10.3% (HV 20d: 31.4%). Max pain ranged from $80.00 to $85.00. Net GEX was positive for 8 of 19 trading days. Term structure was in contango for 13 of 19 days. Put/call ratio averaged 1.96.

Notable Days

2015-02-26: Highest Volume — 3,326 contracts
2015-02-05: Largest IV drop — 32.3% change
2015-02-03: Highest IV Rank — 43.6%
2015-02-03: Largest Expected Move — 9.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$81.96	$77.95	$85.25	$83.09	$83.18
Max Pain	$81.58	$80.00	$85.00	$85.00	$85.00
ATM IV	21.1%	14.6%	32.1%	30.8%	17.1%
Expected Move	5.9%	4.2%	9.2%	8.8%	4.9%
HV 20d	31.4%	18.5%	34.6%	19.2%	33.8%
HV 60d	23.3%	17.6%	24.5%	20.2%	24.4%
IV Rank	19.6%	5.4%	43.6%	40.9%	10.8%
IV Percentile	52.7%	2.8%	94.8%	93.7%	18.3%
Term Structure	0.8%	-7.2%	6.4%	-5.4%	0.1%
VWIV	21.4%	16.3%	32.0%	32.0%	16.9%
Skew 25d	3.1%	-4.0%	9.5%	9.5%	1.7%
Skew 10d	8.5%	-1.1%	17.2%	17.2%	5.0%
Call IV 25d	20.5%	14.6%	39.1%	28.7%	18.4%
Put IV 25d	23.6%	17.5%	38.2%	38.2%	20.1%
Bid-Ask Spread %	96.68	87.29	104.25	93.11	101.22
Gamma HHI	0.43	0.25	0.65	0.26	0.62
Net GEX	-213.8K	-1.4M	70.4K	-15.7K	-1.4M
Net DEX	-233.0K	-5.0M	7.4M	143.2K	7.4M
Net VEX	-27.9K	-53.7K	-5.3K	-6.1K	-50.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.96	1.16	3.44	3.13	2.05
Total Volume	1,638.474	0	3,326	0	3,323
Total OI	2,286.684	508	4,757	508	4,757

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
2015-02-02	$83.09	$85.00	30.8%	8.8%	19.2%	40.9%	0.0%	9.5%	-5.4%	-15.7K	143.2K	-6.1K	0.00	93.11	0	0	186	322
2015-02-03	$84.57	$85.00	32.1%	9.2%	18.8%	43.6%	32.0%	-3.4%	-7.2%	-13.3K	-57.5K	-6.2K	3.13	99.85	77	241	187	322
2015-02-04	$85.25	$85.00	31.2%	8.9%	18.5%	41.7%	31.7%	3.6%	-7.0%	-11.8K	-184.2K	-5.9K	3.44	93.16	70	241	187	322
2015-02-05	$78.99	$80.00	21.1%	5.9%	32.9%	19.7%	22.8%	4.2%	1.7%	-19.9K	653.3K	-5.3K	2.61	87.29	187	488	192	322
2015-02-06	$78.60	$80.00	21.7%	5.5%	32.7%	21.0%	19.5%	4.1%	3.5%	-50.6K	961.2K	-7.0K	2.52	91.77	151	381	276	569
2015-02-09	$77.95	$80.00	23.5%	5.9%	32.7%	24.8%	21.1%	3.6%	1.8%	-58.0K	1.2M	-8.4K	2.53	90.29	151	382	338	615
2015-02-10	$78.10	$80.00	20.6%	5.7%	32.8%	18.5%	19.8%	3.7%	3.2%	-57.2K	1.2M	-8.6K	2.40	90.72	159	382	338	626
2015-02-11	$78.45	$80.00	19.8%	5.7%	32.9%	16.9%	23.2%	-4.0%	3.0%	-58.7K	822.7K	-8.5K	1.18	97.54	1,156	1,360	349	626
2015-02-12	$80.06	$80.00	19.9%	5.7%	33.8%	17.1%	23.9%	2.7%	2.0%	69.8K	-1.4M	-43.6K	1.20	91.61	1,151	1,378	1,340	1,647
2015-02-13	$81.55	$80.00	18.5%	5.3%	34.5%	14.1%	20.2%	3.1%	3.6%	70.4K	-2.8M	-42.0K	1.20	95.59	1,153	1,378	1,344	1,630
2015-02-17	$80.80	$80.00	19.9%	5.7%	33.4%	17.0%	19.7%	6.9%	2.3%	43.3K	-2.1M	-42.0K	1.23	99.45	1,122	1,378	1,360	1,630
2015-02-18	$82.63	$80.00	22.0%	6.3%	34.4%	21.6%	24.4%	4.8%	3.4%	69.3K	-3.8M	-39.1K	1.25	98.28	1,101	1,378	1,357	1,630
2015-02-19	$83.32	$80.00	17.7%	5.1%	34.6%	12.2%	17.0%	3.6%	3.2%	65.5K	-4.2M	-38.8K	1.67	94.90	6	10	1,358	1,620
2015-02-20	$84.25	$80.00	14.6%	4.2%	34.2%	5.4%	22.6%	5.1%	6.4%	45.8K	-5.0M	-37.5K	1.55	102.68	11	17	1,361	1,610
2015-02-23	$83.86	$80.00	16.6%	4.7%	34.3%	9.7%	16.3%	3.4%	-2.5%	48.4K	-4.1M	-37.3K	1.16	104.25	1,082	1,252	1,239	1,519
2015-02-24	$84.70	$80.00	18.3%	5.3%	34.5%	13.6%	18.3%	4.8%	3.8%	52.9K	-4.1M	-38.3K	2.07	101.53	1,082	2,235	1,237	1,519
2015-02-25	$84.34	$85.00	17.4%	5.0%	34.1%	11.6%	17.4%	-0.2%	-0.0%	-1.4M	5.0M	-53.7K	2.06	99.68	1,087	2,235	1,239	3,516
2015-02-26	$83.59	$85.00	17.7%	5.1%	34.3%	12.1%	17.7%	1.8%	-0.1%	-1.4M	6.0M	-51.1K	2.05	103.95	1,091	2,235	1,241	3,516
2015-02-27	$83.18	$85.00	17.1%	4.9%	33.8%	10.8%	16.9%	1.7%	0.1%	-1.4M	7.4M	-50.2K	2.05	101.22	1,088	2,235	1,241	3,516