IT Options History — June 2008

In June 2008, IT traded between $20.72 and $23.35. ATM implied volatility averaged 40.4%, placing in the 52.1% IV rank vs the trailing year. The 30-day expected move averaged 11.6%. IV traded above realized volatility by 5.8% (HV 20d: 34.6%). Max pain ranged from $20.00 to $22.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.04.

Notable Days

2008-06-05: Highest Volume — 90 contracts
2008-06-11: Largest IV spike — 34.4% change
2008-06-11: Highest IV Rank — 79.1%
2008-06-12: Largest Expected Move — 12.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$21.59	$20.72	$23.35	$21.49	$20.72
Max Pain	$22.02	$20.00	$22.50	$20.00	$22.50
ATM IV	40.4%	36.9%	50.3%	37.3%	43.9%
Expected Move	11.6%	10.6%	12.7%	10.7%	12.6%
HV 20d	34.6%	25.1%	41.2%	25.4%	41.0%
HV 60d	40.1%	38.4%	42.5%	42.5%	39.3%
IV Rank	52.1%	43.5%	79.1%	45.0%	61.4%
IV Percentile	57.4%	41.7%	97.6%	44.0%	79.4%
Term Structure	4.0%	1.0%	6.2%	3.3%	2.3%
VWIV	39.0%	37.4%	40.1%	37.4%	38.9%
Skew 25d	6.0%	-4.3%	27.8%	7.7%	4.5%
Skew 10d	11.7%	0.2%	57.4%	9.6%	7.1%
Call IV 25d	38.6%	25.2%	43.9%	35.8%	43.3%
Put IV 25d	44.6%	33.3%	53.5%	43.5%	47.8%
Bid-Ask Spread %	72.08	45.91	94.99	91.30	83.04
Gamma HHI	0.29	0.25	0.47	0.32	0.27
Net GEX	4.9K	1.9K	8.8K	1.9K	4.6K
Net DEX	-384.1K	-760.7K	-123.7K	-359.8K	-125.0K
Net VEX	-2.9K	-3.2K	-2.5K	-3.2K	-2.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.04	0.00	0.38	0.00	0.00
Total Volume	12.524	0	90	0	8
Total OI	1,178.571	751	1,360	1,308	772

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
2008-06-02	$21.49	$20.00	37.3%	10.7%	25.4%	45.0%	0.0%	7.7%	3.3%	1.9K	-359.8K	-3.2K	0.00	91.30	0	0	666	642
2008-06-03	$21.73	$20.00	37.1%	10.6%	25.1%	44.2%	0.0%	6.3%	4.0%	2.5K	-432.8K	-3.1K	0.00	87.81	10	0	666	642
2008-06-04	$22.44	$20.00	37.4%	10.7%	28.1%	44.9%	37.4%	4.6%	1.8%	5.1K	-582.3K	-3.2K	0.00	90.71	0	38	676	642
2008-06-05	$23.35	$20.00	39.3%	11.3%	31.1%	50.1%	38.9%	27.8%	1.0%	8.8K	-760.7K	-3.1K	0.38	90.24	65	25	676	634
2008-06-06	$22.30	$22.50	36.9%	11.4%	34.2%	43.6%	40.1%	1.6%	5.5%	8.8K	-635.5K	-3.2K	0.00	52.32	13	0	721	637
2008-06-09	$21.95	$22.50	39.3%	11.8%	34.4%	48.8%	0.0%	-0.2%	4.4%	7.1K	-523.9K	-3.2K	0.00	56.53	0	0	723	637
2008-06-10	$21.84	$22.50	37.4%	11.4%	34.1%	43.5%	39.5%	-4.3%	4.4%	5.8K	-495.0K	-3.1K	0.00	45.91	2	0	723	637
2008-06-11	$21.02	$22.50	50.3%	12.2%	34.8%	79.1%	0.0%	10.1%	3.8%	5.2K	-335.0K	-3.0K	0.00	66.12	10	0	721	637
2008-06-12	$21.20	$22.50	44.2%	12.7%	34.8%	62.3%	0.0%	16.1%	2.7%	4.1K	-346.8K	-2.9K	0.00	60.76	0	20	711	636
2008-06-13	$21.51	$22.50	39.2%	11.2%	35.4%	48.4%	0.0%	8.6%	6.1%	4.6K	-399.7K	-2.9K	0.00	53.87	0	8	711	636
2008-06-16	$21.47	$22.50	38.8%	11.1%	33.4%	47.2%	0.0%	5.3%	6.2%	3.2K	-364.9K	-2.8K	0.00	60.86	0	0	711	644
2008-06-17	$21.50	$22.50	39.9%	11.4%	33.4%	50.3%	0.0%	3.7%	4.1%	3.8K	-400.1K	-2.7K	0.00	67.03	9	0	711	644
2008-06-18	$21.80	$22.50	39.6%	11.4%	33.7%	49.5%	0.0%	5.3%	4.5%	3.1K	-455.8K	-2.7K	0.00	64.63	10	0	716	644
2008-06-19	$22.36	$22.50	40.4%	11.6%	34.2%	51.8%	0.0%	4.2%	4.3%	2.3K	-568.0K	-2.8K	0.00	71.56	0	10	716	644
2008-06-20	$21.49	$22.50	40.1%	11.5%	37.1%	50.8%	0.0%	3.7%	4.4%	4.9K	-419.2K	-2.6K	0.00	82.28	13	0	716	639
2008-06-23	$21.13	$22.50	42.1%	12.1%	37.2%	56.5%	38.9%	4.3%	5.1%	5.8K	-208.4K	-2.6K	0.00	75.93	2	0	424	327
2008-06-24	$20.84	$22.50	42.9%	12.3%	36.7%	58.7%	0.0%	3.6%	4.0%	4.3K	-126.2K	-2.5K	0.00	94.99	20	0	425	327
2008-06-25	$21.63	$22.50	38.7%	11.1%	39.1%	47.1%	0.0%	4.2%	4.3%	7.5K	-236.5K	-2.7K	0.00	67.23	0	0	445	327
2008-06-26	$20.79	$22.50	41.4%	11.9%	41.2%	54.4%	0.0%	3.7%	4.3%	5.6K	-166.8K	-2.6K	0.00	71.86	0	0	445	327
2008-06-27	$20.85	$22.50	42.0%	12.0%	41.2%	56.1%	0.0%	4.8%	3.7%	4.4K	-123.7K	-2.5K	0.00	78.78	0	0	445	327
2008-06-30	$20.72	$22.50	43.9%	12.6%	41.0%	61.4%	0.0%	4.5%	2.3%	4.6K	-125.0K	-2.5K	0.00	83.04	0	8	445	327