IT Options History — July 2010

In July 2010, IT traded between $23.24 and $25.49. ATM implied volatility averaged 31.9%, placing in the 42.9% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded above realized volatility by 1.9% (HV 20d: 30.0%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 0.81.

Notable Days

2010-07-01: Highest Volume — 59 contracts
2010-07-15: Largest IV spike — 50.4% change
2010-07-01: Highest IV Rank — 65.3%
2010-07-01: Largest Expected Move — 11.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$24.29	$23.24	$25.49	$23.48	$25.17
Max Pain	$25.00	$25.00	$25.00	$25.00	$25.00
ATM IV	31.9%	22.1%	39.7%	39.7%	32.4%
Expected Move	9.9%	8.8%	11.4%	11.4%	9.3%
HV 20d	30.0%	27.3%	34.5%	34.5%	27.4%
HV 60d	34.3%	33.5%	35.2%	33.8%	34.1%
IV Rank	42.9%	14.4%	65.3%	65.3%	44.3%
IV Percentile	58.5%	9.1%	92.9%	92.9%	64.7%
Term Structure	-1.5%	-3.3%	2.0%	-0.0%	-2.9%
VWIV	34.0%	31.9%	37.3%	37.3%	31.9%
Bid-Ask Spread %	35.30	20.35	80.15	38.83	60.00
Gamma HHI	0.39	0.36	0.41	0.36	0.41
Net GEX	43.1K	33.4K	48.5K	33.4K	48.1K
Net DEX	-1.0M	-1.9M	-321.9K	-473.8K	-1.7M
Net VEX	-15.5K	-16.5K	-14.7K	-16.3K	-14.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.81	0.00	5.00	0.74	0.00
Total Volume	10.19	0	59	59	0
Total OI	3,184.143	3,148	3,204	3,160	3,197

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
2010-07-01	$23.48	$25.00	39.7%	11.4%	34.5%	65.3%	0.0%	0.0%	-0.0%	33.4K	-473.8K	-16.3K	0.74	38.83	34	25	1,925	1,235
2010-07-02	$23.24	$25.00	37.9%	10.9%	30.6%	60.1%	0.0%	0.0%	2.0%	35.6K	-333.7K	-15.9K	0.00	35.75	0	0	1,959	1,245
2010-07-06	$23.30	$25.00	38.6%	11.3%	30.0%	62.0%	0.0%	0.0%	-3.3%	36.7K	-321.9K	-15.6K	0.00	30.14	0	40	1,959	1,245
2010-07-07	$23.67	$25.00	31.7%	11.1%	30.2%	42.3%	0.0%	0.0%	-2.6%	39.0K	-592.7K	-16.0K	0.00	20.35	0	10	1,959	1,231
2010-07-08	$23.91	$25.00	27.4%	10.0%	30.2%	29.7%	0.0%	0.0%	-1.4%	39.9K	-736.8K	-16.3K	0.00	22.85	0	0	1,959	1,237
2010-07-09	$24.67	$25.00	23.0%	9.6%	31.3%	16.9%	37.3%	0.0%	-1.0%	40.3K	-1.2M	-16.5K	0.00	23.57	4	0	1,959	1,237
2010-07-12	$24.23	$25.00	22.1%	9.6%	31.6%	14.4%	0.0%	0.0%	-1.1%	40.6K	-932.5K	-16.0K	0.00	24.79	0	0	1,955	1,237
2010-07-13	$24.49	$25.00	27.2%	9.6%	31.5%	29.1%	0.0%	0.0%	-1.4%	40.8K	-1.1M	-16.1K	0.71	33.73	7	5	1,955	1,237
2010-07-14	$24.51	$25.00	22.4%	9.5%	27.7%	15.4%	0.0%	0.0%	-0.8%	39.9K	-1.1M	-16.1K	0.00	24.90	0	0	1,955	1,242
2010-07-15	$24.37	$25.00	33.7%	9.7%	27.7%	48.1%	0.0%	0.0%	-1.5%	41.7K	-1.0M	-15.8K	0.00	30.48	10	0	1,955	1,242
2010-07-16	$23.66	$25.00	37.0%	10.6%	29.2%	57.6%	0.0%	0.0%	-2.0%	42.0K	-551.2K	-15.3K	0.00	21.75	0	0	1,956	1,242
2010-07-19	$23.74	$25.00	36.8%	10.6%	29.3%	56.9%	0.0%	0.0%	-2.7%	46.0K	-614.8K	-15.0K	0.00	29.04	20	0	1,942	1,206
2010-07-20	$23.94	$25.00	31.9%	9.2%	29.2%	42.8%	35.8%	0.0%	-1.0%	47.2K	-722.5K	-15.0K	0.00	28.24	10	0	1,942	1,206
2010-07-21	$23.53	$25.00	35.8%	10.3%	28.7%	54.1%	0.0%	0.0%	-1.1%	45.7K	-456.7K	-14.8K	0.00	34.06	0	10	1,942	1,206
2010-07-22	$24.41	$25.00	32.1%	9.2%	31.7%	43.4%	34.3%	0.0%	-1.5%	47.9K	-1.1M	-15.2K	5.00	38.99	2	10	1,942	1,216
2010-07-23	$25.09	$25.00	30.6%	8.8%	31.0%	38.9%	0.0%	0.0%	-1.2%	48.4K	-1.6M	-15.2K	0.00	45.39	15	0	1,944	1,226
2010-07-26	$25.49	$25.00	32.6%	9.4%	31.4%	44.8%	32.6%	0.0%	-2.0%	47.7K	-1.9M	-15.1K	0.00	32.27	0	10	1,959	1,226
2010-07-27	$25.27	$25.00	32.0%	9.2%	31.6%	43.1%	32.0%	0.0%	-2.1%	46.9K	-1.7M	-14.9K	0.00	34.52	0	1	1,959	1,236
2010-07-28	$25.00	$25.00	33.7%	9.7%	27.8%	48.0%	0.0%	0.0%	-3.1%	48.5K	-1.5M	-14.9K	0.00	80.15	0	0	1,959	1,237
2010-07-29	$24.87	$25.00	31.9%	9.1%	27.3%	42.8%	31.9%	0.0%	-1.4%	48.4K	-1.4M	-14.9K	0.00	51.50	0	1	1,959	1,237
2010-07-30	$25.17	$25.00	32.4%	9.3%	27.4%	44.3%	0.0%	0.0%	-2.9%	48.1K	-1.7M	-14.7K	0.00	60.00	0	0	1,959	1,238