IT Options History — April 2010

In April 2010, IT traded between $22.24 and $24.63. ATM implied volatility averaged 25.9%, placing in the 15.5% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 6.8% (HV 20d: 19.1%). Max pain ranged from $22.50 to $22.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 3.17.

Notable Days

2010-04-01: Highest Volume — 295 contracts
2010-04-15: Largest IV spike — 32.8% change
2010-04-16: Highest IV Rank — 24.0%
2010-04-16: Largest Expected Move — 8.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$23.42	$22.24	$24.63	$22.41	$24.08
Max Pain	$22.50	$22.50	$22.50	$22.50	$22.50
ATM IV	25.9%	17.7%	30.7%	23.1%	28.4%
Expected Move	8.2%	6.6%	8.8%	6.6%	8.1%
HV 20d	19.1%	15.7%	22.8%	16.2%	22.8%
HV 60d	22.3%	20.8%	28.0%	27.9%	22.3%
IV Rank	15.5%	1.0%	24.0%	10.6%	19.9%
IV Percentile	23.5%	1.2%	41.3%	10.3%	34.9%
Term Structure	-0.8%	-1.8%	6.0%	6.0%	-1.6%
VWIV	27.4%	26.4%	28.3%	26.4%	28.3%
Skew 25d	5.0%	2.4%	8.0%	5.7%	7.2%
Skew 10d	4.8%	-3.4%	14.8%	8.9%	14.8%
Call IV 25d	25.6%	21.4%	28.0%	26.2%	23.6%
Put IV 25d	30.7%	28.1%	33.1%	31.9%	30.8%
Bid-Ask Spread %	33.42	23.10	42.80	28.80	29.32
Gamma HHI	0.45	0.41	0.50	0.49	0.44
Net GEX	37.4K	26.7K	50.6K	50.6K	39.5K
Net DEX	-1.4M	-1.9M	-854.5K	-1.1M	-1.6M
Net VEX	-7.2K	-7.7K	-6.6K	-6.6K	-7.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.17	0.00	35.00	4.78	0.00
Total Volume	30.524	0	295	295	0
Total OI	1,697.952	1,356	1,858	1,356	1,858

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
2010-04-01	$22.41	$22.50	23.1%	6.6%	16.2%	10.6%	0.0%	5.7%	6.0%	50.6K	-1.1M	-6.6K	4.78	28.80	51	244	1,213	143
2010-04-05	$22.71	$22.50	24.7%	8.6%	15.8%	13.5%	0.0%	6.1%	-1.0%	34.6K	-1.0M	-7.4K	0.00	27.39	0	0	1,234	387
2010-04-06	$22.60	$22.50	23.8%	8.5%	15.7%	11.9%	0.0%	5.1%	-0.7%	34.3K	-986.6K	-7.3K	0.00	36.14	15	0	1,234	387
2010-04-07	$22.24	$22.50	23.8%	8.6%	16.1%	11.9%	0.0%	4.4%	-0.6%	32.3K	-854.5K	-7.1K	0.00	39.97	0	0	1,245	387
2010-04-08	$22.50	$22.50	22.1%	8.6%	16.2%	8.8%	0.0%	5.5%	-1.2%	33.9K	-976.8K	-7.2K	1.47	35.64	15	22	1,245	387
2010-04-09	$22.42	$22.50	21.2%	8.6%	15.7%	7.2%	0.0%	5.2%	-0.9%	26.7K	-901.0K	-7.2K	0.00	42.59	0	0	1,245	407
2010-04-12	$22.56	$22.50	24.8%	8.7%	16.0%	13.5%	0.0%	4.7%	-1.3%	27.2K	-979.9K	-7.1K	0.00	40.10	0	0	1,245	407
2010-04-13	$22.91	$22.50	17.7%	8.5%	17.2%	1.0%	0.0%	5.0%	-0.8%	29.7K	-1.1M	-7.2K	0.00	37.47	0	0	1,245	407
2010-04-14	$23.20	$22.50	22.7%	8.6%	17.8%	9.8%	0.0%	5.0%	-1.3%	35.5K	-1.3M	-7.1K	0.00	42.80	3	0	1,245	407
2010-04-15	$23.60	$22.50	30.1%	8.6%	18.9%	22.9%	0.0%	4.2%	-1.1%	39.8K	-1.5M	-7.1K	0.00	24.61	22	0	1,248	407
2010-04-16	$23.20	$22.50	30.7%	8.8%	19.8%	24.0%	0.0%	5.8%	-0.8%	35.1K	-1.3M	-7.1K	0.00	40.83	5	0	1,246	407
2010-04-19	$23.11	$22.50	30.3%	8.7%	19.3%	23.2%	0.0%	4.7%	-1.6%	37.9K	-1.3M	-7.0K	0.00	42.29	0	0	1,244	383
2010-04-20	$23.92	$22.50	26.5%	7.6%	22.4%	16.5%	26.4%	3.7%	-1.1%	42.5K	-1.6M	-6.8K	35.00	27.43	5	175	1,244	383
2010-04-21	$24.03	$22.50	26.9%	7.7%	22.4%	17.2%	26.7%	3.2%	-0.9%	39.3K	-1.6M	-7.7K	0.00	27.54	12	0	1,249	558
2010-04-22	$24.40	$22.50	27.3%	7.8%	21.6%	17.9%	27.3%	2.8%	-1.1%	40.4K	-1.8M	-7.5K	0.00	30.45	2	0	1,250	558
2010-04-23	$24.63	$22.50	27.3%	7.8%	21.7%	17.9%	27.3%	2.4%	-1.5%	42.3K	-1.9M	-7.4K	0.00	32.37	5	0	1,252	558
2010-04-26	$24.47	$22.50	28.2%	8.1%	20.8%	19.5%	0.0%	2.6%	-1.8%	42.8K	-1.8M	-7.3K	0.00	34.82	30	0	1,257	558
2010-04-27	$24.10	$22.50	28.3%	8.1%	21.9%	19.7%	0.0%	7.5%	-1.0%	39.9K	-1.6M	-7.5K	0.00	23.10	0	24	1,265	558
2010-04-28	$24.09	$22.50	28.1%	8.1%	21.8%	19.5%	28.3%	6.9%	-1.4%	38.6K	-1.6M	-7.5K	0.00	30.13	10	0	1,265	582
2010-04-29	$24.55	$22.50	28.3%	8.1%	21.1%	19.7%	28.3%	8.0%	-1.7%	42.9K	-1.9M	-7.3K	0.00	27.99	1	0	1,275	582
2010-04-30	$24.08	$22.50	28.4%	8.1%	22.8%	19.9%	0.0%	7.2%	-1.6%	39.5K	-1.6M	-7.4K	0.00	29.32	0	0	1,276	582