IT Options History — January 2011

In January 2011, IT traded between $33.34 and $36.23. ATM implied volatility averaged 23.9%, placing in the 13.3% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded above realized volatility by 9.6% (HV 20d: 14.3%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 1 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 1.21.

Notable Days

2011-01-04: Highest Volume — 510 contracts
2011-01-13: Largest IV spike — 53.7% change
2011-01-31: Highest IV Rank — 24.4%
2011-01-31: Largest Expected Move — 8.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$34.53	$33.34	$36.23	$33.53	$35.42
Max Pain	$34.25	$30.00	$35.00	$35.00	$35.00
ATM IV	23.9%	15.6%	30.5%	16.2%	30.5%
Expected Move	7.3%	4.6%	8.7%	4.6%	8.7%
HV 20d	14.3%	11.8%	20.5%	13.8%	19.3%
HV 60d	15.0%	14.2%	16.8%	15.1%	16.8%
IV Rank	13.3%	0.0%	24.4%	0.0%	24.4%
IV Percentile	32.8%	0.0%	69.8%	0.0%	69.8%
Term Structure	0.2%	-4.0%	7.9%	7.9%	-4.0%
VWIV	29.0%	24.6%	36.3%	26.8%	29.0%
Skew 25d	8.5%	-3.1%	13.7%	11.0%	13.7%
Skew 10d	14.0%	-2.9%	22.8%	20.9%	22.8%
Call IV 25d	21.5%	19.0%	24.1%	24.1%	22.6%
Put IV 25d	29.9%	16.7%	36.4%	35.2%	36.4%
Bid-Ask Spread %	49.25	28.92	56.67	28.92	47.59
Gamma HHI	0.55	0.36	0.80	0.38	0.36
Net GEX	-24.2K	-41.3K	6.3K	-33.4K	-28.4K
Net DEX	-489.2K	-1.8M	66.4K	-8.2K	-1.0M
Net VEX	-14.2K	-15.6K	-12.1K	-12.1K	-14.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.21	0.00	11.43	0.96	0.00
Total Volume	98.5	0	510	0	6
Total OI	3,371.05	2,546	4,035	2,546	4,035

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
2011-01-03	$33.53	$35.00	16.2%	4.6%	13.8%	0.0%	0.0%	11.0%	7.9%	-33.4K	-8.2K	-12.1K	0.00	28.92	0	0	808	1,738
2011-01-04	$33.34	$35.00	17.0%	4.9%	13.9%	1.3%	0.0%	-3.1%	7.7%	-34.7K	66.4K	-12.2K	0.96	47.44	260	250	808	1,738
2011-01-05	$33.81	$35.00	16.3%	4.7%	14.7%	0.3%	0.0%	-1.5%	7.1%	-19.0K	-354.2K	-14.1K	0.97	43.45	35	34	1,050	1,985
2011-01-06	$33.91	$35.00	16.9%	4.9%	14.7%	1.3%	0.0%	-0.9%	7.2%	-11.5K	-479.5K	-14.0K	0.00	48.21	16	0	1,085	1,959
2011-01-07	$34.01	$30.00	15.6%	7.6%	12.8%	0.0%	0.0%	8.5%	-0.0%	-8.1K	-569.0K	-13.9K	0.00	51.75	0	17	1,094	1,959
2011-01-10	$34.46	$30.00	19.9%	7.7%	13.3%	7.0%	26.8%	9.0%	0.1%	-2.2K	-841.5K	-13.4K	0.00	49.87	57	0	1,094	1,942
2011-01-11	$34.82	$30.00	18.4%	7.6%	13.5%	4.5%	26.6%	9.1%	-0.6%	6.3K	-1.1M	-13.0K	0.00	54.50	0	410	1,093	1,942
2011-01-12	$34.90	$35.00	17.7%	7.7%	13.5%	3.3%	0.0%	9.5%	-1.0%	-33.5K	-461.4K	-15.5K	0.00	55.48	5	0	1,093	2,341
2011-01-13	$34.67	$35.00	27.2%	7.8%	13.7%	18.9%	27.2%	9.0%	-1.5%	-33.9K	-288.2K	-15.6K	0.04	56.67	47	2	1,093	2,341
2011-01-14	$34.60	$35.00	26.7%	7.7%	13.8%	18.2%	0.0%	9.3%	-0.8%	-28.8K	-273.6K	-15.6K	0.00	55.84	4	0	1,110	2,342
2011-01-18	$34.78	$35.00	27.5%	7.9%	11.8%	19.5%	27.5%	10.7%	-1.0%	-24.5K	-436.8K	-14.9K	0.00	55.68	20	0	1,106	2,342
2011-01-19	$34.36	$35.00	28.1%	8.1%	12.8%	20.5%	0.0%	8.3%	-1.6%	-30.9K	-80.2K	-15.1K	0.00	54.19	0	0	1,126	2,342
2011-01-20	$34.21	$35.00	28.2%	8.1%	12.9%	20.7%	35.3%	8.9%	-1.8%	-31.8K	-16.1K	-14.9K	0.00	51.00	0	190	1,126	2,342
2011-01-21	$34.32	$35.00	28.0%	8.0%	12.5%	20.3%	36.3%	12.8%	-1.7%	-36.4K	-52.7K	-15.1K	11.43	42.15	14	160	1,126	2,499
2011-01-24	$34.49	$35.00	28.1%	8.1%	12.5%	20.5%	0.0%	9.7%	-2.2%	-41.3K	-187.3K	-14.7K	0.00	55.49	0	0	1,112	2,531
2011-01-25	$34.29	$35.00	28.4%	8.1%	12.8%	20.9%	28.4%	10.3%	-2.3%	-41.0K	-85.7K	-14.4K	0.00	55.77	78	0	1,112	2,531
2011-01-26	$35.13	$35.00	28.5%	8.2%	15.1%	21.1%	28.5%	12.2%	-3.0%	-11.8K	-899.5K	-14.2K	0.00	51.74	0	3	1,190	2,531
2011-01-27	$36.23	$35.00	29.1%	8.3%	18.1%	22.1%	24.6%	9.3%	-2.8%	-8.5K	-1.8M	-12.9K	1.06	49.13	174	184	1,190	2,534
2011-01-28	$35.40	$35.00	29.0%	8.3%	20.5%	21.9%	29.0%	13.5%	-2.5%	-31.1K	-916.0K	-14.4K	0.00	30.16	0	4	1,346	2,685
2011-01-31	$35.42	$35.00	30.5%	8.7%	19.3%	24.4%	0.0%	13.7%	-4.0%	-28.4K	-1.0M	-14.0K	0.00	47.59	6	0	1,346	2,689