IT Options History — August 2010

In August 2010, IT traded between $25.23 and $28.97. ATM implied volatility averaged 27.3%, placing in the 34.0% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded below realized volatility by 8.7% (HV 20d: 36.0%). Max pain ranged from $22.50 to $25.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 0.89.

Notable Days

2010-08-09: Highest Volume — 767 contracts
2010-08-10: Largest IV drop — 36.6% change
2010-08-09: Highest IV Rank — 73.8%
2010-08-05: Largest Expected Move — 9.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$27.44	$25.23	$28.97	$25.37	$28.68
Max Pain	$22.95	$22.50	$25.00	$25.00	$22.50
ATM IV	27.3%	20.4%	38.5%	33.7%	23.5%
Expected Move	7.7%	5.8%	9.7%	9.7%	6.7%
HV 20d	36.0%	24.3%	42.9%	26.9%	38.2%
HV 60d	33.8%	30.0%	36.4%	32.3%	31.9%
IV Rank	34.0%	11.2%	73.8%	47.9%	22.1%
IV Percentile	35.9%	6.3%	91.3%	71.8%	15.1%
Term Structure	2.4%	-3.4%	6.0%	-3.4%	5.1%
VWIV	26.5%	21.8%	33.7%	33.7%	23.7%
Bid-Ask Spread %	32.84	9.31	59.54	41.93	23.55
Gamma HHI	0.59	0.42	0.93	0.42	0.88
Net GEX	55.7K	24.7K	73.8K	47.9K	63.5K
Net DEX	-3.7M	-5.0M	-1.8M	-1.8M	-4.7M
Net VEX	-13.7K	-14.6K	-10.5K	-14.5K	-14.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.89	0.00	9.65	0.28	0.00
Total Volume	115.409	0	767	69	0
Total OI	3,943.591	3,197	4,594	3,197	4,256

Daily Data (22 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
2010-08-02	$25.37	$25.00	33.7%	9.7%	26.9%	47.9%	33.7%	0.0%	-3.4%	47.9K	-1.8M	-14.5K	0.28	41.93	54	15	1,959	1,238
2010-08-03	$25.23	$25.00	32.9%	9.4%	27.1%	45.6%	32.9%	0.0%	-3.0%	50.1K	-1.8M	-14.6K	0.00	37.50	6	0	2,002	1,252
2010-08-04	$25.55	$25.00	33.6%	9.6%	27.0%	47.6%	0.0%	0.0%	-3.4%	50.0K	-2.0M	-14.3K	0.00	30.59	12	0	2,008	1,252
2010-08-05	$25.49	$25.00	33.7%	9.7%	26.9%	57.2%	0.0%	0.0%	-3.4%	50.6K	-2.0M	-14.3K	0.00	43.75	0	0	2,008	1,252
2010-08-06	$25.27	$22.50	33.3%	8.6%	25.1%	55.9%	30.0%	0.0%	1.1%	50.9K	-1.8M	-14.3K	0.84	51.83	97	81	2,008	1,252
2010-08-09	$25.56	$22.50	38.5%	8.5%	24.3%	73.8%	32.1%	0.0%	0.9%	52.6K	-2.1M	-13.6K	9.65	59.54	72	695	2,003	1,247
2010-08-10	$28.23	$22.50	24.4%	6.2%	42.0%	25.2%	21.8%	0.0%	5.2%	24.7K	-3.9M	-10.5K	0.70	52.93	187	130	1,986	1,738
2010-08-11	$27.82	$22.50	21.6%	6.9%	42.7%	15.7%	24.7%	0.0%	3.7%	39.2K	-3.8M	-12.4K	0.20	41.35	5	1	2,144	1,847
2010-08-12	$27.56	$22.50	23.5%	6.7%	42.9%	22.1%	0.0%	0.0%	4.6%	40.1K	-3.7M	-12.4K	0.00	28.12	0	0	2,149	1,847
2010-08-13	$27.50	$22.50	30.3%	8.7%	40.9%	45.5%	23.0%	0.0%	2.1%	42.0K	-3.6M	-12.8K	0.01	37.35	236	3	2,149	1,847
2010-08-16	$27.92	$22.50	24.7%	7.1%	40.9%	26.1%	26.6%	0.0%	6.0%	56.8K	-4.2M	-13.1K	0.31	34.43	122	38	2,372	1,850
2010-08-17	$28.33	$22.50	25.5%	7.3%	41.0%	28.8%	25.6%	0.0%	4.5%	63.6K	-4.6M	-13.1K	0.04	44.23	47	2	2,494	1,879
2010-08-18	$28.24	$22.50	29.2%	8.4%	40.1%	41.8%	28.8%	0.0%	1.4%	63.5K	-4.6M	-13.7K	1.43	9.31	44	63	2,515	1,881
2010-08-19	$28.06	$22.50	26.1%	7.5%	39.1%	30.8%	26.6%	0.0%	4.3%	64.2K	-4.4M	-13.6K	0.00	37.05	162	0	2,535	1,921
2010-08-20	$28.12	$22.50	26.3%	7.5%	38.4%	31.8%	0.0%	0.0%	3.9%	70.7K	-4.6M	-14.0K	1.20	19.46	15	18	2,673	1,921
2010-08-23	$28.00	$22.50	25.5%	7.3%	38.3%	28.8%	0.0%	0.0%	1.3%	68.7K	-4.3M	-14.1K	0.00	24.91	0	160	2,563	1,485
2010-08-24	$27.91	$22.50	20.4%	5.8%	38.1%	11.2%	24.2%	0.0%	3.1%	59.2K	-4.2M	-14.6K	0.20	15.15	64	13	2,563	1,635
2010-08-25	$28.48	$22.50	23.6%	6.8%	38.0%	22.2%	23.4%	0.0%	4.5%	67.1K	-4.6M	-14.4K	0.00	27.46	0	2	2,616	1,638
2010-08-26	$28.76	$22.50	24.0%	6.9%	37.8%	23.7%	23.5%	0.0%	4.3%	68.0K	-4.7M	-14.5K	0.08	17.95	53	4	2,616	1,638
2010-08-27	$28.97	$22.50	23.6%	6.8%	37.7%	22.5%	23.6%	0.0%	4.7%	73.8K	-5.0M	-14.0K	0.19	20.53	103	20	2,641	1,638
2010-08-30	$28.59	$22.50	23.5%	6.7%	38.4%	22.0%	23.7%	0.0%	5.3%	58.8K	-4.7M	-13.4K	0.00	23.61	15	0	2,583	1,658
2010-08-31	$28.68	$22.50	23.5%	6.7%	38.2%	22.1%	0.0%	0.0%	5.1%	63.5K	-4.7M	-14.2K	0.00	23.55	0	0	2,598	1,658