IT Options History — February 2008

In February 2008, IT traded between $14.77 and $19.91. ATM implied volatility averaged 44.0%, placing in the 66.7% IV rank vs the trailing year. The 30-day expected move averaged 12.4%. IV traded below realized volatility by 17.0% (HV 20d: 61.0%). Max pain ranged from $15.00 to $22.50. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 0.18.

Notable Days

2008-02-07: Highest Volume — 56 contracts
2008-02-11: Largest IV drop — 28.0% change
2008-02-04: Highest IV Rank — 86.0%
2008-02-01: Largest Expected Move — 14.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$17.72	$14.77	$19.91	$15.20	$18.91
Max Pain	$22.13	$15.00	$22.50	$15.00	$22.50
ATM IV	44.0%	35.3%	51.8%	48.8%	40.9%
Expected Move	12.4%	11.4%	14.0%	14.0%	11.7%
HV 20d	61.0%	33.6%	70.1%	40.7%	68.0%
HV 60d	50.7%	41.9%	54.1%	42.5%	52.9%
IV Rank	66.7%	45.4%	86.0%	78.6%	59.1%
IV Percentile	86.3%	62.7%	99.2%	98.0%	77.8%
Term Structure	-0.5%	-2.6%	0.9%	-2.6%	0.4%
VWIV	46.1%	36.8%	62.7%	62.7%	44.1%
Skew 25d	6.3%	-3.9%	26.9%	4.7%	3.1%
Skew 10d	10.6%	-10.3%	33.2%	17.0%	8.9%
Call IV 25d	39.1%	29.1%	46.5%	45.3%	39.4%
Put IV 25d	45.4%	36.0%	73.4%	49.9%	42.6%
Bid-Ask Spread %	80.91	53.00	93.47	91.72	90.22
Gamma HHI	0.29	0.23	0.34	0.29	0.33
Net GEX	-4.3K	-6.2K	-2.8K	-2.8K	-5.2K
Net DEX	109.8K	-48.1K	282.1K	261.9K	44.8K
Net VEX	-1.6K	-1.7K	-1.3K	-1.4K	-1.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.18	0.00	1.00	0.50	0.00
Total Volume	7.85	0	56	0	10
Total OI	613.55	569	643	569	643

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
2008-02-01	$15.20	$15.00	48.8%	14.0%	40.7%	78.6%	0.0%	4.7%	-2.6%	-2.8K	261.9K	-1.4K	0.00	91.72	0	0	220	349
2008-02-04	$15.00	$22.50	51.8%	13.3%	37.0%	86.0%	0.0%	8.0%	-1.2%	-2.8K	266.1K	-1.3K	0.00	53.41	0	5	220	349
2008-02-05	$14.80	$22.50	50.3%	13.2%	34.6%	82.3%	0.0%	16.9%	-0.6%	-3.0K	277.5K	-1.3K	0.00	57.31	0	0	220	354
2008-02-06	$14.77	$22.50	51.2%	13.2%	33.6%	84.4%	0.0%	26.9%	-1.8%	-3.0K	282.1K	-1.3K	0.50	88.98	10	5	220	354
2008-02-07	$17.25	$22.50	43.5%	12.5%	65.3%	65.4%	0.0%	3.0%	-0.1%	-3.8K	162.6K	-1.6K	0.00	76.56	56	0	230	359
2008-02-08	$16.70	$22.50	49.1%	12.7%	65.8%	79.3%	62.7%	2.2%	0.8%	-3.2K	160.4K	-1.7K	0.00	73.09	12	0	250	359
2008-02-11	$16.59	$22.50	35.3%	12.7%	64.4%	45.4%	36.8%	10.8%	-0.4%	-2.8K	175.0K	-1.6K	0.00	85.77	2	0	250	359
2008-02-12	$17.43	$22.50	44.0%	12.4%	66.6%	66.7%	0.0%	3.4%	0.1%	-3.4K	130.7K	-1.6K	0.00	79.31	0	0	250	359
2008-02-13	$18.53	$22.50	46.7%	12.6%	68.6%	73.3%	0.0%	4.0%	-1.1%	-4.5K	66.7K	-1.7K	0.00	53.00	0	10	250	359
2008-02-14	$17.92	$22.50	43.5%	12.5%	70.1%	65.6%	44.0%	1.7%	0.9%	-4.2K	107.3K	-1.7K	0.13	80.42	8	1	250	369
2008-02-15	$18.10	$22.50	44.1%	12.6%	69.7%	67.0%	0.0%	-0.9%	-0.3%	-4.2K	99.9K	-1.7K	0.00	86.99	0	0	257	370
2008-02-19	$18.14	$22.50	43.1%	12.4%	66.9%	64.5%	42.8%	-3.9%	-0.8%	-4.3K	93.7K	-1.6K	0.00	85.16	10	0	257	355
2008-02-20	$18.97	$22.50	41.3%	11.9%	67.2%	60.2%	44.1%	8.1%	-0.6%	-4.7K	40.9K	-1.7K	0.00	85.04	0	2	266	355
2008-02-21	$18.86	$22.50	41.9%	12.0%	67.4%	61.6%	0.0%	6.3%	-1.2%	-5.0K	34.2K	-1.6K	1.00	85.43	10	10	266	357
2008-02-22	$19.01	$22.50	39.9%	11.4%	66.8%	56.7%	0.0%	7.1%	0.5%	-5.1K	34.7K	-1.7K	0.00	85.73	0	0	276	367
2008-02-25	$19.37	$22.50	40.8%	11.7%	66.6%	58.9%	0.0%	-2.2%	-0.0%	-5.6K	12.6K	-1.6K	0.00	88.68	0	0	276	367
2008-02-26	$19.91	$22.50	41.3%	11.8%	66.6%	60.1%	0.0%	6.8%	-0.5%	-6.2K	-48.1K	-1.6K	0.00	93.47	5	0	276	367
2008-02-27	$19.52	$22.50	40.5%	11.6%	67.2%	58.1%	0.0%	7.5%	0.6%	-5.9K	-5.8K	-1.6K	0.00	89.77	0	0	276	367
2008-02-28	$19.40	$22.50	41.7%	12.0%	66.6%	61.1%	0.0%	12.2%	-1.7%	-5.8K	-1.5K	-1.6K	0.00	88.06	0	1	276	367
2008-02-29	$18.91	$22.50	40.9%	11.7%	68.0%	59.1%	0.0%	3.1%	0.4%	-5.2K	44.8K	-1.5K	0.00	90.22	10	0	276	367