IT Options History — August 2008

In August 2008, IT traded between $23.70 and $27.81. ATM implied volatility averaged 42.0%, placing in the 46.7% IV rank vs the trailing year. The 30-day expected move averaged 11.9%. IV traded above realized volatility by 0.4% (HV 20d: 41.6%). 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 17 of 21 days. Put/call ratio averaged 2.61.

Notable Days

2008-08-19: Highest Volume — 133 contracts
2008-08-04: Largest IV drop — 24.3% change
2008-08-13: Highest IV Rank — 87.7%
2008-08-01: Largest Expected Move — 14.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$26.45	$23.70	$27.81	$23.70	$26.41
Max Pain	$20.12	$20.00	$22.50	$22.50	$20.00
ATM IV	42.0%	34.9%	53.8%	51.6%	38.2%
Expected Move	11.9%	10.0%	14.8%	14.8%	11.0%
HV 20d	41.6%	34.0%	45.6%	41.8%	34.1%
HV 60d	39.0%	38.1%	39.7%	38.1%	39.1%
IV Rank	46.7%	14.9%	87.7%	82.9%	27.4%
IV Percentile	51.7%	9.9%	99.6%	98.8%	24.6%
Term Structure	1.9%	-14.5%	12.6%	-14.5%	5.1%
VWIV	41.0%	30.1%	46.1%	42.3%	30.1%
Skew 25d	2.7%	-1.7%	13.2%	4.7%	13.2%
Skew 10d	1.5%	-10.2%	31.2%	1.9%	11.3%
Call IV 25d	39.6%	26.1%	45.5%	41.1%	26.1%
Put IV 25d	42.3%	37.9%	45.9%	45.8%	39.3%
Bid-Ask Spread %	79.35	66.67	111.51	111.51	84.36
Gamma HHI	0.62	0.45	0.87	0.63	0.48
Net GEX	20.7K	12.0K	28.8K	14.6K	27.7K
Net DEX	-1.1M	-1.4M	-544.7K	-544.7K	-1.2M
Net VEX	-2.8K	-3.9K	-2.1K	-2.6K	-3.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.61	0.00	25.00	10.00	0.25
Total Volume	39.333	0	133	22	5
Total OI	1,043.333	924	1,220	924	1,220

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
2008-08-01	$23.70	$22.50	51.6%	14.8%	41.8%	82.9%	0.0%	4.7%	-14.5%	14.6K	-544.7K	-2.6K	10.00	111.51	2	20	553	371
2008-08-04	$24.70	$20.00	39.1%	11.8%	42.9%	48.1%	42.3%	2.6%	1.4%	20.7K	-702.4K	-2.3K	10.00	85.88	2	20	554	380
2008-08-05	$25.02	$20.00	41.6%	11.8%	42.9%	55.2%	42.3%	2.8%	2.4%	22.8K	-793.2K	-2.4K	0.47	74.93	32	15	555	369
2008-08-06	$24.92	$20.00	40.7%	11.7%	42.4%	52.6%	40.8%	2.5%	3.1%	24.7K	-788.1K	-2.5K	0.00	75.73	4	0	570	374
2008-08-07	$25.69	$20.00	36.4%	12.8%	42.5%	40.6%	45.5%	0.3%	-1.0%	25.4K	-942.1K	-2.4K	1.46	89.53	41	60	570	374
2008-08-08	$26.46	$20.00	40.8%	13.0%	42.9%	52.8%	46.1%	3.1%	-2.9%	21.5K	-1.1M	-2.3K	0.00	80.12	73	0	589	382
2008-08-11	$27.28	$20.00	48.7%	13.2%	41.6%	72.0%	46.1%	5.3%	-3.3%	17.4K	-1.4M	-2.2K	0.00	91.24	8	0	647	382
2008-08-12	$26.99	$20.00	51.7%	12.0%	42.5%	81.0%	0.0%	1.0%	1.7%	18.6K	-1.4M	-2.2K	0.77	82.28	13	10	648	382
2008-08-13	$27.63	$20.00	53.8%	11.2%	41.4%	87.7%	43.3%	3.1%	4.1%	15.3K	-1.4M	-2.2K	1.00	83.15	11	11	643	392
2008-08-14	$27.49	$20.00	41.4%	11.9%	41.8%	49.5%	39.0%	3.4%	2.4%	14.8K	-1.4M	-2.3K	0.00	79.24	39	0	652	399
2008-08-15	$27.62	$20.00	38.5%	11.0%	41.9%	28.3%	39.4%	1.5%	2.7%	12.0K	-1.4M	-2.1K	0.00	89.17	54	0	652	399
2008-08-18	$27.81	$20.00	40.1%	11.5%	41.7%	34.3%	41.8%	1.6%	0.8%	14.0K	-1.1M	-2.4K	0.30	67.20	20	6	553	381
2008-08-19	$27.28	$20.00	41.4%	11.9%	42.6%	39.3%	41.5%	-1.7%	3.8%	16.2K	-1.0M	-2.5K	0.00	70.18	133	0	570	387
2008-08-20	$26.93	$20.00	41.4%	11.9%	42.9%	39.0%	40.0%	2.5%	3.2%	20.7K	-1.2M	-3.3K	0.02	73.56	54	1	686	387
2008-08-21	$26.33	$20.00	40.8%	11.7%	44.4%	36.7%	36.8%	1.9%	3.5%	22.9K	-1.1M	-3.4K	25.00	67.95	1	25	732	387
2008-08-22	$26.78	$20.00	39.8%	11.4%	44.5%	33.0%	39.0%	3.0%	5.1%	23.2K	-1.1M	-3.5K	0.17	73.11	6	1	732	412
2008-08-25	$25.93	$20.00	41.3%	11.8%	45.6%	38.8%	41.3%	0.9%	2.4%	22.6K	-1.0M	-3.4K	0.00	68.77	12	0	737	411
2008-08-26	$26.36	$20.00	41.4%	11.9%	42.9%	39.3%	0.0%	-0.9%	2.5%	23.6K	-1.0M	-3.3K	0.00	72.50	0	25	727	411
2008-08-27	$26.93	$20.00	34.9%	10.0%	36.0%	14.9%	30.1%	3.3%	12.6%	26.4K	-1.1M	-3.1K	0.20	79.21	102	20	727	393
2008-08-28	$27.17	$20.00	38.4%	11.0%	34.0%	28.1%	0.0%	1.7%	4.1%	28.8K	-1.3M	-3.9K	0.00	66.67	0	0	827	393
2008-08-29	$26.41	$20.00	38.2%	11.0%	34.1%	27.4%	0.0%	13.2%	5.1%	27.7K	-1.2M	-3.9K	0.25	84.36	4	1	827	393