IT Options History — January 2009

In January 2009, IT traded between $14.16 and $18.47. ATM implied volatility averaged 98.8%, placing in the 53.1% IV rank vs the trailing year. The 30-day expected move averaged 25.8%. IV traded above realized volatility by 45.6% (HV 20d: 53.1%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 17 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 0.05.

Notable Days

2009-01-16: Highest Volume — 300 contracts
2009-01-20: Largest IV spike — 88.3% change
2009-01-09: Highest IV Rank — 99.3%
2009-01-02: Largest Expected Move — 38.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$15.77	$14.16	$18.47	$18.47	$14.16
Max Pain	$15.25	$15.00	$17.50	$17.50	$15.00
ATM IV	98.8%	66.0%	157.8%	134.9%	75.4%
Expected Move	25.8%	19.4%	38.7%	38.7%	21.6%
HV 20d	53.1%	48.9%	59.5%	53.5%	49.2%
HV 60d	77.1%	72.3%	84.2%	83.5%	72.3%
IV Rank	53.1%	27.5%	99.3%	81.4%	34.9%
IV Percentile	84.1%	70.2%	99.6%	98.8%	71.0%
Term Structure	-8.7%	-48.1%	10.1%	-6.2%	-6.3%
VWIV	64.4%	64.4%	64.4%	64.4%	64.4%
Skew 25d	10.7%	-18.7%	39.2%	39.2%	6.5%
Skew 10d	26.8%	-21.1%	84.0%	41.5%	13.6%
Call IV 25d	71.7%	64.8%	92.4%	70.3%	65.9%
Put IV 25d	82.5%	72.4%	109.4%	109.4%	72.4%
Bid-Ask Spread %	91.56	39.73	146.89	139.01	83.00
Gamma HHI	0.46	0.22	0.74	0.27	0.74
Net GEX	4.6K	-3.2K	10.9K	369	10.8K
Net DEX	16.1K	-192.2K	240.3K	28.6K	-77.2K
Net VEX	-943	-1.4K	-478	-1.3K	-748
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.05	0.00	0.20	0.07	0.00
Total Volume	26.7	0	300	0	49
Total OI	760.05	587	887	587	887

Daily Data (20 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
2009-01-02	$18.47	$17.50	134.9%	38.7%	53.5%	81.4%	0.0%	39.2%	-6.2%	369	28.6K	-1.3K	0.00	139.01	0	0	361	226
2009-01-05	$17.80	$0.00	152.7%	36.7%	54.5%	95.3%	0.0%	23.8%	-26.6%	251	58.0K	-1.2K	0.07	122.39	55	4	361	226
2009-01-06	$18.19	$0.00	152.4%	38.0%	54.7%	95.1%	0.0%	16.6%	-48.1%	1.2K	2.3K	-1.4K	0.00	110.14	0	1	416	230
2009-01-07	$17.28	$0.00	82.3%	22.1%	55.7%	40.3%	0.0%	7.4%	-4.3%	-1.3K	105.1K	-908	0.20	65.21	50	10	416	230
2009-01-08	$17.24	$0.00	141.7%	23.5%	52.7%	86.7%	0.0%	11.3%	-4.1%	984	73.2K	-1.1K	0.00	146.89	0	0	449	240
2009-01-09	$16.29	$0.00	157.8%	32.0%	55.8%	99.3%	0.0%	17.9%	-12.9%	1.1K	215	-1.4K	0.00	121.45	0	6	449	240
2009-01-12	$16.43	$0.00	79.8%	21.6%	54.0%	38.3%	0.0%	9.1%	-2.7%	-1.3K	171.8K	-766	0.00	39.73	0	0	449	241
2009-01-13	$16.52	$0.00	66.0%	21.5%	53.9%	27.5%	0.0%	7.0%	-7.4%	-3.2K	176.4K	-717	0.00	45.19	0	14	449	241
2009-01-14	$15.39	$0.00	105.4%	23.3%	59.5%	58.3%	0.0%	13.4%	-10.4%	571	199.9K	-738	0.00	65.02	0	0	449	255
2009-01-15	$15.32	$0.00	80.2%	23.0%	49.8%	38.6%	0.0%	13.1%	-5.4%	2.5K	240.3K	-589	0.00	92.52	0	0	449	255
2009-01-16	$14.88	$0.00	67.8%	19.4%	48.9%	28.9%	64.4%	11.8%	10.1%	3.6K	235.7K	-478	0.00	84.33	300	0	449	235
2009-01-20	$14.33	$15.00	127.7%	36.6%	49.8%	75.8%	0.0%	-0.6%	-20.7%	6.4K	-192.2K	-1.3K	0.00	139.96	0	0	704	150
2009-01-21	$14.95	$15.00	74.0%	21.2%	53.3%	33.7%	0.0%	9.5%	1.5%	9.5K	-71.5K	-867	0.00	84.73	30	0	704	150
2009-01-22	$14.73	$15.00	78.5%	22.5%	53.2%	37.3%	0.0%	7.8%	-3.9%	9.5K	-93.7K	-932	0.00	75.99	0	0	734	150
2009-01-23	$14.51	$15.00	76.5%	21.9%	53.2%	35.7%	0.0%	8.8%	-2.4%	9.6K	-65.8K	-872	0.00	76.45	0	0	734	150
2009-01-26	$14.73	$15.00	78.8%	22.6%	53.9%	37.5%	0.0%	8.2%	-3.1%	10.1K	-104.7K	-880	0.00	79.77	0	0	734	140
2009-01-27	$14.72	$15.00	76.3%	21.9%	53.0%	35.6%	0.0%	11.0%	-0.2%	10.4K	-102.5K	-853	0.00	64.58	15	0	734	140
2009-01-28	$15.00	$15.00	89.8%	25.7%	52.3%	46.1%	0.0%	-18.7%	-21.0%	9.8K	-147.7K	-928	0.00	123.84	0	0	747	140
2009-01-29	$14.49	$15.00	77.2%	22.1%	51.7%	36.3%	0.0%	11.2%	0.3%	10.9K	-114.3K	-884	0.00	71.05	0	0	747	140
2009-01-30	$14.16	$15.00	75.4%	21.6%	49.2%	34.9%	0.0%	6.5%	-6.3%	10.8K	-77.2K	-748	0.00	83.00	49	0	747	140