IT Options History — May 2007

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

In May 2007, IT traded between $25.29 and $28.22. ATM implied volatility averaged 26.3%. The 30-day expected move averaged 7.5%. IV traded below realized volatility by 8.3% (HV 20d: 34.5%). Max pain ranged from $22.50 to $25.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 0.61.

Notable Days

2007-05-02: Highest Volume — 813 contracts
2007-05-02: Largest IV spike — 114.6% change
2007-05-02: Largest Expected Move — 16.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$27.04	$25.29	$28.22	$25.29	$27.56
Max Pain	$22.84	$22.50	$25.00	$25.00	$22.50
ATM IV	26.3%	16.9%	57.5%	26.8%	19.9%
Expected Move	7.5%	4.9%	16.5%	7.7%	5.7%
HV 20d	34.5%	19.6%	39.9%	19.6%	39.1%
HV 60d	29.3%	24.9%	30.8%	25.7%	28.3%
Term Structure	1.8%	-18.4%	11.3%	-1.2%	7.9%
VWIV	24.5%	16.1%	56.3%	56.3%	21.5%
Skew 25d	2.2%	-6.9%	16.1%	6.0%	2.6%
Skew 10d	2.5%	-8.3%	16.9%	9.6%	2.9%
Call IV 25d	23.4%	17.3%	32.0%	21.6%	18.6%
Put IV 25d	25.6%	18.2%	35.9%	27.6%	21.2%
Bid-Ask Spread %	71.52	7.29	103.73	92.26	7.29
Gamma HHI	0.63	0.43	0.89	0.55	0.43
Net GEX	24.7K	3.7K	112.6K	26.9K	3.7K
Net DEX	-1.8M	-3.1M	-863.7K	-863.7K	-1.6M
Net VEX	-2.0K	-3.5K	-1.2K	-2.0K	-1.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.61	0.00	11.00	0.00	0.00
Total Volume	88.818	0	813	10	23
Total OI	1,105.455	635	1,435	637	1,010

Daily Data (22 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
2007-05-01	$25.29	$25.00	26.8%	7.7%	19.6%	0.0%	0.0%	6.0%	-1.2%	26.9K	-863.7K	-2.0K	0.00	92.26	10	0	497	140
2007-05-02	$25.98	$25.00	57.5%	16.5%	21.5%	0.0%	56.3%	9.4%	-18.4%	17.6K	-913.0K	-2.0K	0.09	89.95	748	65	495	140
2007-05-03	$25.64	$25.00	26.9%	7.7%	19.6%	0.0%	0.0%	2.1%	-1.2%	112.6K	-2.1M	-3.5K	0.00	75.19	0	0	1,205	205
2007-05-04	$27.67	$22.50	19.2%	5.8%	32.9%	0.0%	25.0%	2.2%	2.3%	27.5K	-3.1M	-1.8K	0.12	86.77	588	70	1,230	205
2007-05-07	$27.01	$22.50	23.0%	7.4%	34.5%	0.0%	27.8%	-1.4%	5.9%	25.2K	-2.1M	-2.0K	0.45	78.33	44	20	921	275
2007-05-08	$27.23	$22.50	25.2%	6.4%	34.4%	0.0%	16.1%	-1.3%	10.8%	24.2K	-2.1M	-2.1K	0.00	80.23	30	0	941	285
2007-05-09	$27.40	$22.50	28.4%	8.1%	34.3%	0.0%	29.6%	-5.1%	-2.1%	23.3K	-2.1M	-2.0K	0.00	84.57	24	0	948	285
2007-05-10	$26.62	$22.50	24.8%	7.1%	36.1%	0.0%	22.1%	-4.7%	4.6%	30.7K	-2.0M	-2.1K	0.00	80.95	5	0	939	285
2007-05-11	$26.88	$22.50	26.0%	7.5%	36.2%	0.0%	0.0%	-6.9%	0.9%	26.3K	-2.0M	-2.1K	0.00	83.72	0	0	939	285
2007-05-14	$26.63	$22.50	26.5%	7.6%	36.0%	0.0%	18.8%	5.2%	1.0%	30.4K	-2.0M	-2.1K	0.00	96.02	30	0	939	285
2007-05-15	$26.32	$22.50	26.0%	7.5%	36.2%	0.0%	26.1%	4.0%	0.9%	37.8K	-1.9M	-2.2K	0.00	97.10	14	0	969	285
2007-05-16	$27.25	$22.50	22.7%	6.5%	37.6%	0.0%	17.3%	9.4%	11.3%	21.5K	-2.1M	-1.8K	0.00	98.32	31	0	968	285
2007-05-17	$27.33	$22.50	23.6%	6.8%	37.1%	0.0%	0.0%	-1.1%	-0.6%	22.0K	-2.2M	-1.8K	0.00	103.50	5	0	976	285
2007-05-18	$27.66	$22.50	16.9%	4.9%	36.6%	0.0%	19.0%	0.7%	9.1%	9.0K	-2.3M	-1.3K	0.00	103.55	76	0	980	285
2007-05-21	$27.80	$22.50	17.0%	4.9%	36.5%	0.0%	19.8%	2.6%	8.5%	7.4K	-1.7M	-1.2K	0.00	103.73	59	0	710	220
2007-05-22	$28.00	$22.50	21.4%	6.1%	36.0%	0.0%	19.1%	-6.7%	0.4%	13.3K	-1.6M	-1.5K	11.00	31.62	5	55	703	220
2007-05-23	$28.22	$22.50	20.4%	5.9%	36.0%	0.0%	21.5%	-5.2%	0.8%	8.9K	-1.6M	-1.6K	0.00	87.69	1	0	703	275
2007-05-24	$27.00	$22.50	33.0%	9.5%	39.9%	0.0%	0.0%	10.2%	-5.8%	19.4K	-1.3M	-2.2K	0.00	25.40	40	0	703	275
2007-05-25	$26.89	$22.50	31.6%	9.0%	39.9%	0.0%	0.0%	9.2%	-4.3%	19.7K	-1.4M	-2.3K	0.00	23.29	0	0	733	275
2007-05-29	$27.30	$22.50	31.1%	8.9%	39.8%	0.0%	0.0%	0.9%	5.3%	18.0K	-1.5M	-2.2K	0.00	22.78	5	0	733	275
2007-05-30	$27.21	$22.50	30.3%	8.7%	39.9%	0.0%	0.0%	16.1%	3.3%	17.8K	-1.5M	-2.2K	0.00	21.21	6	0	733	275
2007-05-31	$27.56	$22.50	19.9%	5.7%	39.1%	0.0%	0.0%	2.6%	7.9%	3.7K	-1.6M	-1.7K	0.00	7.29	23	0	735	275