IT Options History — December 2009

In December 2009, IT traded between $17.38 and $19.51. ATM implied volatility averaged 27.1%, placing in the 7.1% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded below realized volatility by 3.8% (HV 20d: 30.9%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.60.

Notable Days

2009-12-17: Highest Volume — 96 contracts
2009-12-04: Largest IV spike — 42.8% change
2009-12-10: Highest IV Rank — 11.6%
2009-12-09: Largest Expected Move — 9.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$18.28	$17.38	$19.51	$19.41	$18.04
Max Pain	$17.16	$15.00	$17.50	$15.00	$17.50
ATM IV	27.1%	17.2%	33.4%	26.9%	25.9%
Expected Move	8.2%	4.9%	9.6%	7.7%	7.4%
HV 20d	30.9%	27.2%	34.1%	33.3%	27.8%
HV 60d	30.1%	28.5%	31.2%	28.5%	30.5%
IV Rank	7.1%	0.1%	11.6%	7.0%	6.3%
IV Percentile	10.2%	0.4%	22.6%	6.3%	8.3%
Term Structure	6.5%	2.5%	13.2%	3.5%	7.5%
VWIV	29.3%	27.0%	31.8%	27.0%	29.9%
Skew 25d	9.2%	-4.7%	55.5%	-4.7%	6.7%
Skew 10d	20.4%	-9.9%	69.5%	-9.9%	17.7%
Call IV 25d	28.6%	18.0%	37.3%	28.6%	29.3%
Put IV 25d	37.8%	20.7%	81.3%	23.9%	36.0%
Bid-Ask Spread %	46.01	20.55	90.55	88.22	64.20
Gamma HHI	0.67	0.41	0.99	0.50	0.58
Net GEX	42.2K	4.5K	151.0K	21.4K	4.5K
Net DEX	-493.3K	-1.1M	-83.2K	-973.5K	-99.5K
Net VEX	-1.2K	-1.6K	-976	-1.1K	-1.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.60	0.00	4.80	0.00	0.00
Total Volume	25.636	0	96	50	0
Total OI	1,070.045	443	1,510	1,360	447

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
2009-12-01	$19.41	$15.00	26.9%	7.7%	33.3%	7.0%	27.0%	-4.7%	3.5%	21.4K	-973.5K	-1.1K	0.00	88.22	50	0	667	693
2009-12-02	$19.20	$15.00	25.8%	7.4%	33.6%	6.2%	0.0%	5.4%	2.5%	21.1K	-936.7K	-1.1K	0.00	28.53	50	0	667	693
2009-12-03	$18.99	$15.00	17.2%	4.9%	33.0%	0.1%	0.0%	1.5%	13.2%	25.9K	-831.7K	-1.6K	0.00	90.55	0	0	717	693
2009-12-04	$19.51	$17.50	24.5%	8.2%	31.5%	5.3%	28.7%	55.5%	5.0%	12.3K	-1.1M	-994	0.00	27.48	51	0	717	693
2009-12-07	$19.21	$17.50	17.7%	8.2%	32.1%	0.4%	0.0%	4.2%	5.7%	15.6K	-1.0M	-976	0.00	34.46	0	0	718	693
2009-12-08	$18.57	$17.50	22.9%	9.6%	33.1%	4.1%	0.0%	0.1%	3.8%	24.2K	-877.4K	-1.0K	0.00	30.99	2	0	718	693
2009-12-09	$18.34	$17.50	29.6%	9.6%	33.1%	8.9%	0.0%	12.7%	4.0%	37.5K	-736.6K	-1.2K	4.80	34.91	10	48	716	693
2009-12-10	$17.66	$17.50	33.4%	9.6%	34.1%	11.6%	0.0%	6.1%	3.7%	51.7K	-506.4K	-1.2K	0.02	57.54	65	1	716	675
2009-12-11	$17.74	$17.50	33.1%	9.5%	32.8%	11.4%	0.0%	27.5%	3.3%	63.4K	-582.0K	-1.3K	0.20	20.55	5	1	767	676
2009-12-14	$17.55	$17.50	32.1%	9.2%	32.6%	10.6%	0.0%	5.6%	4.0%	87.3K	-478.4K	-1.2K	0.00	56.14	5	0	772	677
2009-12-15	$17.43	$17.50	32.0%	9.2%	28.7%	10.6%	0.0%	6.4%	4.4%	96.9K	-416.3K	-1.2K	0.00	55.78	0	0	777	677
2009-12-16	$17.66	$17.50	32.2%	9.2%	29.4%	10.7%	31.8%	7.2%	4.6%	151.0K	-657.3K	-1.1K	0.00	20.74	80	0	777	677
2009-12-17	$17.38	$17.50	31.8%	9.1%	29.5%	10.5%	0.0%	5.9%	5.1%	128.4K	-405.5K	-1.1K	0.00	27.35	96	0	814	677
2009-12-18	$17.42	$17.50	29.8%	8.6%	28.5%	9.1%	29.9%	6.3%	6.0%	143.7K	-402.7K	-1.2K	0.00	24.16	60	0	833	677
2009-12-21	$17.84	$17.50	28.2%	8.1%	30.3%	7.9%	0.0%	5.7%	5.4%	4.8K	-83.2K	-1.3K	0.00	26.44	9	0	308	135
2009-12-22	$18.18	$17.50	28.2%	8.1%	30.1%	7.9%	0.0%	8.0%	5.7%	6.3K	-125.5K	-1.3K	4.00	23.28	5	20	317	135
2009-12-23	$18.36	$17.50	26.0%	7.4%	30.5%	6.3%	0.0%	9.4%	8.0%	6.7K	-135.8K	-1.3K	0.00	36.25	5	0	316	135
2009-12-24	$18.42	$17.50	23.3%	6.7%	30.5%	4.4%	0.0%	9.0%	12.7%	6.8K	-136.7K	-1.3K	0.00	50.79	0	0	311	135
2009-12-28	$18.30	$17.50	26.7%	7.7%	28.8%	6.8%	0.0%	8.1%	9.3%	5.7K	-119.7K	-1.2K	0.00	36.35	0	0	311	135
2009-12-29	$18.45	$17.50	24.3%	7.0%	29.0%	5.1%	0.0%	8.4%	12.4%	6.7K	-135.1K	-1.2K	0.00	89.92	1	0	311	135
2009-12-30	$18.43	$17.50	24.2%	6.9%	27.2%	5.0%	0.0%	8.0%	12.9%	6.5K	-133.1K	-1.2K	0.00	87.69	0	0	312	135
2009-12-31	$18.04	$17.50	25.9%	7.4%	27.8%	6.3%	0.0%	6.7%	7.5%	4.5K	-99.5K	-1.2K	0.00	64.20	0	0	312	135