IT Options History — January 2008

In January 2008, IT traded between $14.36 and $17.14. ATM implied volatility averaged 45.6%, placing in the 70.6% IV rank vs the trailing year. The 30-day expected move averaged 13.3%. IV traded above realized volatility by 3.1% (HV 20d: 42.4%). Max pain ranged from $15.00 to $20.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.43.

Notable Days

2008-01-02: Highest Volume — 168 contracts
2008-01-10: Largest IV spike — 38.2% change
2008-01-30: Highest IV Rank — 82.2%
2008-01-30: Largest Expected Move — 14.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$15.54	$14.36	$17.14	$17.14	$14.83
Max Pain	$19.29	$15.00	$20.00	$17.50	$15.00
ATM IV	45.6%	32.6%	50.3%	42.7%	48.9%
Expected Move	13.3%	12.3%	14.4%	12.3%	14.0%
HV 20d	42.4%	36.0%	48.6%	44.0%	39.4%
HV 60d	48.7%	42.0%	51.1%	48.4%	42.0%
IV Rank	70.6%	38.6%	82.2%	63.6%	78.8%
IV Percentile	94.6%	54.4%	99.2%	96.8%	98.4%
Term Structure	-0.8%	-3.9%	1.7%	1.7%	-1.9%
VWIV	50.3%	50.3%	50.3%	50.3%	50.3%
Skew 25d	2.8%	0.3%	9.8%	0.8%	4.6%
Skew 10d	11.5%	2.0%	20.2%	3.8%	13.7%
Call IV 25d	43.6%	38.2%	47.4%	42.8%	44.1%
Put IV 25d	46.4%	43.2%	49.6%	43.7%	48.7%
Bid-Ask Spread %	67.87	24.45	99.00	24.45	92.58
Gamma HHI	0.29	0.24	0.45	0.30	0.28
Net GEX	-3.3K	-4.8K	-1.6K	-3.8K	-2.2K
Net DEX	324.4K	247.6K	394.7K	331.4K	256.2K
Net VEX	-1.2K	-1.5K	-790	-790	-1.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.43	0.00	1.71	1.71	0.00
Total Volume	15.429	0	168	168	20
Total OI	517.524	384	556	384	551

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
2008-01-02	$17.14	$17.50	42.7%	12.3%	44.0%	63.6%	0.0%	0.8%	1.7%	-3.8K	331.4K	-790	1.71	24.45	62	106	98	286
2008-01-03	$16.83	$17.50	43.8%	12.6%	44.1%	66.3%	0.0%	0.3%	-0.7%	-4.1K	336.2K	-1.5K	0.00	54.70	0	0	160	372
2008-01-04	$15.98	$20.00	43.3%	12.9%	45.3%	65.0%	0.0%	0.7%	0.2%	-3.5K	373.6K	-1.2K	0.00	63.60	0	0	160	372
2008-01-07	$16.51	$20.00	45.5%	12.3%	47.1%	70.5%	0.0%	2.6%	1.5%	-3.8K	366.4K	-1.3K	0.00	66.81	0	5	160	372
2008-01-08	$16.79	$20.00	35.1%	12.4%	47.8%	44.9%	0.0%	1.1%	0.8%	-3.9K	345.3K	-1.4K	0.00	79.29	0	6	160	367
2008-01-09	$16.24	$20.00	32.6%	13.2%	48.6%	38.6%	0.0%	4.2%	0.0%	-3.6K	362.8K	-1.2K	0.00	63.05	0	10	160	361
2008-01-10	$16.68	$20.00	45.0%	12.9%	46.8%	69.3%	0.0%	1.9%	0.4%	-4.1K	345.0K	-1.3K	0.00	66.11	0	0	160	371
2008-01-11	$16.08	$20.00	45.4%	13.0%	48.3%	70.1%	0.0%	0.6%	0.8%	-4.1K	361.9K	-1.2K	0.00	38.50	0	25	160	371
2008-01-14	$16.00	$20.00	46.7%	13.4%	48.2%	73.5%	0.0%	1.9%	-0.3%	-4.7K	385.1K	-1.3K	0.00	41.29	0	0	160	396
2008-01-15	$15.61	$20.00	47.9%	13.7%	43.1%	76.3%	0.0%	2.8%	-0.9%	-4.7K	394.7K	-1.2K	0.00	43.77	0	0	160	396
2008-01-16	$15.62	$20.00	47.3%	13.6%	43.1%	74.9%	0.0%	1.5%	-1.2%	-4.4K	318.3K	-1.2K	0.00	42.09	0	0	160	346
2008-01-17	$15.40	$20.00	47.7%	13.7%	39.8%	75.9%	0.0%	6.3%	-1.2%	-4.8K	327.7K	-1.1K	0.00	44.26	0	0	160	346
2008-01-18	$14.72	$20.00	47.5%	13.6%	41.7%	75.5%	0.0%	1.1%	-1.6%	-4.8K	353.5K	-959	0.00	59.23	0	0	160	346
2008-01-22	$14.49	$0.00	48.9%	14.0%	38.5%	78.9%	0.0%	3.0%	-2.3%	-2.7K	323.4K	-916	0.00	93.44	10	0	140	321
2008-01-23	$14.55	$0.00	48.5%	13.9%	37.0%	77.8%	0.0%	5.1%	-1.7%	-2.6K	316.5K	-943	0.00	93.28	60	0	150	321
2008-01-24	$14.37	$0.00	47.6%	13.6%	36.5%	75.5%	0.0%	2.6%	-1.4%	-1.7K	266.0K	-1.2K	0.00	94.16	0	0	210	321
2008-01-25	$14.36	$0.00	47.3%	13.6%	36.6%	75.0%	0.0%	9.8%	-1.6%	-1.6K	270.3K	-1.1K	0.00	96.57	0	0	210	321
2008-01-28	$14.43	$0.00	46.6%	13.4%	36.0%	73.2%	0.0%	2.2%	-1.0%	-1.6K	273.1K	-1.1K	0.00	99.00	0	0	210	321
2008-01-29	$15.01	$0.00	47.9%	13.7%	39.6%	76.5%	0.0%	4.4%	-1.6%	-1.9K	256.8K	-1.2K	0.00	76.54	10	0	210	321
2008-01-30	$14.75	$0.00	50.3%	14.4%	39.5%	82.2%	50.3%	1.2%	-3.9%	-1.6K	247.6K	-1.2K	0.00	92.56	0	10	220	321
2008-01-31	$14.83	$15.00	48.9%	14.0%	39.4%	78.8%	0.0%	4.6%	-1.9%	-2.2K	256.2K	-1.2K	0.00	92.58	0	20	220	331