IT Options History — March 2009

In March 2009, IT traded between $8.38 and $11.54. ATM implied volatility averaged 65.6%, placing in the 27.2% IV rank vs the trailing year. The 30-day expected move averaged 18.9%. IV traded below realized volatility by 3.7% (HV 20d: 69.3%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 0.19.

Notable Days

2009-03-25: Highest Volume — 30 contracts
2009-03-26: Largest IV drop — 32.0% change
2009-03-02: Highest IV Rank — 36.2%
2009-03-02: Largest Expected Move — 22.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$9.83	$8.38	$11.54	$9.59	$11.01
Max Pain	$10.45	$10.00	$12.50	$12.50	$10.00
ATM IV	65.6%	46.7%	77.2%	77.2%	62.7%
Expected Move	18.9%	13.4%	22.1%	22.1%	18.0%
HV 20d	69.3%	44.7%	114.2%	114.2%	67.6%
HV 60d	79.6%	77.2%	82.5%	78.9%	81.8%
IV Rank	27.2%	12.4%	36.2%	36.2%	24.9%
IV Percentile	57.0%	40.1%	75.0%	75.0%	51.2%
Term Structure	2.9%	-14.3%	25.6%	-6.0%	10.7%
Skew 25d	8.0%	-18.8%	39.1%	4.2%	10.7%
Skew 10d	17.4%	-17.6%	35.2%	7.9%	24.3%
Call IV 25d	63.4%	57.5%	79.8%	62.4%	61.3%
Put IV 25d	71.5%	58.4%	102.6%	66.6%	72.0%
Bid-Ask Spread %	87.45	60.13	135.66	81.47	123.43
Gamma HHI	0.47	0.35	0.66	0.60	0.39
Net GEX	871	325	1.6K	870	1.5K
Net DEX	23.7K	-74.5K	74.5K	71.7K	-68.1K
Net VEX	-113	-271	-36	-85	-271
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.19	0.00	1.00	0.00	0.50
Total Volume	6.909	0	30	0	0
Total OI	527.5	91	721	702	167

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
2009-03-02	$9.59	$12.50	77.2%	22.1%	114.2%	36.2%	0.0%	4.2%	-6.0%	870	71.7K	-85	0.00	81.47	0	0	611	91
2009-03-03	$9.48	$12.50	73.6%	21.1%	112.7%	33.4%	0.0%	0.9%	-3.1%	685	74.1K	-69	0.00	75.22	0	2	611	90
2009-03-04	$9.39	$12.50	75.7%	21.7%	112.2%	35.1%	0.0%	-3.1%	-5.4%	607	74.5K	-61	0.00	75.42	0	0	611	90
2009-03-05	$9.01	$12.50	69.5%	19.9%	111.5%	30.3%	0.0%	-17.0%	-14.3%	416	74.1K	-45	0.00	77.94	20	0	611	90
2009-03-06	$8.94	$10.00	69.8%	18.0%	47.1%	30.5%	0.0%	-18.8%	8.1%	624	69.2K	-61	0.00	65.57	0	0	631	90
2009-03-09	$8.38	$10.00	75.3%	21.0%	44.7%	34.8%	0.0%	22.5%	0.4%	325	69.1K	-36	0.00	76.41	0	0	631	90
2009-03-10	$9.14	$10.00	56.4%	19.0%	57.8%	20.0%	0.0%	39.1%	1.9%	692	64.9K	-61	0.00	75.65	0	0	631	85
2009-03-11	$9.06	$10.00	62.6%	19.7%	54.9%	24.8%	0.0%	7.9%	-1.1%	427	67.5K	-48	0.00	79.54	0	0	631	85
2009-03-12	$9.53	$10.00	58.1%	16.7%	58.6%	21.3%	0.0%	35.7%	4.3%	859	58.4K	-55	0.00	124.11	10	0	631	75
2009-03-13	$9.59	$10.00	65.6%	18.8%	56.6%	27.2%	0.0%	-8.8%	1.8%	705	53.4K	-90	0.00	82.38	0	0	641	75
2009-03-16	$9.40	$10.00	67.3%	19.3%	56.7%	28.5%	0.0%	9.0%	-0.3%	658	53.6K	-77	0.00	80.00	0	10	641	75
2009-03-17	$9.72	$10.00	65.6%	18.8%	58.0%	27.2%	0.0%	8.4%	1.7%	956	42.9K	-85	0.00	76.53	0	0	641	65
2009-03-18	$9.92	$10.00	66.6%	19.1%	58.7%	28.0%	0.0%	12.7%	1.4%	1.0K	42.1K	-90	0.00	88.43	0	0	641	65
2009-03-19	$9.62	$10.00	67.6%	19.4%	58.7%	28.7%	0.0%	7.3%	-1.8%	628	34.6K	-79	0.00	89.30	0	0	641	54
2009-03-20	$9.60	$10.00	66.4%	19.0%	58.3%	27.8%	0.0%	8.7%	0.0%	596	35.1K	-73	0.00	92.39	7	0	641	54
2009-03-23	$10.38	$10.00	65.9%	18.9%	63.9%	27.4%	0.0%	11.0%	1.0%	838	-25.3K	-96	0.00	115.58	20	0	89	2
2009-03-24	$10.37	$10.00	68.4%	19.6%	62.9%	29.4%	0.0%	10.9%	0.4%	1.0K	-32.9K	-129	1.00	95.89	10	10	109	2
2009-03-25	$10.98	$10.00	68.6%	19.7%	64.3%	29.5%	0.0%	7.0%	4.3%	1.2K	-40.3K	-179	0.00	79.71	30	0	116	12
2009-03-26	$11.54	$10.00	46.7%	13.4%	66.2%	12.4%	0.0%	7.6%	8.3%	1.5K	-74.5K	-266	0.00	73.25	15	0	146	12
2009-03-27	$10.84	$10.00	53.2%	15.3%	70.6%	17.5%	0.0%	9.9%	25.6%	1.5K	-62.9K	-264	0.20	60.13	10	2	151	12
2009-03-30	$10.75	$10.00	59.7%	17.1%	67.6%	22.6%	0.0%	11.2%	25.2%	1.6K	-60.4K	-271	0.50	135.66	4	2	154	14
2009-03-31	$11.01	$10.00	62.7%	18.0%	67.6%	24.9%	0.0%	10.7%	10.7%	1.5K	-68.1K	-271	0.00	123.43	0	0	154	13