IT Options History — November 2007

In November 2007, IT traded between $17.79 and $21.81. ATM implied volatility averaged 41.1%, placing in the 59.6% IV rank vs the trailing year. The 30-day expected move averaged 11.5%. IV traded below realized volatility by 18.2% (HV 20d: 59.3%). Max pain ranged from $22.50 to $25.00. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 0.47.

Notable Days

2007-11-15: Highest Volume — 20 contracts
2007-11-15: Largest IV drop — 10.6% change
2007-11-14: Highest IV Rank — 68.5%
2007-11-21: Largest Expected Move — 12.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$19.54	$17.79	$21.81	$20.92	$18.89
Max Pain	$23.10	$22.50	$25.00	$22.50	$22.50
ATM IV	41.1%	38.2%	44.7%	40.9%	40.8%
Expected Move	11.5%	10.6%	12.1%	11.7%	11.7%
HV 20d	59.3%	44.6%	64.4%	57.9%	44.6%
HV 60d	44.7%	43.3%	46.4%	43.7%	46.2%
IV Rank	59.6%	52.6%	68.5%	59.2%	58.8%
IV Percentile	95.0%	89.1%	98.2%	97.1%	91.7%
Term Structure	-1.6%	-3.5%	0.4%	-2.8%	-3.5%
VWIV	35.4%	24.2%	40.2%	38.7%	38.2%
Skew 25d	2.3%	-7.3%	10.1%	-1.2%	2.0%
Skew 10d	6.9%	-7.8%	16.2%	3.8%	7.5%
Call IV 25d	38.7%	30.9%	43.8%	39.9%	39.4%
Put IV 25d	41.0%	36.5%	42.6%	38.7%	41.4%
Bid-Ask Spread %	36.95	24.82	48.31	42.15	31.58
Gamma HHI	0.57	0.44	0.67	0.59	0.61
Net GEX	2.2K	-2.3K	9.0K	3.1K	-2.3K
Net DEX	333.9K	162.6K	505.8K	356.5K	355.5K
Net VEX	-1.5K	-2.5K	-716	-2.4K	-937
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.47	0.00	2.50	0.00	0.00
Total Volume	4.762	0	20	10	0
Total OI	749.952	620	916	906	620

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
2007-11-01	$20.92	$22.50	40.9%	11.7%	57.9%	59.2%	0.0%	0.0%	-2.8%	3.1K	356.5K	-2.4K	0.00	42.15	10	0	460	446
2007-11-02	$21.42	$22.50	39.9%	11.4%	57.8%	56.5%	0.0%	0.0%	-2.9%	3.2K	304.3K	-2.5K	0.00	45.78	0	0	470	446
2007-11-05	$21.35	$25.00	42.5%	10.6%	57.8%	63.0%	0.0%	0.0%	-0.9%	4.0K	210.2K	-2.4K	0.00	39.61	0	0	470	405
2007-11-06	$21.81	$25.00	38.8%	10.8%	58.5%	53.9%	0.0%	0.0%	-0.7%	4.3K	162.6K	-2.5K	0.00	39.27	8	0	470	405
2007-11-07	$21.52	$25.00	41.0%	10.9%	58.4%	59.4%	0.0%	0.0%	-1.8%	4.1K	192.5K	-2.4K	0.00	40.44	0	0	470	405
2007-11-08	$20.95	$25.00	43.0%	11.3%	58.7%	64.2%	0.0%	0.0%	-1.2%	4.5K	305.4K	-2.1K	0.00	48.31	0	0	470	405
2007-11-09	$19.33	$25.00	43.1%	11.2%	63.5%	64.5%	38.7%	0.0%	-0.7%	3.5K	505.8K	-1.5K	0.33	39.21	3	1	470	405
2007-11-12	$19.37	$22.50	40.5%	11.5%	63.6%	58.2%	0.0%	-1.2%	-2.1%	5.5K	299.8K	-1.4K	0.00	47.12	10	0	470	292
2007-11-13	$19.61	$22.50	41.2%	11.6%	64.0%	60.0%	24.2%	2.7%	-1.8%	9.0K	279.4K	-1.5K	0.00	32.46	0	10	480	292
2007-11-14	$19.50	$22.50	44.7%	11.4%	63.5%	68.5%	39.6%	0.2%	-1.6%	8.5K	280.0K	-1.4K	0.00	38.68	0	10	480	292
2007-11-15	$19.26	$22.50	40.0%	11.5%	62.8%	56.9%	40.2%	10.1%	-1.8%	5.2K	350.4K	-1.3K	0.00	47.06	0	20	480	299
2007-11-16	$19.49	$22.50	40.2%	11.5%	62.0%	57.4%	31.2%	3.2%	-2.1%	8.5K	339.3K	-1.4K	2.50	38.46	4	10	480	304
2007-11-19	$18.66	$22.50	40.9%	11.7%	63.0%	59.2%	0.0%	6.0%	-1.9%	-1.9K	368.7K	-1.1K	0.00	24.82	0	0	351	287
2007-11-20	$18.05	$22.50	41.2%	11.8%	63.2%	60.0%	0.0%	2.1%	-2.2%	-1.7K	400.9K	-826	0.00	31.79	0	10	351	287
2007-11-21	$18.18	$22.50	42.1%	12.1%	62.8%	62.0%	0.0%	5.4%	-2.2%	-1.9K	399.1K	-918	0.00	35.70	0	0	351	291
2007-11-23	$18.57	$22.50	41.4%	11.9%	63.7%	60.5%	0.0%	1.5%	-0.8%	-2.1K	395.9K	-926	0.00	26.42	0	0	351	291
2007-11-26	$17.79	$22.50	40.2%	11.5%	62.1%	57.5%	0.0%	-7.3%	-0.9%	-1.8K	414.9K	-716	0.00	32.67	0	0	351	291
2007-11-27	$18.34	$22.50	41.1%	11.8%	64.4%	59.5%	0.0%	-0.0%	-0.2%	-2.0K	372.2K	-842	0.00	31.07	0	0	351	270
2007-11-28	$18.65	$22.50	40.8%	11.7%	46.3%	59.0%	0.0%	2.2%	-1.4%	-2.2K	360.4K	-901	0.00	30.25	0	0	351	269
2007-11-29	$18.78	$22.50	38.2%	11.0%	46.6%	52.6%	38.2%	5.4%	0.4%	-2.3K	358.9K	-924	0.00	33.09	4	0	351	269
2007-11-30	$18.89	$22.50	40.8%	11.7%	44.6%	58.8%	0.0%	2.0%	-3.5%	-2.3K	355.5K	-937	0.00	31.58	0	0	351	269