IT Options History — September 2009

In September 2009, IT traded between $16.47 and $18.33. ATM implied volatility averaged 33.2%, placing in the 8.5% IV rank vs the trailing year. The 30-day expected move averaged 9.8%. IV traded above realized volatility by 13.1% (HV 20d: 20.1%). 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 21 of 21 days. Put/call ratio averaged 5.25.

Notable Days

2009-09-30: Highest Volume — 110 contracts
2009-09-10: Largest IV spike — 18.1% change
2009-09-17: Highest IV Rank — 10.8%
2009-09-08: Largest Expected Move — 10.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$17.56	$16.47	$18.33	$16.47	$18.27
Max Pain	$15.00	$15.00	$15.00	$15.00	$15.00
ATM IV	33.2%	28.6%	36.3%	28.6%	33.2%
Expected Move	9.8%	8.2%	10.6%	8.2%	9.5%
HV 20d	20.1%	16.6%	23.5%	23.2%	16.6%
HV 60d	28.6%	25.4%	31.0%	30.9%	25.4%
IV Rank	8.5%	5.2%	10.8%	5.2%	8.6%
IV Percentile	8.2%	1.2%	15.1%	1.2%	9.1%
Term Structure	4.4%	2.1%	6.3%	3.8%	6.0%
Skew 25d	6.9%	-6.0%	61.0%	4.5%	4.6%
Skew 10d	9.3%	-13.9%	102.5%	31.4%	2.1%
Call IV 25d	35.5%	29.3%	39.5%	33.6%	35.3%
Put IV 25d	42.4%	26.4%	90.4%	38.1%	40.0%
Bid-Ask Spread %	53.26	22.98	116.56	92.01	40.17
Gamma HHI	0.55	0.42	0.71	0.42	0.71
Net GEX	11.7K	6.1K	16.4K	6.1K	15.1K
Net DEX	-604.1K	-889.5K	-379.9K	-379.9K	-571.1K
Net VEX	-2.9K	-3.5K	-2.5K	-3.5K	-2.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	5.25	0.00	21.00	0.00	21.00
Total Volume	10.048	0	110	0	110
Total OI	1,558.048	1,103	1,853	1,817	1,153

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
2009-09-01	$16.47	$15.00	28.6%	8.2%	23.2%	5.2%	0.0%	4.5%	3.8%	6.1K	-379.9K	-3.5K	0.00	92.01	0	0	808	1,009
2009-09-02	$16.66	$15.00	31.2%	8.9%	23.5%	7.1%	0.0%	-6.0%	5.4%	6.9K	-445.0K	-3.5K	0.00	104.72	0	0	808	1,009
2009-09-03	$16.70	$15.00	30.2%	8.7%	23.0%	6.4%	0.0%	6.0%	6.0%	6.9K	-458.3K	-3.3K	0.00	116.56	0	0	808	1,009
2009-09-04	$16.93	$0.00	29.3%	10.2%	22.4%	5.7%	0.0%	-4.8%	3.2%	8.4K	-530.2K	-3.2K	0.00	49.78	0	0	808	1,009
2009-09-08	$16.96	$0.00	32.0%	10.6%	21.5%	7.7%	0.0%	5.6%	2.1%	9.0K	-538.9K	-3.2K	0.00	52.54	0	18	808	1,009
2009-09-09	$17.26	$0.00	29.9%	10.3%	21.7%	6.1%	0.0%	5.9%	3.5%	9.8K	-620.5K	-3.1K	0.00	57.92	0	0	808	1,023
2009-09-10	$17.59	$0.00	35.3%	10.1%	21.4%	10.0%	0.0%	61.0%	4.2%	11.0K	-722.1K	-3.0K	0.00	53.10	0	0	808	1,023
2009-09-11	$17.32	$0.00	34.8%	10.0%	19.0%	9.7%	0.0%	5.8%	4.3%	10.0K	-650.7K	-3.1K	0.00	70.95	0	0	808	1,023
2009-09-14	$17.50	$0.00	35.8%	10.2%	19.0%	10.4%	0.0%	5.7%	3.6%	10.8K	-704.3K	-2.9K	0.00	47.65	0	10	808	1,023
2009-09-15	$17.40	$0.00	35.0%	10.0%	19.3%	9.8%	0.0%	5.3%	3.7%	10.7K	-644.0K	-2.9K	0.00	45.46	0	0	808	1,033
2009-09-16	$17.68	$0.00	35.9%	10.3%	19.4%	10.5%	0.0%	5.3%	3.0%	10.2K	-745.9K	-2.9K	0.00	24.32	10	0	808	1,033
2009-09-17	$18.01	$0.00	36.3%	10.4%	20.1%	10.8%	0.0%	5.8%	3.3%	12.0K	-889.5K	-2.8K	0.00	43.19	2	0	818	1,033
2009-09-18	$17.75	$0.00	34.2%	9.8%	21.1%	9.3%	0.0%	4.8%	4.4%	11.4K	-797.5K	-2.9K	0.00	32.34	11	0	820	1,033
2009-09-21	$17.75	$0.00	36.3%	10.4%	19.0%	10.8%	0.0%	6.4%	2.8%	14.3K	-512.5K	-2.8K	0.00	24.48	0	0	618	485
2009-09-22	$17.83	$0.00	34.4%	9.9%	19.0%	9.4%	0.0%	5.1%	4.5%	15.1K	-540.4K	-2.7K	0.00	31.66	0	0	618	485
2009-09-23	$18.00	$0.00	33.1%	9.5%	19.0%	8.4%	0.0%	4.9%	5.4%	15.6K	-573.7K	-2.6K	0.00	32.48	0	0	618	485
2009-09-24	$18.04	$0.00	32.8%	9.4%	18.8%	8.2%	0.0%	4.9%	5.4%	15.5K	-583.3K	-2.6K	0.00	22.98	0	0	618	485
2009-09-25	$18.01	$0.00	32.5%	9.3%	18.9%	8.0%	0.0%	4.5%	6.3%	15.7K	-574.2K	-2.6K	0.00	43.60	0	0	618	485
2009-09-28	$18.33	$0.00	33.4%	9.6%	19.5%	8.7%	0.0%	4.3%	5.3%	16.4K	-638.9K	-2.5K	0.00	96.53	0	50	618	485
2009-09-29	$18.26	$0.00	33.4%	9.6%	17.6%	8.7%	0.0%	5.4%	5.5%	14.7K	-565.1K	-2.8K	0.00	35.96	0	0	618	535
2009-09-30	$18.27	$0.00	33.2%	9.5%	16.6%	8.6%	0.0%	4.6%	6.0%	15.1K	-571.1K	-2.7K	21.00	40.17	5	105	618	535