IT Options History — September 2007

In September 2007, IT traded between $21.62 and $25.04. ATM implied volatility averaged 34.7%, placing in the 43.9% IV rank vs the trailing year. The 30-day expected move averaged 10.0%. IV traded above realized volatility by 2.6% (HV 20d: 32.2%). Max pain ranged from $22.50 to $25.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 10 of 19 days. Put/call ratio averaged 9.52.

Notable Days

2007-09-13: Highest Volume — 101 contracts
2007-09-20: Largest IV spike — 4.4% change
2007-09-18: Highest IV Rank — 46.3%
2007-09-18: Largest Expected Move — 10.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$23.05	$21.62	$25.04	$22.17	$24.46
Max Pain	$22.89	$22.50	$25.00	$25.00	$22.50
ATM IV	34.7%	33.4%	35.7%	35.4%	34.0%
Expected Move	10.0%	9.7%	10.2%	10.2%	9.8%
HV 20d	32.2%	26.9%	39.2%	39.2%	29.5%
HV 60d	36.7%	35.8%	37.8%	36.5%	37.8%
IV Rank	43.9%	40.6%	46.3%	45.7%	42.2%
IV Percentile	88.6%	80.0%	94.9%	94.0%	80.6%
Term Structure	0.2%	-0.8%	1.2%	0.5%	0.6%
VWIV	34.8%	34.2%	35.6%	35.0%	34.4%
Skew 25d	-1.3%	-8.1%	6.3%	-2.1%	6.3%
Skew 10d	0.2%	-6.5%	9.8%	-1.8%	9.8%
Call IV 25d	31.1%	28.9%	34.3%	28.9%	30.5%
Put IV 25d	29.8%	26.1%	36.8%	26.7%	36.8%
Bid-Ask Spread %	45.09	19.26	70.62	19.26	40.10
Gamma HHI	0.44	0.33	0.60	0.50	0.44
Net GEX	-4.7K	-12.5K	-874	-4.1K	-2.5K
Net DEX	384.2K	-224.6K	845.1K	637.4K	-103.1K
Net VEX	-3.0K	-3.5K	-2.6K	-3.5K	-2.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	9.52	0.00	100.00	100.00	0.33
Total Volume	26.158	0	101	0	0
Total OI	1,123.789	658	1,331	1,267	674

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
2007-09-04	$22.17	$25.00	35.4%	10.2%	39.2%	45.7%	0.0%	-2.1%	0.5%	-4.1K	637.4K	-3.5K	0.00	19.26	0	0	555	712
2007-09-05	$21.85	$25.00	34.4%	9.8%	37.0%	43.0%	0.0%	-4.5%	0.9%	-2.0K	709.2K	-3.3K	0.00	47.29	0	0	555	712
2007-09-06	$22.20	$25.00	35.3%	10.1%	35.9%	45.3%	0.0%	-3.1%	0.4%	-3.0K	670.9K	-3.3K	0.00	25.59	0	43	555	712
2007-09-07	$21.85	$22.50	34.5%	10.1%	35.8%	43.2%	0.0%	-5.7%	-0.5%	-3.9K	800.3K	-3.3K	0.00	45.04	0	0	555	755
2007-09-10	$21.62	$22.50	35.1%	10.1%	33.9%	44.9%	0.0%	-8.1%	-0.6%	-2.7K	845.1K	-3.0K	0.00	49.36	0	0	555	755
2007-09-11	$22.45	$22.50	33.7%	10.0%	36.0%	41.4%	35.0%	1.3%	-0.0%	-6.2K	681.2K	-3.3K	0.00	47.99	0	69	555	755
2007-09-12	$22.39	$22.50	33.4%	10.0%	36.0%	40.6%	0.0%	1.9%	-0.2%	-9.3K	688.4K	-3.3K	0.00	51.08	0	0	555	776
2007-09-13	$22.56	$22.50	34.6%	9.9%	35.5%	43.7%	34.9%	2.7%	-0.1%	-9.7K	647.0K	-3.3K	100.00	56.94	1	100	555	776
2007-09-14	$22.93	$22.50	35.7%	10.2%	34.4%	46.2%	0.0%	6.3%	-0.6%	-8.4K	446.0K	-3.0K	0.00	60.77	8	0	556	695
2007-09-17	$22.28	$22.50	35.2%	10.1%	28.7%	45.1%	34.2%	0.0%	-0.8%	-2.9K	625.4K	-2.7K	0.83	57.69	12	10	551	695
2007-09-18	$23.04	$22.50	35.7%	10.2%	30.2%	46.3%	0.0%	0.0%	0.0%	-3.2K	413.1K	-2.6K	0.26	70.62	69	18	541	695
2007-09-19	$23.14	$22.50	34.2%	9.8%	29.9%	42.5%	0.0%	0.0%	0.2%	-3.3K	326.1K	-2.8K	0.00	38.58	10	0	569	713
2007-09-20	$23.54	$22.50	35.7%	10.2%	30.4%	46.2%	0.0%	0.0%	-0.1%	-12.5K	270.7K	-2.9K	1.67	36.92	6	10	569	713
2007-09-21	$23.74	$22.50	34.4%	9.9%	27.6%	43.1%	35.6%	0.0%	1.0%	-7.0K	217.4K	-2.7K	0.00	36.81	44	0	573	703
2007-09-24	$23.87	$22.50	34.8%	10.0%	27.0%	44.1%	0.0%	0.0%	0.3%	-2.5K	-71.8K	-2.8K	1.40	40.70	15	21	312	346
2007-09-25	$23.96	$22.50	35.1%	10.1%	26.9%	44.7%	34.4%	0.0%	0.9%	-3.0K	-75.8K	-2.9K	0.20	38.04	15	3	319	367
2007-09-26	$24.91	$22.50	34.8%	10.0%	28.7%	44.0%	0.0%	0.0%	-0.1%	-1.2K	-203.3K	-2.9K	0.00	49.30	3	0	319	365
2007-09-27	$25.04	$22.50	33.9%	9.7%	28.4%	42.0%	0.0%	0.0%	1.2%	-874	-224.6K	-2.8K	0.33	44.66	30	10	319	365
2007-09-28	$24.46	$22.50	34.0%	9.8%	29.5%	42.2%	0.0%	0.0%	0.6%	-2.5K	-103.1K	-2.8K	0.00	40.10	0	0	299	375