IT Options History — May 2010

Name: IT Options Analytics - May 2010
Creator: Options Analysis Suite

In May 2010, IT traded between $22.59 and $25.09. ATM implied volatility averaged 31.3%, placing in the 35.7% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded below realized volatility by 4.2% (HV 20d: 35.4%). Max pain ranged from $22.50 to $22.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 5.42.

Notable Days

2010-05-21: Highest Volume — 255 contracts
2010-05-06: Largest IV spike — 33.2% change
2010-05-20: Highest IV Rank — 63.1%
2010-05-20: Largest Expected Move — 11.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$24.14	$22.59	$25.09	$24.33	$24.75
Max Pain	$22.50	$22.50	$22.50	$22.50	$22.50
ATM IV	31.3%	26.5%	38.9%	30.4%	29.0%
Expected Move	8.9%	7.6%	11.2%	8.7%	8.3%
HV 20d	35.4%	22.6%	39.4%	22.6%	39.0%
HV 60d	25.8%	21.6%	27.7%	21.6%	27.7%
IV Rank	35.7%	16.5%	63.1%	23.5%	34.3%
IV Percentile	49.7%	27.4%	84.5%	44.0%	40.5%
Term Structure	-0.2%	-4.1%	2.5%	-3.6%	0.0%
VWIV	33.1%	29.6%	38.8%	37.0%	30.7%
Skew 25d	6.6%	2.1%	10.0%	8.0%	5.6%
Skew 10d	7.2%	-1.4%	16.4%	5.2%	8.2%
Call IV 25d	27.1%	22.7%	32.6%	22.8%	27.5%
Put IV 25d	33.7%	29.0%	40.6%	30.7%	33.2%
Bid-Ask Spread %	45.94	25.96	89.30	32.91	81.81
Gamma HHI	0.49	0.42	0.65	0.45	0.53
Net GEX	49.6K	16.3K	84.4K	42.2K	83.4K
Net DEX	-1.8M	-2.5M	-852.6K	-1.8M	-2.3M
Net VEX	-7.0K	-7.7K	-6.6K	-7.2K	-6.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	5.42	0.00	42.50	42.50	0.17
Total Volume	44.2	0	255	0	0
Total OI	1,963.05	1,858	2,025	1,858	1,958

Daily Data (20 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
2010-05-03	$24.33	$22.50	30.4%	8.7%	22.6%	23.5%	0.0%	8.0%	-3.6%	42.2K	-1.8M	-7.2K	0.00	32.91	0	0	1,276	582
2010-05-04	$23.69	$22.50	36.6%	10.5%	24.9%	34.4%	37.0%	6.8%	-3.6%	35.6K	-1.4M	-7.4K	42.50	29.08	4	170	1,276	582
2010-05-05	$24.40	$22.50	26.5%	7.6%	25.7%	16.5%	0.0%	7.1%	0.3%	35.0K	-1.8M	-7.2K	0.45	40.01	22	10	1,274	682
2010-05-06	$23.16	$22.50	35.3%	10.1%	32.5%	32.0%	35.5%	6.4%	-2.2%	19.0K	-1.2M	-7.7K	25.00	89.30	6	150	1,282	692
2010-05-07	$22.59	$22.50	37.5%	9.7%	33.8%	36.0%	33.8%	6.4%	-0.1%	16.3K	-852.6K	-7.6K	0.10	53.79	20	2	1,286	667
2010-05-10	$23.62	$22.50	29.3%	9.1%	37.2%	26.6%	0.0%	2.1%	-1.1%	28.5K	-1.4M	-7.3K	0.00	46.35	0	0	1,286	667
2010-05-11	$24.40	$22.50	26.8%	7.8%	38.5%	27.0%	0.0%	6.6%	2.2%	42.1K	-1.8M	-6.9K	0.00	26.19	30	0	1,286	667
2010-05-12	$24.70	$22.50	26.9%	7.6%	38.5%	27.4%	0.0%	6.6%	2.2%	49.3K	-2.0M	-6.8K	0.00	26.10	21	0	1,316	667
2010-05-13	$24.70	$22.50	27.0%	7.7%	38.1%	27.7%	30.7%	5.2%	2.5%	52.8K	-2.1M	-6.7K	0.00	28.22	28	0	1,325	667
2010-05-14	$24.57	$22.50	28.0%	8.0%	37.6%	30.4%	0.0%	10.0%	1.7%	53.7K	-2.0M	-7.0K	0.00	42.37	0	0	1,344	667
2010-05-17	$24.75	$22.50	28.3%	8.1%	37.5%	31.3%	31.0%	7.0%	1.5%	62.1K	-2.1M	-6.6K	0.00	46.99	28	0	1,344	667
2010-05-18	$24.71	$22.50	28.7%	8.2%	35.7%	33.5%	0.0%	7.4%	1.4%	63.2K	-2.1M	-6.7K	2.00	25.96	13	26	1,327	667
2010-05-19	$24.26	$22.50	29.5%	8.5%	36.4%	35.9%	29.6%	6.9%	1.5%	52.7K	-1.8M	-6.8K	0.00	51.38	11	0	1,325	677
2010-05-20	$23.40	$22.50	38.9%	11.2%	38.1%	63.1%	38.8%	8.3%	-4.1%	17.7K	-1.4M	-7.1K	0.00	40.26	0	25	1,325	677
2010-05-21	$23.68	$22.50	38.1%	10.9%	38.2%	60.8%	33.7%	7.7%	-1.8%	34.5K	-1.6M	-7.1K	0.13	44.76	225	30	1,325	700
2010-05-24	$23.70	$22.50	38.1%	10.9%	38.2%	60.7%	31.3%	5.5%	-2.3%	70.8K	-1.7M	-7.2K	0.15	66.95	47	7	1,490	430
2010-05-25	$23.96	$22.50	30.9%	8.9%	38.1%	40.0%	31.5%	6.2%	1.5%	73.4K	-1.9M	-7.2K	0.00	52.85	0	2	1,512	437
2010-05-26	$24.39	$22.50	30.9%	8.9%	38.6%	40.0%	30.7%	6.6%	0.2%	76.1K	-2.1M	-7.0K	0.17	44.54	6	1	1,512	439
2010-05-27	$25.09	$22.50	28.3%	8.1%	39.4%	32.4%	0.0%	6.0%	0.5%	84.4K	-2.5M	-6.7K	0.00	49.03	0	0	1,518	440
2010-05-28	$24.75	$22.50	29.0%	8.3%	39.0%	34.3%	0.0%	5.6%	0.0%	83.4K	-2.3M	-6.8K	0.00	81.81	0	0	1,518	440