IT Options History — January 2007

Name: IT Options Analytics - January 2007
Creator: Options Analysis Suite

In January 2007, IT traded between $20.29 and $21.86. ATM implied volatility averaged 23.6%. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 5.8% (HV 20d: 17.8%). Max pain ranged from $20.00 to $22.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 0.43.

Notable Days

2007-01-24: Highest Volume — 76 contracts
2007-01-12: Largest IV drop — 33.1% change
2007-01-19: Largest Expected Move — 7.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$20.94	$20.29	$21.86	$20.32	$21.86
Max Pain	$20.56	$20.00	$22.50	$20.00	$22.50
ATM IV	23.6%	17.8%	27.4%	21.9%	26.9%
Expected Move	7.0%	5.1%	7.9%	6.3%	7.7%
HV 20d	17.8%	17.4%	18.5%	17.6%	17.6%
Term Structure	1.0%	-1.3%	7.4%	-0.0%	-0.6%
VWIV	24.8%	24.4%	25.2%	25.2%	24.4%
Skew 25d	0.9%	-1.3%	4.9%	4.0%	0.2%
Skew 10d	-1.0%	-4.0%	3.6%	2.6%	-0.3%
Call IV 25d	23.6%	17.1%	26.6%	17.5%	26.4%
Put IV 25d	24.5%	21.5%	27.0%	21.5%	26.6%
Bid-Ask Spread %	81.75	31.81	119.53	119.53	34.84
Gamma HHI	0.56	0.38	0.84	0.39	0.84
Net GEX	7.2K	2.3K	10.9K	2.5K	9.5K
Net DEX	-268.5K	-398.1K	-155.3K	-155.3K	-397.2K
Net VEX	-707	-1.2K	-147	-174	-1.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.43	0.00	3.33	0.00	0.00
Total Volume	12.5	0	76	0	2
Total OI	422.3	300	534	300	534

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
2007-01-03	$20.32	$20.00	21.9%	6.3%	0.0%	0.0%	0.0%	4.0%	-0.0%	2.5K	-155.3K	-174	0.00	119.53	0	0	94	206
2007-01-04	$20.70	$20.00	20.2%	5.8%	0.0%	0.0%	0.0%	0.4%	4.3%	2.3K	-166.0K	-147	0.00	118.60	75	0	94	206
2007-01-05	$20.38	$0.00	20.0%	7.1%	0.0%	0.0%	0.0%	4.9%	-0.9%	6.1K	-213.4K	-546	0.00	99.92	0	0	169	206
2007-01-08	$20.29	$0.00	21.0%	7.3%	0.0%	0.0%	0.0%	4.1%	-1.3%	6.2K	-204.5K	-519	0.50	99.22	10	5	169	206
2007-01-09	$20.49	$0.00	21.0%	7.3%	0.0%	0.0%	0.0%	-0.1%	-0.4%	6.6K	-219.3K	-581	0.00	93.39	0	0	179	211
2007-01-10	$20.63	$0.00	21.0%	7.3%	0.0%	0.0%	0.0%	1.5%	-0.9%	6.5K	-225.9K	-567	0.00	94.90	0	0	179	211
2007-01-11	$20.90	$0.00	26.7%	7.6%	0.0%	0.0%	0.0%	-0.1%	-1.3%	6.2K	-238.2K	-567	0.00	77.75	0	0	179	211
2007-01-12	$21.03	$0.00	17.8%	5.1%	0.0%	0.0%	0.0%	-0.6%	5.5%	6.1K	-247.0K	-551	0.00	105.15	4	0	179	211
2007-01-16	$21.17	$0.00	20.4%	5.8%	0.0%	0.0%	0.0%	0.5%	6.8%	6.1K	-259.9K	-573	0.00	93.48	0	0	183	211
2007-01-17	$21.12	$0.00	22.0%	6.3%	0.0%	0.0%	0.0%	-0.1%	7.4%	6.2K	-259.9K	-571	0.00	95.59	35	0	183	211
2007-01-18	$20.70	$0.00	25.7%	7.4%	0.0%	0.0%	0.0%	-1.3%	0.9%	8.2K	-269.3K	-730	0.00	90.23	0	0	218	211
2007-01-19	$20.58	$0.00	27.4%	7.9%	0.0%	0.0%	0.0%	-0.0%	-1.2%	8.3K	-251.3K	-734	0.00	92.03	2	0	218	211
2007-01-22	$20.63	$0.00	24.9%	7.1%	0.0%	0.0%	25.2%	0.6%	-0.1%	7.8K	-248.0K	-706	0.00	102.88	0	10	213	211
2007-01-23	$20.76	$20.00	26.5%	7.6%	0.0%	0.0%	0.0%	-0.8%	-0.8%	7.0K	-251.4K	-728	0.00	65.78	0	0	213	221
2007-01-24	$21.13	$20.00	24.9%	7.1%	0.0%	0.0%	0.0%	1.1%	2.7%	6.9K	-275.7K	-759	0.00	62.81	76	0	213	221
2007-01-25	$21.07	$20.00	25.7%	7.4%	17.6%	0.0%	0.0%	0.5%	1.4%	10.7K	-340.2K	-1.1K	0.00	61.33	0	0	289	221
2007-01-26	$21.33	$20.00	25.8%	7.4%	17.4%	0.0%	0.0%	1.1%	0.1%	10.7K	-361.5K	-1.1K	0.00	61.29	5	0	289	221
2007-01-29	$21.82	$20.00	26.4%	7.6%	18.5%	0.0%	24.4%	1.3%	-0.9%	10.9K	-398.1K	-1.1K	3.33	34.45	6	20	289	221
2007-01-30	$21.80	$22.50	26.2%	7.5%	18.1%	0.0%	0.0%	-0.0%	-0.5%	9.4K	-388.5K	-1.2K	0.00	31.81	0	0	293	241
2007-01-31	$21.86	$22.50	26.9%	7.7%	17.6%	0.0%	0.0%	0.2%	-0.6%	9.5K	-397.2K	-1.2K	0.00	34.84	2	0	293	241