IT Options History — January 2010

In January 2010, IT traded between $18.70 and $22.14. ATM implied volatility averaged 28.5%, placing in the 10.3% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded below realized volatility by 7.8% (HV 20d: 36.3%). Max pain ranged from $20.00 to $20.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 6 of 19 days. Put/call ratio averaged 2.63.

Notable Days

2010-01-13: Highest Volume — 410 contracts
2010-01-13: Largest IV spike — 88.7% change
2010-01-13: Highest IV Rank — 20.0%
2010-01-22: Largest Expected Move — 10.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$20.91	$18.70	$22.14	$18.70	$21.40
Max Pain	$20.00	$20.00	$20.00	$20.00	$20.00
ATM IV	28.5%	17.5%	39.2%	21.2%	33.8%
Expected Move	9.3%	8.3%	10.8%	9.9%	9.7%
HV 20d	36.3%	28.8%	39.2%	30.9%	39.0%
HV 60d	33.8%	29.7%	35.4%	30.9%	33.6%
IV Rank	10.3%	0.3%	20.0%	2.9%	15.7%
IV Percentile	21.6%	0.8%	53.6%	2.4%	37.3%
Term Structure	-0.4%	-1.9%	0.9%	-0.1%	-0.4%
VWIV	32.1%	30.2%	35.9%	30.7%	33.6%
Skew 25d	5.3%	2.7%	10.5%	9.5%	4.1%
Skew 10d	7.4%	-5.1%	22.2%	21.4%	6.5%
Call IV 25d	29.5%	24.5%	33.6%	26.0%	33.5%
Put IV 25d	34.8%	31.8%	38.7%	35.5%	37.6%
Bid-Ask Spread %	38.84	20.92	73.76	30.91	28.20
Gamma HHI	0.65	0.37	0.85	0.41	0.72
Net GEX	23.3K	5.7K	38.2K	5.7K	33.9K
Net DEX	-627.1K	-1.1M	-146.3K	-149.0K	-775.3K
Net VEX	-2.7K	-4.0K	-1.0K	-1.2K	-3.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.63	0.00	25.00	0.00	0.00
Total Volume	68.421	0	410	2	2
Total OI	916.526	429	1,264	447	1,264

Daily Data (19 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
2010-01-04	$18.70	$0.00	21.2%	9.9%	30.9%	2.9%	0.0%	9.5%	-0.1%	5.7K	-149.0K	-1.2K	0.00	30.91	2	0	312	135
2010-01-05	$18.73	$0.00	22.9%	9.9%	29.1%	4.1%	0.0%	10.3%	0.9%	5.9K	-153.4K	-1.2K	0.00	29.05	20	0	312	135
2010-01-06	$18.86	$0.00	24.7%	8.6%	28.8%	5.4%	0.0%	10.5%	0.7%	7.2K	-146.3K	-1.1K	0.00	26.31	0	0	294	135
2010-01-07	$20.44	$0.00	19.0%	8.8%	38.5%	1.4%	30.7%	5.8%	0.9%	19.9K	-373.8K	-1.0K	0.71	73.76	34	24	294	135
2010-01-08	$20.66	$20.00	17.5%	9.2%	38.0%	0.3%	31.1%	5.5%	-0.9%	12.9K	-411.2K	-1.1K	0.78	41.07	123	96	302	159
2010-01-11	$20.60	$20.00	19.8%	9.5%	34.5%	1.9%	0.0%	4.8%	-1.3%	10.4K	-422.6K	-1.5K	2.24	37.27	38	85	389	246
2010-01-12	$20.57	$20.00	20.8%	9.4%	34.6%	2.6%	0.0%	4.9%	-0.7%	12.7K	-438.2K	-1.6K	0.00	39.53	0	0	427	246
2010-01-13	$21.61	$20.00	39.2%	8.5%	36.9%	20.0%	30.2%	3.8%	-1.1%	9.1K	-602.1K	-1.4K	0.00	20.92	410	0	427	246
2010-01-14	$22.05	$20.00	28.8%	8.3%	36.5%	10.6%	33.2%	2.7%	0.4%	30.8K	-1.1M	-3.3K	0.00	52.28	2	0	828	246
2010-01-15	$21.93	$20.00	30.4%	8.7%	37.0%	12.0%	0.0%	3.2%	0.8%	29.7K	-1.1M	-3.3K	0.18	22.17	300	55	828	246
2010-01-19	$22.14	$20.00	30.6%	8.8%	35.6%	12.2%	30.2%	3.0%	-0.3%	38.2K	-1.0M	-3.9K	0.00	49.84	0	3	898	270
2010-01-20	$21.70	$20.00	30.1%	8.6%	37.3%	11.7%	0.0%	3.1%	0.6%	36.6K	-895.0K	-3.9K	0.00	27.25	0	22	898	273
2010-01-21	$21.40	$20.00	31.8%	9.1%	38.0%	13.3%	35.9%	3.7%	-0.2%	33.7K	-774.3K	-4.0K	25.00	49.73	2	50	898	295
2010-01-22	$20.98	$20.00	37.8%	10.8%	39.1%	19.4%	31.1%	5.1%	-1.1%	26.8K	-612.8K	-4.0K	0.00	27.32	0	2	898	345
2010-01-25	$21.26	$20.00	32.6%	9.4%	39.2%	14.6%	33.5%	4.2%	-0.8%	30.2K	-710.4K	-3.9K	0.00	26.85	29	0	898	343
2010-01-26	$21.28	$20.00	33.9%	9.7%	39.2%	15.8%	33.6%	0.0%	-1.9%	32.1K	-714.9K	-4.0K	0.00	50.97	0	1	921	343
2010-01-27	$21.46	$20.00	33.4%	9.6%	38.9%	15.3%	0.0%	0.0%	-1.1%	33.9K	-774.5K	-3.9K	0.00	54.20	0	0	921	343
2010-01-28	$21.45	$20.00	34.0%	9.7%	39.0%	15.8%	0.0%	0.0%	-1.7%	33.9K	-772.1K	-3.9K	0.00	50.24	0	0	921	343
2010-01-29	$21.40	$20.00	33.8%	9.7%	39.0%	15.7%	0.0%	4.1%	-0.4%	33.9K	-775.3K	-3.8K	0.00	28.20	2	0	921	343