IT Options History — June 2009

In June 2009, IT traded between $14.77 and $16.44. ATM implied volatility averaged 37.3%, placing in the 8.9% IV rank vs the trailing year. The 30-day expected move averaged 11.2%. IV traded below realized volatility by 5.3% (HV 20d: 42.5%). Max pain ranged from $10.00 to $15.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 2.41.

Notable Days

2009-06-30: Highest Volume — 209 contracts
2009-06-03: Largest IV spike — 63.8% change
2009-06-16: Highest IV Rank — 13.6%
2009-06-08: Largest Expected Move — 12.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$15.46	$14.77	$16.44	$16.06	$15.26
Max Pain	$14.09	$10.00	$15.00	$10.00	$15.00
ATM IV	37.3%	24.9%	43.1%	37.3%	32.6%
Expected Move	11.2%	7.1%	12.5%	10.7%	9.4%
HV 20d	42.5%	31.4%	52.3%	51.9%	31.4%
HV 60d	51.9%	46.8%	57.3%	57.3%	46.8%
IV Rank	8.9%	0.0%	13.6%	2.3%	5.8%
IV Percentile	10.0%	0.0%	24.6%	4.4%	2.0%
Term Structure	6.0%	2.1%	17.2%	4.7%	10.5%
VWIV	34.8%	34.8%	34.8%	34.8%	34.8%
Skew 25d	7.1%	-7.7%	16.1%	14.2%	10.8%
Skew 10d	10.4%	-10.5%	59.4%	54.3%	1.2%
Call IV 25d	36.2%	21.3%	46.0%	23.7%	38.4%
Put IV 25d	43.3%	21.9%	50.5%	38.0%	49.2%
Bid-Ask Spread %	68.11	34.17	104.62	95.78	59.97
Gamma HHI	0.58	0.45	0.89	0.49	0.49
Net GEX	4.4K	967	11.0K	6.6K	1.1K
Net DEX	-185.5K	-283.5K	-97.2K	-258.8K	-120.5K
Net VEX	-567	-660	-492	-595	-498
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.41	0.00	6.25	0.00	0.82
Total Volume	12.773	0	209	1	209
Total OI	328.818	231	381	350	235

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
2009-06-01	$16.06	$10.00	37.3%	10.7%	51.9%	2.3%	0.0%	14.2%	4.7%	6.6K	-258.8K	-595	0.00	95.78	1	0	272	78
2009-06-02	$16.44	$10.00	24.9%	7.1%	51.1%	0.0%	0.0%	-7.7%	8.4%	7.4K	-283.5K	-599	5.00	97.28	5	25	273	78
2009-06-03	$15.86	$10.00	40.8%	11.7%	52.2%	11.9%	0.0%	16.1%	2.1%	5.5K	-237.9K	-660	0.00	104.62	0	0	278	103
2009-06-04	$16.13	$10.00	31.1%	8.9%	52.3%	4.6%	0.0%	15.0%	17.2%	5.9K	-253.2K	-653	0.00	100.31	0	0	278	103
2009-06-05	$16.08	$15.00	31.3%	12.2%	52.1%	4.8%	0.0%	15.4%	4.0%	5.7K	-249.9K	-626	0.00	49.18	0	0	278	103
2009-06-08	$15.86	$15.00	38.0%	12.5%	47.2%	9.8%	0.0%	12.9%	3.3%	5.2K	-238.0K	-620	0.00	52.08	0	0	278	103
2009-06-09	$15.96	$15.00	32.6%	12.3%	47.2%	5.7%	0.0%	-3.5%	4.5%	5.4K	-242.6K	-616	0.00	51.34	0	0	278	103
2009-06-10	$15.82	$15.00	31.5%	12.1%	46.9%	5.0%	0.0%	10.5%	4.6%	4.6K	-232.5K	-593	0.00	51.73	10	0	278	103
2009-06-11	$15.28	$15.00	41.9%	12.0%	42.8%	12.7%	0.0%	5.3%	4.8%	4.5K	-188.7K	-592	0.00	62.12	0	0	271	103
2009-06-12	$15.56	$15.00	42.2%	12.1%	42.9%	13.0%	0.0%	5.1%	4.5%	4.2K	-209.4K	-574	0.00	82.46	0	0	271	103
2009-06-15	$15.05	$15.00	43.0%	12.3%	45.3%	13.5%	0.0%	4.0%	3.8%	5.2K	-173.6K	-575	0.00	68.04	0	0	271	103
2009-06-16	$14.83	$15.00	43.1%	12.4%	40.3%	13.6%	0.0%	5.3%	4.1%	5.3K	-161.4K	-561	0.00	85.77	0	0	271	103
2009-06-17	$15.19	$15.00	42.5%	12.2%	38.7%	13.1%	0.0%	6.6%	5.2%	6.4K	-186.0K	-562	0.00	77.54	0	0	271	103
2009-06-18	$15.08	$15.00	42.1%	12.1%	38.1%	12.9%	0.0%	6.0%	5.1%	11.0K	-178.6K	-552	0.00	56.35	0	0	271	103
2009-06-19	$15.30	$15.00	41.3%	11.8%	38.0%	12.2%	0.0%	6.0%	5.1%	6.4K	-197.9K	-540	0.00	55.47	0	0	271	103
2009-06-22	$14.86	$15.00	42.3%	12.1%	38.0%	13.0%	0.0%	5.6%	3.8%	1.2K	-102.7K	-522	0.00	58.17	0	0	154	77
2009-06-23	$14.77	$15.00	39.8%	11.4%	37.5%	11.2%	0.0%	5.1%	5.9%	1.1K	-98.8K	-516	0.00	53.30	0	0	154	77
2009-06-24	$14.77	$15.00	38.1%	10.9%	34.8%	9.9%	0.0%	6.3%	6.8%	1.1K	-97.2K	-511	0.00	54.81	0	2	154	77
2009-06-25	$15.27	$15.00	34.8%	10.0%	37.1%	7.4%	34.8%	5.2%	8.1%	967	-117.1K	-506	6.25	62.55	4	25	154	77
2009-06-26	$15.41	$15.00	33.5%	9.6%	36.9%	6.4%	0.0%	5.3%	8.8%	1.3K	-128.0K	-500	0.00	85.36	0	0	158	77
2009-06-29	$15.35	$15.00	34.9%	10.0%	32.8%	7.5%	0.0%	6.3%	6.7%	1.2K	-125.2K	-492	0.00	34.17	0	0	158	77
2009-06-30	$15.26	$15.00	32.6%	9.4%	31.4%	5.8%	0.0%	10.8%	10.5%	1.1K	-120.5K	-498	0.82	59.97	115	94	158	77