IT Options History — July 2008

In July 2008, IT traded between $19.57 and $25.06. ATM implied volatility averaged 43.8%, placing in the 61.2% IV rank vs the trailing year. The 30-day expected move averaged 12.6%. IV traded above realized volatility by 7.7% (HV 20d: 36.1%). Max pain ranged from $20.00 to $22.50. Net GEX was positive for 13 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 0.15.

Notable Days

2008-07-30: Highest Volume — 206 contracts
2008-07-02: Largest IV spike — 19.7% change
2008-07-02: Highest IV Rank — 80.4%
2008-07-02: Largest Expected Move — 14.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$21.40	$19.57	$25.06	$20.05	$24.36
Max Pain	$20.63	$20.00	$22.50	$22.50	$22.50
ATM IV	43.8%	34.5%	50.8%	42.4%	34.5%
Expected Move	12.6%	9.9%	14.6%	12.2%	9.9%
HV 20d	36.1%	29.7%	42.2%	42.2%	39.5%
HV 60d	35.4%	32.6%	40.1%	39.9%	37.8%
IV Rank	61.2%	35.3%	80.4%	57.3%	35.3%
IV Percentile	73.2%	8.3%	98.0%	72.2%	8.3%
Term Structure	0.3%	-2.7%	7.0%	4.0%	1.5%
VWIV	44.7%	40.0%	50.7%	45.2%	40.0%
Skew 25d	4.7%	2.3%	8.2%	3.7%	3.5%
Skew 10d	5.9%	-6.0%	12.7%	4.2%	4.5%
Call IV 25d	42.5%	41.0%	46.1%	44.1%	41.3%
Put IV 25d	47.2%	43.7%	54.4%	47.8%	44.8%
Bid-Ask Spread %	81.46	65.29	105.54	93.13	100.00
Gamma HHI	0.34	0.24	0.80	0.25	0.80
Net GEX	3.0K	-1.9K	21.4K	2.2K	21.4K
Net DEX	-190.4K	-799.5K	27.3K	-54.2K	-799.5K
Net VEX	-2.2K	-2.5K	-2.1K	-2.3K	-2.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.15	0.00	1.50	0.00	0.25
Total Volume	21.682	0	206	0	55
Total OI	777.636	699	926	780	926

Daily Data (22 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
2008-07-01	$20.05	$22.50	42.4%	12.2%	42.2%	57.3%	0.0%	3.7%	4.0%	2.2K	-54.2K	-2.3K	0.00	93.13	0	0	445	335
2008-07-02	$19.57	$22.50	50.8%	14.6%	40.5%	80.4%	0.0%	8.2%	-2.7%	2.6K	-39.2K	-2.4K	0.00	105.54	0	0	445	335
2008-07-03	$19.74	$22.50	42.6%	12.2%	37.1%	57.9%	0.0%	4.3%	3.1%	-474	25.4K	-2.2K	0.00	92.65	1	0	445	335
2008-07-07	$19.64	$0.00	45.8%	13.5%	34.3%	66.6%	0.0%	5.7%	-0.8%	-873	27.3K	-2.2K	0.00	72.34	0	2	444	335
2008-07-08	$19.98	$0.00	45.8%	13.5%	35.1%	66.8%	0.0%	4.0%	-1.6%	-1.1K	22.4K	-2.1K	0.00	71.60	0	0	444	337
2008-07-09	$19.75	$0.00	43.1%	13.1%	35.2%	59.2%	0.0%	5.5%	-0.0%	-690	8.1K	-2.1K	0.00	65.29	0	0	444	337
2008-07-10	$20.33	$0.00	45.8%	13.1%	34.8%	66.8%	0.0%	3.3%	-0.2%	-561	1.7K	-2.1K	0.00	82.76	0	0	444	337
2008-07-11	$20.71	$0.00	45.8%	13.1%	35.4%	66.8%	0.0%	6.2%	0.2%	1.7K	-64.0K	-2.2K	0.00	73.91	3	0	444	337
2008-07-14	$20.31	$0.00	45.1%	12.9%	35.5%	64.7%	45.2%	3.6%	0.5%	-1.9K	-40.5K	-2.1K	1.50	74.66	2	3	447	337
2008-07-15	$20.43	$20.00	46.3%	13.3%	35.6%	68.1%	0.0%	6.8%	-0.9%	-1.5K	-39.7K	-2.1K	0.00	68.10	13	0	449	335
2008-07-16	$21.30	$20.00	42.7%	12.2%	38.9%	58.1%	0.0%	7.4%	1.8%	5.6K	-143.2K	-2.2K	0.00	66.18	11	0	459	335
2008-07-17	$21.42	$20.00	43.5%	12.5%	38.6%	60.2%	0.0%	6.1%	0.2%	7.5K	-162.4K	-2.3K	0.00	70.76	0	2	470	335
2008-07-18	$21.58	$20.00	45.0%	12.9%	37.5%	64.6%	46.4%	5.9%	-1.7%	11.6K	-192.2K	-2.3K	0.00	78.18	1	0	470	334
2008-07-21	$21.59	$20.00	44.6%	12.8%	34.7%	63.4%	44.4%	3.8%	-2.0%	-1.4K	-175.9K	-2.2K	0.17	77.22	23	4	365	334
2008-07-22	$22.28	$20.00	43.2%	12.4%	35.8%	59.4%	43.1%	4.2%	0.5%	-961	-247.3K	-2.2K	0.00	88.14	2	0	388	338
2008-07-23	$22.13	$20.00	43.3%	12.4%	35.4%	59.8%	0.0%	4.4%	0.9%	769	-259.8K	-2.3K	0.00	79.20	0	0	390	338
2008-07-24	$22.37	$20.00	43.1%	12.4%	33.2%	59.1%	0.0%	3.5%	-0.0%	723	-271.2K	-2.2K	0.00	69.54	8	0	390	338
2008-07-25	$22.69	$20.00	43.6%	12.5%	29.7%	60.6%	44.8%	4.1%	-0.8%	2.3K	-347.7K	-2.3K	0.00	92.15	1	0	398	338
2008-07-28	$22.20	$20.00	44.5%	12.8%	31.1%	63.2%	0.0%	2.9%	-1.5%	1.5K	-293.6K	-2.2K	0.00	89.74	0	11	399	338
2008-07-29	$23.34	$20.00	40.0%	11.5%	35.0%	50.7%	50.7%	0.0%	7.0%	2.5K	-380.2K	-2.1K	0.00	100.15	129	0	399	349
2008-07-30	$25.06	$20.00	42.7%	12.2%	39.0%	58.2%	42.7%	2.3%	-1.4%	15.8K	-763.8K	-2.2K	0.06	80.82	195	11	517	349
2008-07-31	$24.36	$22.50	34.5%	9.9%	39.5%	35.3%	40.0%	3.5%	1.5%	21.4K	-799.5K	-2.5K	0.25	100.00	44	11	566	360