IT Options History — May 2009

In May 2009, IT traded between $13.11 and $15.58. ATM implied volatility averaged 47.9%, placing in the 11.6% IV rank vs the trailing year. The 30-day expected move averaged 13.7%. IV traded below realized volatility by 3.0% (HV 20d: 50.9%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 15 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 2.15.

Notable Days

2009-05-07: Highest Volume — 207 contracts
2009-05-08: Largest IV drop — 38.0% change
2009-05-06: Highest IV Rank — 33.7%
2009-05-01: Largest Expected Move — 18.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$14.16	$13.11	$15.58	$13.11	$15.35
Max Pain	$10.13	$10.00	$12.50	$12.50	$10.00
ATM IV	47.9%	36.9%	73.9%	63.4%	36.9%
Expected Move	13.7%	10.6%	18.2%	18.2%	10.6%
HV 20d	50.9%	44.7%	54.3%	53.0%	52.1%
HV 60d	59.6%	56.4%	84.3%	84.3%	57.8%
IV Rank	11.6%	2.0%	33.7%	25.5%	2.0%
IV Percentile	27.5%	2.8%	65.1%	50.4%	3.2%
Term Structure	1.5%	-10.0%	5.0%	-10.0%	4.5%
VWIV	38.5%	27.1%	50.0%	50.0%	27.1%
Skew 25d	9.1%	-0.1%	38.3%	10.7%	38.3%
Skew 10d	16.0%	-1.5%	71.9%	28.4%	71.9%
Call IV 25d	39.7%	24.6%	50.6%	46.6%	27.9%
Put IV 25d	48.7%	35.3%	66.2%	57.3%	66.2%
Bid-Ask Spread %	78.74	64.92	116.69	72.98	83.92
Gamma HHI	0.48	0.29	0.69	0.38	0.55
Net GEX	1.7K	-7.4K	6.3K	1.6K	5.9K
Net DEX	-139.5K	-247.1K	-64.8K	-90.1K	-231.4K
Net VEX	-442	-686	-336	-358	-674
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.15	0.00	12.80	12.80	0.00
Total Volume	25.1	0	207	0	20
Total OI	365.2	237	545	237	370

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
2009-05-01	$13.11	$12.50	63.4%	18.2%	53.0%	25.5%	0.0%	10.7%	-10.0%	1.6K	-90.1K	-358	0.00	72.98	0	0	178	59
2009-05-04	$13.63	$10.00	53.1%	15.2%	54.3%	17.4%	0.0%	7.8%	5.0%	1.1K	-107.6K	-336	0.00	72.80	0	0	178	59
2009-05-05	$13.30	$10.00	54.2%	15.8%	54.1%	18.3%	0.0%	8.3%	1.3%	1.3K	-93.1K	-344	0.00	79.48	0	0	178	59
2009-05-06	$13.38	$10.00	73.9%	15.7%	52.1%	33.7%	0.0%	1.3%	-0.5%	1.6K	-95.8K	-346	0.00	80.37	0	89	178	59
2009-05-07	$13.26	$10.00	63.1%	16.3%	50.5%	25.3%	0.0%	11.0%	-1.7%	-2.1K	-64.8K	-432	12.80	89.25	15	192	178	148
2009-05-08	$14.24	$10.00	39.2%	14.3%	50.5%	6.5%	50.0%	6.2%	1.8%	-1.6K	-116.4K	-417	0.00	67.11	48	0	193	301
2009-05-11	$14.30	$10.00	44.1%	14.7%	50.2%	10.4%	0.0%	4.4%	0.7%	3.2K	-147.4K	-451	0.00	66.50	0	0	234	301
2009-05-12	$14.09	$10.00	52.3%	14.1%	44.7%	14.4%	27.1%	15.3%	2.4%	1.4K	-130.2K	-437	0.00	64.92	10	0	234	301
2009-05-13	$13.26	$10.00	48.4%	15.6%	51.0%	11.2%	0.0%	-0.1%	0.2%	-7.4K	-85.1K	-401	0.00	68.12	0	0	244	301
2009-05-14	$13.31	$10.00	52.9%	15.2%	50.4%	14.8%	0.0%	0.0%	0.9%	-3.9K	-96.0K	-381	0.00	65.74	0	0	244	301
2009-05-15	$13.29	$10.00	51.3%	14.7%	50.1%	13.6%	0.0%	1.8%	1.8%	-4.7K	-93.2K	-367	0.00	69.62	0	0	244	301
2009-05-18	$14.17	$10.00	43.3%	12.4%	49.2%	7.1%	0.0%	10.7%	1.9%	3.5K	-130.4K	-349	0.00	72.11	0	19	203	50
2009-05-19	$14.74	$10.00	42.1%	12.1%	49.5%	6.2%	0.0%	14.1%	2.4%	3.8K	-148.3K	-389	0.00	77.52	40	0	203	69
2009-05-20	$14.46	$10.00	42.1%	12.1%	50.2%	6.1%	0.0%	10.6%	2.0%	4.5K	-167.4K	-511	0.00	85.19	0	0	243	69
2009-05-21	$14.29	$10.00	39.7%	11.4%	50.3%	4.2%	0.0%	7.2%	3.7%	4.3K	-158.1K	-506	0.00	83.03	0	2	243	69
2009-05-22	$14.76	$10.00	39.2%	11.2%	51.1%	3.8%	0.0%	4.5%	4.5%	4.6K	-178.1K	-508	0.00	116.69	0	0	243	71
2009-05-26	$15.02	$10.00	40.6%	11.6%	51.0%	5.0%	0.0%	4.9%	2.7%	5.0K	-189.7K	-475	0.00	84.25	0	0	243	71
2009-05-27	$15.58	$10.00	40.2%	11.5%	52.0%	4.6%	0.0%	12.9%	2.7%	5.6K	-219.3K	-479	0.12	89.31	60	7	243	71
2009-05-28	$15.58	$10.00	36.9%	10.6%	51.6%	2.0%	0.0%	11.4%	4.8%	6.3K	-247.1K	-686	0.00	85.96	0	0	292	78
2009-05-29	$15.35	$10.00	36.9%	10.6%	52.1%	2.0%	0.0%	38.3%	4.5%	5.9K	-231.4K	-674	0.00	83.92	20	0	292	78