IT Options History — February 2010

In February 2010, IT traded between $20.47 and $23.79. ATM implied volatility averaged 31.4%, placing in the 19.2% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded above realized volatility by 3.3% (HV 20d: 28.1%). 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 13 of 19 days. Put/call ratio averaged 0.56.

Notable Days

2010-02-22: Highest Volume — 67 contracts
2010-02-09: Largest IV drop — 34.4% change
2010-02-08: Highest IV Rank — 40.2%
2010-02-04: Largest Expected Move — 11.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$22.35	$20.47	$23.79	$21.39	$23.79
Max Pain	$20.00	$20.00	$20.00	$20.00	$20.00
ATM IV	31.4%	18.3%	46.1%	34.6%	18.3%
Expected Move	9.0%	5.3%	11.7%	9.9%	5.3%
HV 20d	28.1%	22.9%	38.7%	37.7%	25.2%
HV 60d	32.5%	31.6%	33.6%	33.6%	31.6%
IV Rank	19.2%	2.1%	40.2%	16.4%	2.1%
IV Percentile	29.3%	1.6%	72.6%	40.9%	1.6%
Term Structure	0.3%	-3.3%	4.5%	-2.1%	2.4%
VWIV	30.4%	22.3%	42.5%	42.5%	26.7%
Skew 25d	3.3%	-1.1%	5.6%	3.9%	3.7%
Skew 10d	1.5%	-6.1%	7.5%	7.3%	4.6%
Call IV 25d	28.8%	21.8%	35.5%	32.8%	21.8%
Put IV 25d	32.1%	25.5%	41.1%	36.6%	25.5%
Bid-Ask Spread %	28.99	20.91	38.20	26.90	37.28
Gamma HHI	0.79	0.62	0.93	0.72	0.72
Net GEX	37.2K	23.4K	77.1K	34.7K	33.3K
Net DEX	-1.1M	-1.8M	-451.8K	-737.7K	-1.3M
Net VEX	-3.1K	-3.7K	-2.6K	-3.7K	-2.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.56	0.00	5.00	0.00	5.00
Total Volume	19.474	0	67	0	12
Total OI	1,211.368	1,004	1,300	1,266	1,085

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
2010-02-01	$21.39	$20.00	34.6%	9.9%	37.7%	16.4%	0.0%	3.9%	-2.1%	34.7K	-737.7K	-3.7K	0.00	26.90	0	0	923	343
2010-02-02	$21.20	$20.00	40.4%	11.6%	36.7%	21.9%	0.0%	4.9%	-2.9%	33.1K	-683.6K	-3.6K	0.00	28.17	1	0	923	343
2010-02-03	$20.99	$20.00	38.6%	11.1%	37.1%	20.2%	0.0%	3.7%	-2.8%	30.0K	-596.6K	-3.5K	0.00	38.20	0	0	924	343
2010-02-04	$20.47	$20.00	40.7%	11.7%	38.7%	22.2%	0.0%	5.6%	-3.3%	23.4K	-451.8K	-3.4K	0.00	33.00	0	35	924	343
2010-02-05	$20.79	$20.00	41.6%	10.7%	26.7%	23.0%	42.5%	5.1%	-2.0%	25.8K	-514.7K	-3.4K	0.00	30.15	0	38	924	343
2010-02-08	$20.86	$20.00	46.1%	11.2%	26.4%	40.2%	0.0%	5.6%	-3.3%	27.7K	-554.3K	-3.4K	0.00	28.59	0	45	924	361
2010-02-09	$21.06	$20.00	30.3%	9.7%	26.6%	21.9%	0.0%	0.7%	0.1%	31.7K	-598.5K	-3.2K	0.00	23.53	0	0	924	341
2010-02-10	$21.52	$20.00	25.2%	8.7%	27.5%	13.5%	33.3%	3.9%	0.8%	42.6K	-765.5K	-3.2K	0.00	22.44	2	0	924	341
2010-02-11	$22.06	$20.00	29.3%	8.4%	23.0%	20.3%	32.1%	3.4%	1.8%	63.2K	-989.4K	-3.2K	0.00	25.88	11	0	926	341
2010-02-12	$22.50	$20.00	28.3%	8.1%	22.9%	18.7%	22.3%	0.0%	2.9%	77.1K	-1.2M	-3.2K	0.00	27.88	13	0	933	341
2010-02-16	$23.53	$20.00	29.4%	8.4%	27.5%	20.4%	29.3%	-1.1%	2.7%	40.9K	-1.7M	-2.7K	0.00	20.91	55	0	925	341
2010-02-17	$23.70	$20.00	30.3%	8.7%	27.5%	22.0%	0.0%	3.1%	1.1%	33.3K	-1.7M	-2.6K	0.00	23.20	24	0	935	341
2010-02-18	$23.76	$20.00	25.2%	7.2%	26.0%	13.5%	0.0%	3.1%	4.5%	35.6K	-1.8M	-2.7K	0.00	29.26	0	0	959	341
2010-02-19	$23.71	$20.00	28.7%	8.2%	25.3%	19.3%	0.0%	3.7%	3.0%	35.9K	-1.8M	-2.6K	0.00	27.90	0	0	959	341
2010-02-22	$23.42	$20.00	28.1%	8.0%	24.4%	18.3%	26.7%	3.4%	0.3%	34.2K	-1.2M	-2.7K	0.00	31.76	67	0	739	265
2010-02-23	$23.10	$20.00	27.6%	7.9%	25.1%	17.5%	0.0%	0.2%	0.8%	35.4K	-1.1M	-2.8K	0.00	31.59	0	0	753	265
2010-02-24	$23.30	$20.00	27.5%	7.9%	25.1%	17.4%	0.0%	1.8%	0.4%	36.0K	-1.2M	-2.7K	0.00	31.52	0	42	753	265
2010-02-25	$23.59	$20.00	26.3%	7.6%	25.3%	15.4%	0.0%	4.0%	1.8%	33.8K	-1.2M	-2.8K	0.00	32.57	25	0	753	307
2010-02-26	$23.79	$20.00	18.3%	5.3%	25.2%	2.1%	26.7%	3.7%	2.4%	33.3K	-1.3M	-2.9K	5.00	37.28	2	10	778	307