IT Options History — December 2007

In December 2007, IT traded between $16.38 and $18.85. ATM implied volatility averaged 39.6%, placing in the 56.0% IV rank vs the trailing year. The 30-day expected move averaged 11.3%. IV traded below realized volatility by 4.1% (HV 20d: 43.8%). Max pain ranged from $20.00 to $22.50. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 2.64.

Notable Days

2007-12-31: Highest Volume — 60 contracts
2007-12-07: Largest IV drop — 10.8% change
2007-12-05: Highest IV Rank — 64.8%
2007-12-05: Largest Expected Move — 12.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$17.89	$16.38	$18.85	$18.29	$17.56
Max Pain	$21.25	$20.00	$22.50	$22.50	$20.00
ATM IV	39.6%	35.9%	43.2%	42.0%	39.8%
Expected Move	11.3%	10.6%	12.4%	12.0%	11.4%
HV 20d	43.8%	35.6%	47.0%	44.2%	44.6%
HV 60d	47.7%	46.3%	49.1%	46.5%	48.7%
IV Rank	56.0%	46.9%	64.8%	61.8%	56.3%
IV Percentile	87.9%	81.7%	97.9%	95.2%	87.2%
Term Structure	-0.2%	-4.6%	2.2%	-1.4%	1.3%
VWIV	37.1%	32.5%	40.3%	38.7%	40.3%
Skew 25d	3.8%	1.0%	11.3%	2.1%	5.6%
Skew 10d	9.1%	1.3%	18.1%	1.3%	18.1%
Call IV 25d	37.8%	28.6%	44.5%	39.6%	35.9%
Put IV 25d	41.7%	32.7%	45.5%	41.7%	41.5%
Bid-Ask Spread %	47.85	24.05	71.05	38.31	24.05
Gamma HHI	0.52	0.28	0.71	0.65	0.28
Net GEX	-1.9K	-3.4K	-17	-2.1K	-3.4K
Net DEX	305.9K	199.3K	384.6K	378.2K	273.9K
Net VEX	-644	-806	-343	-744	-685
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.64	0.00	5.00	4.20	5.00
Total Volume	10.3	0	60	0	60
Total OI	520.8	273	620	620	324

Daily Data (20 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
2007-12-03	$18.29	$22.50	42.0%	12.0%	44.2%	61.8%	0.0%	2.1%	-1.4%	-2.1K	378.2K	-744	0.00	38.31	0	0	351	269
2007-12-04	$18.00	$22.50	42.1%	12.1%	44.3%	62.0%	0.0%	11.3%	-2.4%	-2.0K	384.6K	-718	0.00	41.03	0	0	351	269
2007-12-05	$18.58	$22.50	43.2%	12.4%	45.4%	64.8%	0.0%	1.0%	-1.3%	-1.9K	300.6K	-783	0.00	31.81	0	0	351	228
2007-12-06	$18.77	$22.50	40.3%	11.5%	45.8%	57.6%	0.0%	2.3%	-4.6%	-2.0K	297.0K	-790	0.00	38.42	0	0	351	228
2007-12-07	$18.73	$0.00	35.9%	11.3%	45.2%	46.9%	0.0%	2.3%	0.2%	-2.0K	300.4K	-773	0.00	52.19	0	0	351	228
2007-12-10	$18.85	$0.00	39.8%	11.1%	35.6%	56.4%	0.0%	3.4%	-0.5%	-2.2K	300.3K	-806	0.00	51.06	0	0	351	228
2007-12-11	$17.87	$0.00	40.4%	10.6%	40.0%	57.9%	0.0%	7.8%	2.2%	-1.8K	330.0K	-591	0.00	71.05	0	0	351	228
2007-12-12	$17.75	$0.00	41.0%	11.2%	39.6%	59.3%	0.0%	5.7%	1.0%	-1.6K	333.2K	-535	0.00	61.27	0	0	351	228
2007-12-13	$17.50	$0.00	39.4%	11.3%	39.7%	55.3%	0.0%	3.0%	0.1%	-1.5K	333.5K	-511	0.00	56.01	0	0	351	228
2007-12-14	$16.38	$0.00	39.1%	11.2%	45.2%	54.7%	0.0%	1.4%	0.0%	-893	337.0K	-347	0.00	46.87	0	0	351	228
2007-12-17	$16.42	$0.00	38.8%	11.1%	44.7%	54.0%	0.0%	2.9%	-0.0%	-919	327.4K	-343	0.00	38.22	0	18	351	222
2007-12-18	$17.13	$0.00	39.0%	11.2%	46.2%	54.4%	0.0%	3.4%	0.0%	-1.0K	324.5K	-414	4.20	61.44	10	42	351	217
2007-12-19	$17.33	$0.00	39.4%	11.3%	45.2%	55.4%	0.0%	5.1%	0.8%	-17	334.9K	-589	0.00	63.87	5	0	361	259
2007-12-20	$17.95	$0.00	39.0%	11.2%	47.0%	54.3%	0.0%	4.9%	0.6%	-519	324.3K	-635	0.00	40.83	0	0	356	259
2007-12-21	$18.34	$0.00	39.3%	11.3%	47.0%	55.0%	0.0%	3.6%	0.9%	-1.9K	313.9K	-721	0.00	41.40	0	0	361	259
2007-12-24	$18.42	$0.00	39.1%	11.2%	44.3%	54.6%	38.7%	3.4%	-1.4%	-2.4K	199.3K	-666	3.00	42.51	10	30	88	185
2007-12-26	$18.35	$20.00	39.5%	11.3%	43.0%	55.6%	32.5%	3.7%	-0.6%	-2.8K	220.0K	-799	0.00	46.05	0	6	98	215
2007-12-27	$17.71	$20.00	38.1%	10.9%	44.3%	52.3%	0.0%	1.4%	-0.8%	-2.7K	245.2K	-697	1.00	56.29	10	10	98	221
2007-12-28	$17.89	$20.00	38.0%	10.9%	44.4%	51.9%	0.0%	2.5%	1.1%	-3.4K	259.6K	-741	0.00	54.42	0	5	88	231
2007-12-31	$17.56	$20.00	39.8%	11.4%	44.6%	56.3%	40.3%	5.6%	1.3%	-3.4K	273.9K	-685	5.00	24.05	10	50	88	236