IT Options History — October 2007

In October 2007, IT traded between $21.90 and $25.96. ATM implied volatility averaged 36.4%, placing in the 48.1% IV rank vs the trailing year. The 30-day expected move averaged 10.5%. IV traded above realized volatility by 4.9% (HV 20d: 31.5%). Max pain ranged from $22.50 to $25.00. Net GEX was positive for 17 of 23 trading days. Term structure was in contango for 4 of 23 days. Put/call ratio averaged 0.65.

Notable Days

2007-10-30: Highest Volume — 505 contracts
2007-10-29: Largest IV spike — 22.6% change
2007-10-29: Highest IV Rank — 69.1%
2007-10-29: Largest Expected Move — 12.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$25.05	$21.90	$25.96	$25.27	$21.90
Max Pain	$22.68	$22.50	$25.00	$22.50	$22.50
ATM IV	36.4%	33.8%	44.9%	34.1%	42.3%
Expected Move	10.5%	9.8%	12.9%	9.8%	12.1%
HV 20d	31.5%	24.9%	56.4%	30.9%	56.3%
HV 60d	38.1%	34.6%	43.8%	38.4%	43.2%
IV Rank	48.1%	41.6%	69.1%	42.4%	62.5%
IV Percentile	91.9%	76.7%	98.6%	81.3%	97.6%
Term Structure	-1.7%	-6.9%	1.6%	1.6%	-5.9%
VWIV	37.1%	27.8%	44.9%	34.1%	27.8%
Bid-Ask Spread %	52.17	22.06	74.00	51.73	67.25
Gamma HHI	0.37	0.31	0.62	0.39	0.32
Net GEX	1.2K	-1.7K	10.2K	-840	2.3K
Net DEX	-233.8K	-461.6K	307.6K	-202.6K	216.0K
Net VEX	-2.6K	-2.8K	-2.4K	-2.7K	-2.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.65	0.00	5.00	0.00	0.03
Total Volume	39.783	0	505	21	73
Total OI	708.348	665	928	674	928

Daily Data (23 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
2007-10-01	$25.27	$22.50	34.1%	9.8%	30.9%	42.4%	34.1%	0.0%	1.6%	-840	-202.6K	-2.7K	0.00	51.73	21	0	299	375
2007-10-02	$25.53	$22.50	34.5%	9.9%	30.9%	43.4%	0.0%	0.0%	0.9%	-1.7K	-225.5K	-2.6K	0.00	22.06	30	0	290	375
2007-10-03	$25.55	$22.50	34.8%	10.0%	30.0%	44.1%	0.0%	0.0%	1.4%	-684	-265.5K	-2.7K	0.00	24.49	0	0	312	375
2007-10-04	$25.12	$22.50	34.5%	9.9%	31.1%	43.3%	0.0%	0.0%	1.2%	-1.1K	-226.8K	-2.8K	0.00	28.05	0	0	312	375
2007-10-05	$25.75	$0.00	35.4%	10.3%	30.6%	45.5%	0.0%	0.0%	-1.7%	-238	-302.8K	-2.6K	0.00	55.86	4	0	312	375
2007-10-08	$25.70	$0.00	34.9%	10.1%	30.0%	44.4%	0.0%	0.0%	-0.8%	134	-305.5K	-2.5K	0.00	57.11	0	0	308	375
2007-10-09	$25.91	$0.00	33.8%	10.1%	28.0%	41.6%	0.0%	0.0%	-0.6%	1.1K	-316.7K	-2.5K	0.00	55.75	0	4	308	375
2007-10-10	$25.96	$0.00	34.7%	10.1%	27.8%	43.9%	0.0%	0.0%	-1.2%	1.2K	-337.2K	-2.4K	0.00	73.64	0	0	308	371
2007-10-11	$25.81	$0.00	35.7%	10.2%	28.2%	46.2%	0.0%	0.0%	-1.0%	1.3K	-321.4K	-2.4K	0.00	64.25	0	0	308	371
2007-10-12	$25.86	$0.00	35.1%	10.1%	28.0%	44.7%	0.0%	0.0%	-0.6%	1.3K	-330.5K	-2.4K	0.00	71.58	10	0	308	371
2007-10-15	$25.28	$0.00	36.0%	10.3%	27.1%	47.0%	0.0%	0.0%	-2.3%	1.1K	-240.9K	-2.5K	0.00	63.28	31	0	305	371
2007-10-16	$25.41	$0.00	35.8%	10.3%	25.1%	46.4%	0.0%	0.0%	-1.2%	2.0K	-321.7K	-2.4K	0.00	63.83	0	0	325	371
2007-10-17	$25.65	$0.00	36.1%	10.4%	25.2%	47.3%	36.9%	0.0%	-2.5%	1.9K	-338.1K	-2.4K	0.00	64.10	70	0	325	371
2007-10-18	$25.94	$22.50	36.3%	10.4%	24.9%	47.8%	0.0%	0.0%	-2.2%	4.2K	-461.6K	-2.4K	0.00	64.89	10	0	364	371
2007-10-19	$24.65	$22.50	35.1%	10.1%	31.7%	44.7%	0.0%	0.0%	-1.1%	10.2K	-255.6K	-2.6K	0.00	42.05	0	0	374	371
2007-10-22	$24.29	$22.50	35.6%	10.2%	32.2%	46.2%	0.0%	0.0%	-1.8%	1.7K	-179.0K	-2.6K	5.00	33.04	2	10	353	330
2007-10-23	$24.23	$22.50	36.2%	10.4%	32.2%	47.5%	0.0%	0.0%	-2.4%	1.1K	-156.8K	-2.6K	0.00	29.10	0	0	353	340
2007-10-24	$24.62	$22.50	36.5%	10.5%	29.6%	48.2%	0.0%	0.0%	-1.9%	1.3K	-210.9K	-2.6K	0.00	34.72	0	0	353	340
2007-10-25	$24.72	$22.50	36.4%	10.4%	29.5%	48.1%	0.0%	0.0%	-2.2%	1.3K	-230.7K	-2.6K	1.00	42.93	20	20	353	340
2007-10-26	$25.50	$22.50	36.6%	10.5%	30.3%	48.6%	0.0%	0.0%	-1.8%	917	-353.5K	-2.6K	0.09	50.82	11	1	362	360
2007-10-29	$25.36	$22.50	44.9%	12.9%	28.1%	69.1%	44.9%	0.0%	-6.9%	880	-317.6K	-2.6K	1.91	74.00	32	61	362	360
2007-10-30	$22.08	$25.00	42.6%	12.2%	56.4%	63.2%	41.7%	0.0%	-5.2%	-1.6K	307.6K	-2.4K	0.39	65.48	364	141	395	412
2007-10-31	$21.90	$22.50	42.3%	12.1%	56.3%	62.5%	27.8%	0.0%	-5.9%	2.3K	216.0K	-2.8K	0.03	67.25	71	2	480	448