IT Options History — February 2007 In February 2007, IT traded between $21.00 and $22.65. ATM implied volatility averaged 24.3%. The 30-day expected move averaged 7.1%. IV traded above realized volatility by 0.9% (HV 20d: 23.4%). Max pain ranged from $15.00 to $22.50. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 16 of 19 days. Put/call ratio averaged 1.84.
Notable Days 2007-02-28 : Highest Volume — 48 contracts2007-02-07 : Largest IV spike — 34.9% change2007-02-05 : Largest Expected Move — 7.7%Monthly Statistics Metric Avg Min Max Open Close Price $21.98 $21.00 $22.65 $22.49 $21.16 Max Pain $16.97 $15.00 $22.50 $22.50 $17.50 ATM IV 24.3% 17.7% 26.6% 26.6% 18.5% Expected Move 7.1% 5.1% 7.7% 7.6% 5.3% HV 20d 23.4% 18.1% 28.9% 19.2% 28.9% Term Structure 1.3% -0.5% 9.5% -0.5% 9.5% VWIV 23.4% 17.7% 31.2% 26.7% 19.2% Skew 25d -1.4% -5.2% 4.6% -5.2% 2.1% Skew 10d -1.1% -8.8% 9.0% -8.8% 2.2% Call IV 25d 22.9% 17.3% 26.1% 26.1% 17.3% Put IV 25d 21.5% 18.1% 27.5% 20.9% 19.5% Bid-Ask Spread % 64.55 15.30 94.25 24.52 52.01 Gamma HHI 0.72 0.62 0.83 0.83 0.68 Net GEX 9.5K 7.0K 12.2K 9.4K 11.4K Net DEX -409.8K -470.3K -281.1K -447.8K -311.3K Net VEX -1.3K -1.3K -1.1K -1.1K -1.2K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.84 0.00 20.00 0.38 0.71 Total Volume 14.474 0 48 18 48 Total OI 583.316 536 616 536 613
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 2007-02-01 $22.49 $22.50 26.6% 7.6% 19.2% 0.0% 0.0% -5.2% -0.5% 9.4K -447.8K -1.1K 0.38 24.52 13 5 295 241 2007-02-02 $22.30 $15.00 25.8% 7.4% 19.1% 0.0% 0.0% -5.0% 0.1% 9.7K -450.3K -1.2K 0.00 81.71 0 0 308 246 2007-02-05 $22.65 $15.00 25.5% 7.7% 18.1% 0.0% 26.7% 1.4% 0.1% 10.0K -470.3K -1.2K 0.00 84.58 4 0 308 246 2007-02-06 $21.83 $15.00 18.5% 7.5% 23.3% 0.0% 26.7% 4.6% -0.2% 10.7K -413.7K -1.2K 0.00 82.26 19 0 312 246 2007-02-07 $22.21 $15.00 24.9% 7.3% 23.7% 0.0% 25.4% 0.0% 0.7% 10.0K -443.6K -1.2K 1.00 85.95 10 10 309 246 2007-02-08 $22.17 $15.00 25.6% 7.3% 23.8% 0.0% 0.0% 0.1% 0.6% 10.0K -443.6K -1.2K 0.00 85.94 0 0 310 256 2007-02-09 $22.04 $15.00 25.3% 7.2% 23.7% 0.0% 25.3% -1.6% 0.9% 10.0K -428.5K -1.2K 0.00 86.28 0 30 310 256 2007-02-12 $21.79 $17.50 25.2% 7.2% 24.2% 0.0% 25.3% -4.0% 0.3% 7.8K -360.6K -1.2K 0.00 88.38 18 0 310 286 2007-02-13 $22.02 $17.50 25.2% 7.2% 24.3% 0.0% 18.5% -1.7% 0.6% 7.0K -387.6K -1.3K 0.00 86.77 17 0 315 286 2007-02-14 $22.10 $17.50 25.4% 7.3% 24.3% 0.0% 22.0% -0.4% 0.6% 7.3K -419.3K -1.3K 0.00 94.25 0 10 330 286 2007-02-15 $21.85 $17.50 25.5% 7.3% 23.4% 0.0% 0.0% -1.9% 0.4% 8.7K -395.6K -1.3K 0.00 87.43 0 0 330 286 2007-02-16 $21.78 $17.50 25.1% 7.2% 23.3% 0.0% 0.0% -3.8% 1.0% 8.9K -377.0K -1.3K 0.00 89.61 0 10 330 286 2007-02-20 $22.02 $17.50 25.8% 7.4% 23.5% 0.0% 31.2% -1.4% -0.2% 10.2K -425.2K -1.3K 0.00 36.64 18 0 330 246 2007-02-21 $21.87 $17.50 24.7% 7.1% 23.7% 0.0% 0.0% -2.7% 0.6% 10.6K -416.7K -1.3K 0.00 38.59 0 0 337 246 2007-02-22 $22.02 $17.50 25.0% 7.2% 23.1% 0.0% 19.8% -1.3% 0.7% 10.2K -430.2K -1.3K 0.00 37.87 5 0 337 246 2007-02-23 $22.24 $17.50 25.9% 7.4% 23.2% 0.0% 25.9% -0.5% 0.1% 10.1K -458.7K -1.3K 20.00 15.96 1 20 337 246 2007-02-26 $22.13 $17.50 25.6% 7.3% 23.0% 0.0% 20.4% -1.0% 0.3% 7.0K -424.8K -1.3K 0.00 15.30 24 0 338 266 2007-02-27 $21.00 $17.50 17.7% 5.1% 28.7% 0.0% 17.7% -3.9% 9.1% 12.2K -281.1K -1.2K 0.00 52.50 13 0 341 266 2007-02-28 $21.16 $17.50 18.5% 5.3% 28.9% 0.0% 19.2% 2.1% 9.5% 11.4K -311.3K -1.2K 0.71 52.01 28 20 347 266
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