IT Options History — August 2009

In August 2009, IT traded between $16.20 and $17.66. ATM implied volatility averaged 38.7%, placing in the 12.6% IV rank vs the trailing year. The 30-day expected move averaged 11.2%. IV traded above realized volatility by 11.1% (HV 20d: 27.6%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.88.

Notable Days

2009-08-04: Highest Volume — 362 contracts
2009-08-04: Largest IV drop — 23.6% change
2009-08-03: Highest IV Rank — 22.0%
2009-08-03: Largest Expected Move — 14.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$16.97	$16.20	$17.66	$17.47	$16.66
Max Pain	$15.00	$15.00	$15.00	$15.00	$15.00
ATM IV	38.7%	32.3%	51.7%	51.7%	33.0%
Expected Move	11.2%	9.3%	14.8%	14.8%	9.5%
HV 20d	27.6%	23.1%	32.5%	32.5%	23.1%
HV 60d	34.8%	30.7%	41.0%	41.0%	31.0%
IV Rank	12.6%	7.9%	22.0%	22.0%	8.4%
IV Percentile	15.4%	3.6%	36.9%	36.9%	5.2%
Term Structure	2.7%	-5.6%	5.3%	-5.6%	4.0%
VWIV	38.6%	33.2%	45.8%	33.2%	43.6%
Skew 25d	6.2%	-8.1%	13.9%	6.6%	-8.1%
Skew 10d	7.8%	-4.6%	26.6%	-0.6%	0.9%
Call IV 25d	35.2%	29.3%	43.5%	43.5%	33.7%
Put IV 25d	41.4%	25.6%	50.1%	50.1%	25.6%
Bid-Ask Spread %	79.19	58.43	106.25	75.14	88.23
Gamma HHI	0.55	0.34	0.78	0.74	0.43
Net GEX	22.8K	6.4K	47.1K	31.8K	6.8K
Net DEX	-1.2M	-1.9M	-444.0K	-1.7M	-444.0K
Net VEX	-4.2K	-5.4K	-3.5K	-5.4K	-3.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.88	0.00	7.55	7.55	0.00
Total Volume	52.762	0	362	171	1
Total OI	2,612.905	1,807	3,182	3,182	1,817

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
2009-08-03	$17.47	$15.00	51.7%	14.8%	32.5%	22.0%	33.2%	6.6%	-5.6%	31.8K	-1.7M	-5.4K	7.55	75.14	20	151	1,738	1,444
2009-08-04	$17.50	$15.00	39.5%	11.3%	31.8%	13.1%	39.5%	4.8%	1.0%	42.1K	-1.9M	-4.9K	0.61	98.26	225	137	1,738	1,343
2009-08-05	$17.62	$15.00	41.1%	11.8%	30.0%	14.3%	0.0%	6.7%	0.6%	32.9K	-1.8M	-4.8K	0.00	83.48	0	0	1,613	1,313
2009-08-06	$17.32	$15.00	39.3%	11.3%	30.5%	12.9%	0.0%	6.9%	1.5%	34.3K	-1.7M	-4.8K	1.00	62.46	50	50	1,613	1,313
2009-08-07	$17.66	$15.00	38.4%	11.6%	30.3%	12.3%	0.0%	2.6%	2.6%	35.0K	-1.9M	-4.7K	0.00	84.41	0	0	1,643	1,363
2009-08-10	$17.33	$15.00	39.1%	11.7%	30.9%	12.8%	0.0%	7.4%	3.9%	37.2K	-1.7M	-4.6K	0.50	78.01	111	55	1,643	1,363
2009-08-11	$17.05	$15.00	37.9%	11.5%	32.1%	12.0%	0.0%	7.1%	3.7%	30.6K	-1.5M	-4.6K	0.00	88.43	20	0	1,576	1,351
2009-08-12	$16.74	$15.00	36.7%	11.4%	28.3%	11.1%	0.0%	13.9%	3.6%	28.4K	-1.3M	-4.6K	0.00	83.19	0	0	1,563	1,351
2009-08-13	$16.25	$15.00	45.0%	12.9%	28.1%	17.1%	45.8%	7.8%	2.2%	14.6K	-1.1M	-4.3K	0.00	84.24	0	64	1,563	1,345
2009-08-14	$16.20	$15.00	44.6%	12.8%	28.1%	16.8%	0.0%	7.0%	1.6%	13.6K	-1.1M	-4.1K	0.00	75.23	0	0	1,563	1,281
2009-08-17	$16.27	$15.00	40.2%	11.5%	27.5%	13.7%	0.0%	7.8%	2.9%	12.8K	-1.1M	-4.0K	0.00	79.86	50	0	1,563	1,281
2009-08-18	$16.51	$15.00	39.0%	11.2%	28.1%	12.8%	0.0%	8.2%	4.6%	22.8K	-1.2M	-3.9K	0.00	58.43	0	55	1,563	1,281
2009-08-19	$16.65	$15.00	38.7%	11.1%	28.2%	12.6%	0.0%	8.2%	5.2%	28.4K	-1.3M	-4.0K	0.00	61.25	9	0	1,563	1,299
2009-08-20	$16.64	$15.00	36.9%	10.6%	23.1%	11.2%	0.0%	9.6%	5.3%	24.8K	-1.3M	-3.8K	0.00	60.29	0	0	1,563	1,299
2009-08-21	$17.11	$15.00	37.6%	10.8%	25.4%	11.8%	37.6%	12.8%	4.2%	47.1K	-1.5M	-3.7K	0.00	106.25	50	0	1,563	1,299
2009-08-24	$17.18	$15.00	36.5%	10.5%	24.7%	11.0%	36.5%	12.2%	2.9%	7.4K	-570.4K	-3.8K	0.00	86.98	50	0	813	1,009
2009-08-25	$17.10	$15.00	35.9%	10.3%	24.3%	10.5%	0.0%	10.5%	2.5%	6.7K	-540.5K	-3.7K	0.00	79.47	0	0	798	1,009
2009-08-26	$17.03	$15.00	35.9%	10.3%	24.4%	10.5%	0.0%	5.8%	2.4%	6.4K	-521.9K	-3.7K	0.00	77.67	0	0	798	1,009
2009-08-27	$17.04	$15.00	33.6%	9.6%	24.1%	8.8%	33.6%	-3.0%	3.7%	7.0K	-539.1K	-3.6K	0.00	76.88	10	0	798	1,009
2009-08-28	$17.00	$15.00	32.3%	9.3%	23.5%	7.9%	0.0%	-4.2%	4.6%	7.8K	-532.1K	-3.6K	0.00	74.84	0	0	808	1,009
2009-08-31	$16.66	$15.00	33.0%	9.5%	23.1%	8.4%	43.6%	-8.1%	4.0%	6.8K	-444.0K	-3.5K	0.00	88.23	1	0	808	1,009