IT Options History — July 2007 In July 2007, IT traded between $20.93 and $24.82. ATM implied volatility averaged 31.4%, placing in the 37.1% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded above realized volatility by 6.8% (HV 20d: 24.6%). Max pain ranged from $22.50 to $25.00. Net GEX was positive for 7 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.37.
Notable Days 2007-07-30 : Highest Volume — 325 contracts2007-07-31 : Largest IV drop — 39.9% change2007-07-30 : Highest IV Rank — 93.9%2007-07-30 : Largest Expected Move — 15.8%Monthly Statistics Metric Avg Min Max Open Close Price $23.80 $20.93 $24.82 $24.57 $20.93 Max Pain $23.81 $22.50 $25.00 $25.00 $22.50 ATM IV 31.4% 25.3% 55.0% 26.2% 33.1% Expected Move 9.2% 7.3% 15.8% 7.5% 9.5% HV 20d 24.6% 16.9% 31.4% 27.9% 31.4% HV 60d 30.1% 29.0% 32.0% 29.9% 29.0% IV Rank 37.1% 20.7% 93.9% 21.1% 39.8% IV Percentile 88.5% 49.2% 99.3% 54.8% 96.5% Term Structure -3.0% -17.5% 2.7% 1.6% -0.1% VWIV 37.1% 24.4% 55.1% 35.6% 24.4% Skew 25d 5.0% -0.4% 8.7% 6.5% -0.4% Skew 10d 3.3% -2.4% 8.6% 4.1% 0.7% Call IV 25d 24.6% 20.2% 35.6% 20.9% 29.7% Put IV 25d 29.6% 27.4% 36.5% 27.4% 29.2% Bid-Ask Spread % 53.73 28.95 84.33 28.95 61.67 Gamma HHI 0.51 0.30 0.78 0.56 0.78 Net GEX -823 -9.7K 22.3K -4.2K 22.3K Net DEX 270.6K 83.1K 683.8K 155.5K 683.8K Net VEX -4.0K -4.4K -3.1K -4.3K -3.1K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.37 0.00 1.38 0.00 0.02 Total Volume 62.238 0 325 0 322 Total OI 1,036.905 953 1,503 953 1,503
Daily Data (21 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 2007-07-02 $24.57 $25.00 26.2% 7.5% 27.9% 0.0% 0.0% 6.5% 1.6% -4.2K 155.5K -4.3K 0.00 28.95 0 0 415 538 2007-07-03 $24.56 $25.00 26.9% 7.7% 27.8% 0.0% 0.0% 6.7% 0.6% -4.1K 146.8K -4.3K 0.00 66.68 0 0 415 538 2007-07-05 $24.45 $25.00 25.5% 7.3% 27.6% 21.1% 35.6% 7.3% 2.7% -3.7K 196.2K -4.1K 0.00 38.83 0 1 415 538 2007-07-06 $24.55 $22.50 26.1% 8.1% 26.7% 22.5% 0.0% 7.3% -1.0% -3.1K 154.2K -4.2K 0.00 65.95 0 0 415 538 2007-07-09 $24.82 $22.50 26.1% 8.4% 26.3% 22.5% 0.0% 8.7% -1.5% -1.7K 102.7K -4.1K 0.00 64.34 50 0 415 538 2007-07-10 $24.36 $22.50 26.6% 8.0% 26.9% 23.8% 0.0% 6.5% -0.6% -192 148.0K -4.3K 0.00 44.90 10 0 465 538 2007-07-11 $24.61 $22.50 25.3% 8.2% 25.4% 20.7% 0.0% 5.1% -0.8% 1.8K 101.0K -4.4K 0.00 70.60 0 0 465 538 2007-07-12 $24.68 $22.50 29.1% 8.4% 22.4% 30.1% 0.0% 6.8% -2.1% 1.8K 84.1K -4.3K 0.00 39.44 0 0 465 538 2007-07-13 $24.64 $22.50 28.2% 8.1% 22.4% 27.9% 0.0% 7.5% -1.0% 3.4K 83.1K -4.3K 0.00 48.60 0 0 465 538 2007-07-16 $24.14 $22.50 28.0% 8.0% 23.0% 27.3% 28.1% 5.7% -0.8% -2.1K 261.3K -4.1K 1.00 69.39 10 10 465 538 2007-07-17 $24.23 $25.00 28.5% 8.2% 22.5% 28.5% 0.0% 6.9% -1.3% -2.1K 240.3K -4.1K 0.00 41.58 1 0 465 548 2007-07-18 $24.16 $25.00 30.7% 8.8% 21.8% 34.0% 30.6% 5.1% -2.9% -3.1K 279.7K -4.1K 0.00 63.93 52 0 465 548 2007-07-19 $24.46 $25.00 31.9% 9.2% 20.4% 37.1% 0.0% 7.0% -4.3% 5.7K 119.2K -4.4K 0.00 50.08 0 0 517 548 2007-07-20 $24.08 $25.00 30.9% 8.9% 21.1% 34.5% 0.0% 5.1% -2.2% -2.7K 234.7K -4.2K 0.00 65.66 0 0 517 548 2007-07-23 $24.17 $25.00 32.9% 9.4% 16.9% 39.4% 0.0% 5.9% -4.2% -9.7K 200.5K -4.2K 0.00 46.52 16 0 447 548 2007-07-24 $23.02 $25.00 32.3% 9.3% 24.2% 38.0% 0.0% 0.8% -3.7% -9.1K 496.3K -3.6K 1.38 42.67 29 40 450 548 2007-07-25 $23.10 $25.00 31.6% 9.1% 24.3% 36.2% 0.0% 2.1% -3.4% -9.6K 485.2K -3.8K 0.67 47.42 45 30 461 558 2007-07-26 $22.25 $25.00 37.1% 10.6% 26.8% 49.8% 37.1% 2.9% -6.5% -7.3K 639.6K -3.2K 1.04 84.33 125 130 450 554 2007-07-27 $21.90 $22.50 48.4% 13.9% 25.3% 77.7% 48.6% 0.7% -13.3% 3.2K 503.9K -3.4K 0.23 49.31 90 21 565 541 2007-07-30 $22.13 $22.50 55.0% 15.8% 25.9% 93.9% 55.1% 0.9% -17.5% 7.1K 366.7K -3.8K 0.11 37.45 293 32 654 560 2007-07-31 $20.93 $22.50 33.1% 9.5% 31.4% 39.8% 24.4% -0.4% -0.1% 22.3K 683.8K -3.1K 0.02 61.67 317 5 913 590
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