IT Options History — September 2008

In September 2008, IT traded between $22.18 and $26.88. ATM implied volatility averaged 63.3%, placing in the 52.1% IV rank vs the trailing year. The 30-day expected move averaged 18.3%. IV traded above realized volatility by 13.2% (HV 20d: 50.1%). Max pain ranged from $20.00 to $25.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 1.90.

Notable Days

2008-09-23: Highest Volume — 110 contracts
2008-09-17: Largest IV spike — 150.5% change
2008-09-15: Highest IV Rank — 100.0%
2008-09-29: Largest Expected Move — 32.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$24.33	$22.18	$26.88	$26.72	$22.68
Max Pain	$23.93	$20.00	$25.00	$20.00	$22.50
ATM IV	63.3%	35.5%	114.2%	44.5%	56.0%
Expected Move	18.3%	10.2%	32.8%	12.8%	16.1%
HV 20d	50.1%	31.3%	65.0%	31.5%	65.0%
HV 60d	44.0%	37.3%	49.4%	37.8%	49.4%
IV Rank	52.1%	17.2%	100.0%	50.7%	30.2%
IV Percentile	71.2%	12.7%	100.0%	76.2%	96.4%
Term Structure	-13.7%	-67.3%	16.8%	-7.4%	-3.3%
VWIV	44.0%	27.2%	63.8%	49.9%	50.2%
Skew 25d	17.9%	-17.0%	98.3%	3.9%	11.9%
Skew 10d	13.6%	-28.5%	87.8%	7.1%	7.4%
Call IV 25d	49.6%	25.7%	102.7%	41.3%	51.6%
Put IV 25d	67.5%	32.1%	149.3%	45.2%	63.4%
Bid-Ask Spread %	110.87	62.95	162.72	84.95	109.24
Gamma HHI	0.47	0.32	0.74	0.49	0.44
Net GEX	20.4K	7.1K	68.0K	28.2K	10.2K
Net DEX	-655.8K	-1.3M	-144.8K	-1.3M	-144.8K
Net VEX	-3.6K	-4.0K	-3.1K	-3.9K	-3.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.90	0.00	10.00	0.00	0.33
Total Volume	27.524	0	110	3	80
Total OI	1,111.095	689	1,367	1,225	847

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
2008-09-02	$26.72	$20.00	44.5%	12.8%	31.5%	50.7%	49.9%	3.9%	-7.4%	28.2K	-1.3M	-3.9K	0.00	84.95	3	0	831	394
2008-09-03	$26.88	$20.00	36.1%	10.3%	31.3%	19.5%	63.8%	15.5%	13.7%	28.5K	-1.3M	-3.8K	0.00	82.76	2	0	831	394
2008-09-04	$26.57	$20.00	35.5%	10.2%	31.7%	17.2%	30.2%	12.0%	12.9%	28.6K	-1.2M	-3.7K	0.55	72.88	20	11	832	394
2008-09-05	$25.82	$25.00	43.4%	12.3%	31.9%	46.6%	42.4%	-0.3%	0.9%	27.7K	-1.1M	-3.7K	0.00	62.95	8	0	842	398
2008-09-08	$26.49	$25.00	37.0%	12.4%	31.4%	23.0%	0.0%	11.9%	2.6%	26.7K	-1.3M	-3.7K	0.00	80.76	0	0	846	398
2008-09-09	$23.60	$25.00	40.7%	12.6%	50.0%	36.6%	44.1%	2.8%	0.6%	24.6K	-704.2K	-3.2K	0.43	87.34	30	13	846	398
2008-09-10	$24.20	$25.00	39.7%	12.4%	51.2%	32.7%	27.2%	-10.1%	1.0%	26.7K	-755.9K	-3.3K	0.00	81.11	22	0	860	401
2008-09-11	$24.23	$25.00	43.9%	12.6%	50.2%	48.2%	0.0%	2.3%	-1.0%	27.4K	-721.6K	-3.1K	2.50	81.65	4	10	858	401
2008-09-12	$23.78	$25.00	37.8%	10.8%	50.3%	25.7%	0.0%	21.9%	16.8%	12.1K	-664.8K	-3.4K	4.00	139.21	5	20	857	406
2008-09-15	$23.68	$25.00	94.3%	27.0%	50.2%	100.0%	0.0%	29.4%	-44.8%	14.2K	-607.7K	-3.4K	10.00	152.05	1	10	853	426
2008-09-16	$24.02	$25.00	42.6%	12.2%	50.5%	18.5%	0.0%	6.1%	-3.5%	18.1K	-608.9K	-3.2K	9.89	105.11	9	89	853	436
2008-09-17	$22.90	$25.00	106.6%	30.6%	52.4%	100.0%	0.0%	11.2%	-42.3%	10.9K	-491.0K	-3.9K	0.00	123.07	2	0	848	517
2008-09-18	$23.52	$25.00	46.6%	13.3%	53.8%	20.7%	0.0%	-17.0%	10.7%	17.0K	-439.7K	-3.5K	1.60	131.43	10	16	850	517
2008-09-19	$25.00	$25.00	87.5%	25.1%	58.6%	74.8%	0.0%	13.9%	-32.3%	68.0K	-777.7K	-3.8K	0.00	133.88	13	0	841	502
2008-09-22	$24.29	$25.00	96.5%	27.7%	58.8%	86.6%	0.0%	98.3%	-38.2%	10.2K	-436.4K	-3.8K	0.00	130.23	0	0	506	183
2008-09-23	$23.51	$25.00	103.8%	29.7%	58.8%	96.2%	0.0%	75.2%	-67.3%	9.1K	-266.6K	-3.6K	2.67	132.37	30	80	516	183
2008-09-24	$22.98	$25.00	108.2%	31.0%	58.6%	100.0%	0.0%	22.0%	-45.7%	7.1K	-298.3K	-3.9K	0.00	144.92	0	0	546	236
2008-09-25	$24.02	$25.00	47.9%	13.7%	60.6%	22.1%	50.2%	10.4%	-1.0%	9.3K	-206.5K	-3.8K	0.33	84.64	60	20	546	236
2008-09-26	$23.86	$22.50	66.2%	19.0%	60.3%	45.7%	0.0%	7.6%	-11.3%	14.7K	-390.3K	-4.0K	0.00	145.10	0	0	606	246
2008-09-29	$22.18	$22.50	114.2%	32.8%	64.4%	100.0%	0.0%	46.6%	-48.3%	8.4K	-162.0K	-3.6K	0.00	162.72	10	0	606	246
2008-09-30	$22.68	$22.50	56.0%	16.1%	65.0%	30.2%	0.0%	11.9%	-3.3%	10.2K	-144.8K	-3.5K	0.33	109.24	60	20	601	246