IT Options History — May 2008

In May 2008, IT traded between $21.29 and $24.11. ATM implied volatility averaged 41.9%, placing in the 60.8% IV rank vs the trailing year. The 30-day expected move averaged 11.9%. IV traded above realized volatility by 6.1% (HV 20d: 35.9%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.86.

Notable Days

2008-05-07: Highest Volume — 243 contracts
2008-05-12: Largest IV spike — 46.4% change
2008-05-07: Highest IV Rank — 100.0%
2008-05-01: Largest Expected Move — 14.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$22.73	$21.29	$24.11	$23.08	$21.79
Max Pain	$18.69	$17.50	$20.00	$20.00	$20.00
ATM IV	41.9%	30.8%	57.8%	48.7%	37.7%
Expected Move	11.9%	10.4%	14.0%	14.0%	10.8%
HV 20d	35.9%	25.2%	48.6%	48.4%	25.2%
HV 60d	44.7%	42.6%	55.5%	55.5%	42.7%
IV Rank	60.8%	34.0%	100.0%	78.4%	47.0%
IV Percentile	64.2%	18.7%	100.0%	95.6%	44.8%
Term Structure	2.2%	-2.9%	8.7%	-2.6%	2.5%
VWIV	41.5%	38.1%	48.7%	48.7%	38.7%
Skew 25d	8.1%	2.2%	12.7%	9.7%	6.4%
Skew 10d	10.7%	-2.2%	23.4%	23.4%	12.2%
Call IV 25d	36.0%	31.3%	41.1%	38.5%	32.9%
Put IV 25d	44.1%	39.3%	48.8%	48.2%	39.3%
Bid-Ask Spread %	80.60	70.67	89.50	82.83	86.16
Gamma HHI	0.40	0.28	0.68	0.43	0.36
Net GEX	4.7K	-902	17.9K	7.2K	3.4K
Net DEX	-592.2K	-906.2K	-278.8K	-650.5K	-441.1K
Net VEX	-2.9K	-3.4K	-2.6K	-3.0K	-3.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.86	0.00	7.00	0.00	0.00
Total Volume	41.762	0	243	10	0
Total OI	1,254.429	1,042	1,421	1,149	1,308

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
2008-05-01	$23.08	$20.00	48.7%	14.0%	48.4%	78.4%	48.7%	9.7%	-2.6%	7.2K	-650.5K	-3.0K	0.00	82.83	0	10	532	617
2008-05-02	$23.12	$20.00	47.3%	13.6%	48.4%	79.9%	0.0%	7.7%	-2.9%	6.8K	-668.0K	-2.9K	0.00	87.88	5	0	532	627
2008-05-05	$23.47	$17.50	48.6%	12.8%	48.4%	83.2%	0.0%	9.2%	1.0%	7.5K	-729.2K	-2.8K	0.00	74.43	0	0	535	627
2008-05-06	$23.30	$17.50	51.7%	13.2%	48.6%	91.3%	0.0%	10.4%	-0.4%	7.4K	-703.1K	-2.8K	0.00	74.76	0	0	535	627
2008-05-07	$23.69	$17.50	57.8%	13.0%	45.6%	100.0%	0.0%	12.6%	-0.9%	6.5K	-776.0K	-2.7K	0.75	70.67	139	104	535	627
2008-05-08	$24.11	$17.50	41.9%	11.6%	42.9%	61.0%	40.7%	12.7%	3.5%	11.4K	-884.3K	-2.6K	0.00	81.78	224	0	609	724
2008-05-09	$23.88	$17.50	30.8%	11.5%	37.9%	34.0%	0.0%	11.3%	3.6%	15.5K	-883.5K	-2.8K	0.00	75.27	2	0	685	724
2008-05-12	$23.48	$17.50	45.1%	13.0%	38.9%	69.0%	44.6%	7.4%	-0.2%	4.9K	-837.9K	-2.6K	0.87	76.50	15	13	687	724
2008-05-13	$24.00	$17.50	37.6%	11.5%	38.5%	50.6%	0.0%	9.0%	3.2%	17.9K	-906.2K	-2.6K	0.00	78.93	0	0	683	718
2008-05-14	$23.52	$17.50	37.2%	11.8%	33.1%	49.6%	41.3%	5.3%	3.0%	6.5K	-839.8K	-2.6K	7.00	79.57	3	21	683	718
2008-05-15	$23.27	$17.50	42.0%	12.0%	31.5%	61.2%	0.0%	5.2%	2.2%	1.9K	-762.1K	-2.6K	0.00	76.93	12	0	683	728
2008-05-16	$22.46	$17.50	42.0%	12.1%	32.7%	61.4%	38.1%	2.2%	2.4%	-902	-522.8K	-2.7K	0.00	77.75	35	0	693	728
2008-05-19	$22.40	$17.50	40.3%	11.6%	31.9%	57.1%	40.3%	5.0%	1.9%	968	-402.4K	-2.6K	1.15	77.05	13	15	460	582
2008-05-20	$22.13	$20.00	38.7%	11.1%	31.0%	53.2%	40.8%	6.2%	5.8%	-205	-349.1K	-2.6K	0.13	76.48	75	10	472	596
2008-05-21	$21.72	$20.00	41.4%	11.9%	31.6%	56.8%	41.5%	3.2%	1.8%	1.4K	-371.2K	-3.0K	0.00	80.95	11	0	546	606
2008-05-22	$21.62	$20.00	39.6%	11.3%	28.9%	51.9%	40.2%	11.1%	3.3%	1.7K	-352.1K	-3.0K	0.98	84.88	55	54	556	606
2008-05-23	$21.29	$20.00	38.7%	11.1%	27.7%	49.6%	38.7%	7.8%	3.5%	-630	-278.8K	-3.4K	1.20	85.90	5	6	611	645
2008-05-27	$21.71	$20.00	40.5%	11.6%	28.6%	54.3%	0.0%	11.5%	2.4%	613	-368.0K	-3.3K	0.00	87.46	0	0	616	642
2008-05-28	$21.50	$20.00	36.1%	10.4%	27.9%	42.8%	0.0%	8.7%	8.7%	-337	-324.1K	-3.2K	0.00	86.90	0	0	616	642
2008-05-29	$21.81	$20.00	36.4%	10.4%	25.4%	43.6%	0.0%	7.4%	4.2%	87	-385.3K	-3.2K	0.00	89.50	50	0	616	642
2008-05-30	$21.79	$20.00	37.7%	10.8%	25.2%	47.0%	0.0%	6.4%	2.5%	3.4K	-441.1K	-3.3K	0.00	86.16	0	0	666	642