IT Options History — April 2009

In April 2009, IT traded between $10.98 and $13.51. ATM implied volatility averaged 59.2%, placing in the 22.2% IV rank vs the trailing year. The 30-day expected move averaged 17.5%. IV traded below realized volatility by 3.7% (HV 20d: 62.9%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 1.05.

Notable Days

2009-04-30: Highest Volume — 35 contracts
2009-04-03: Largest IV drop — 35.0% change
2009-04-02: Highest IV Rank — 29.8%
2009-04-07: Largest Expected Move — 20.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$12.18	$10.98	$13.51	$10.98	$13.51
Max Pain	$11.55	$10.00	$12.50	$10.00	$12.50
ATM IV	59.2%	44.8%	69.0%	60.8%	53.0%
Expected Move	17.5%	15.2%	20.1%	17.4%	15.2%
HV 20d	62.9%	55.6%	69.2%	67.4%	55.6%
HV 60d	83.5%	81.6%	84.4%	81.6%	84.2%
IV Rank	22.2%	10.9%	29.8%	23.5%	17.3%
IV Percentile	46.4%	32.1%	57.9%	50.4%	39.7%
Term Structure	-0.9%	-5.0%	12.0%	12.0%	9.9%
VWIV	57.5%	47.1%	60.7%	60.7%	47.1%
Skew 25d	8.6%	2.6%	14.7%	9.3%	14.7%
Skew 10d	20.3%	7.9%	38.1%	25.8%	31.5%
Call IV 25d	54.7%	42.5%	60.7%	60.7%	42.5%
Put IV 25d	63.3%	49.7%	70.0%	70.0%	57.2%
Bid-Ask Spread %	82.06	45.29	130.72	130.72	106.30
Gamma HHI	0.33	0.27	0.43	0.43	0.28
Net GEX	1.1K	673	1.6K	1.6K	1.6K
Net DEX	-71.6K	-95.9K	-38.6K	-63.5K	-95.6K
Net VEX	-255	-315	-223	-262	-310
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.05	0.00	8.00	0.00	0.40
Total Volume	6.857	0	35	4	35
Total OI	172.286	157	202	167	202

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
2009-04-01	$10.98	$10.00	60.8%	17.4%	67.4%	23.5%	0.0%	9.3%	12.0%	1.6K	-63.5K	-262	0.00	130.72	4	0	154	13
2009-04-02	$11.75	$10.00	69.0%	19.8%	68.0%	29.8%	0.0%	9.6%	-4.8%	1.5K	-79.4K	-270	0.00	118.33	0	0	152	13
2009-04-03	$11.80	$10.00	44.8%	17.3%	67.6%	10.9%	60.7%	8.1%	1.7%	1.4K	-84.9K	-272	0.00	85.84	1	0	152	13
2009-04-06	$11.48	$10.00	57.3%	17.4%	63.0%	20.7%	59.9%	10.4%	2.4%	1.5K	-81.1K	-265	8.00	73.38	1	8	153	13
2009-04-07	$11.12	$10.00	64.2%	20.1%	59.2%	26.1%	0.0%	8.8%	-0.6%	1.5K	-70.8K	-258	0.00	74.46	0	0	152	17
2009-04-08	$11.65	$10.00	45.3%	17.8%	60.2%	11.3%	0.0%	8.0%	-3.3%	1.3K	-78.2K	-253	0.00	58.23	0	0	152	17
2009-04-09	$12.51	$10.00	60.7%	17.4%	62.3%	23.3%	0.0%	8.8%	-2.8%	1.3K	-95.9K	-259	0.00	52.31	0	0	152	17
2009-04-13	$12.41	$10.00	60.2%	17.2%	62.7%	22.9%	60.4%	7.5%	-0.9%	1.3K	-94.4K	-252	0.00	51.82	0	20	152	17
2009-04-14	$11.70	$12.50	62.4%	17.9%	66.8%	24.7%	0.0%	7.6%	-1.9%	932	-71.8K	-273	0.00	45.29	0	0	152	37
2009-04-15	$11.90	$12.50	60.9%	17.4%	66.3%	23.5%	0.0%	10.3%	-0.9%	893	-74.3K	-266	0.00	51.07	0	0	152	37
2009-04-16	$12.22	$12.50	61.4%	17.6%	66.5%	23.9%	0.0%	10.4%	-2.6%	778	-71.4K	-244	0.00	52.72	0	0	140	37
2009-04-17	$12.46	$12.50	59.7%	17.1%	64.7%	22.6%	0.0%	7.5%	-2.2%	851	-77.5K	-237	0.00	86.98	0	0	140	37
2009-04-20	$11.77	$12.50	61.2%	17.5%	69.2%	23.7%	0.0%	6.5%	-5.0%	673	-38.6K	-223	0.00	52.11	31	0	120	37
2009-04-21	$12.19	$12.50	61.1%	17.5%	65.2%	23.7%	0.0%	9.2%	-2.1%	769	-46.3K	-226	0.00	88.25	4	0	121	37
2009-04-22	$12.49	$12.50	60.5%	17.3%	65.3%	23.2%	0.0%	8.2%	-2.2%	943	-57.4K	-239	0.00	90.73	0	0	125	37
2009-04-23	$12.37	$12.50	60.1%	17.2%	63.1%	22.9%	0.0%	7.5%	-2.0%	880	-53.6K	-231	0.00	95.64	0	0	125	37
2009-04-24	$12.48	$12.50	60.3%	17.3%	61.0%	23.0%	0.0%	9.0%	-2.9%	923	-55.5K	-228	0.00	103.22	3	0	125	37
2009-04-27	$12.75	$12.50	59.4%	17.0%	55.9%	22.3%	59.6%	7.0%	-2.4%	983	-61.5K	-232	0.00	98.62	0	12	128	37
2009-04-28	$12.89	$12.50	61.4%	17.6%	55.6%	23.9%	0.0%	9.4%	-4.3%	929	-64.4K	-242	0.00	98.65	25	0	128	49
2009-04-29	$13.25	$12.50	59.2%	17.0%	55.7%	22.2%	0.0%	2.6%	-3.4%	1.4K	-87.3K	-315	0.00	108.56	0	0	153	49
2009-04-30	$13.51	$12.50	53.0%	15.2%	55.6%	17.3%	47.1%	14.7%	9.9%	1.6K	-95.6K	-310	0.40	106.30	25	10	153	49