IT Options History — February 2011

In February 2011, IT traded between $35.87 and $38.53. ATM implied volatility averaged 26.0%, placing in the 17.0% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded below realized volatility by 3.4% (HV 20d: 29.4%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 12 of 19 days. Put/call ratio averaged 11.19.

Notable Days

2011-02-16: Highest Volume — 3,123 contracts
2011-02-09: Largest IV drop — 53.2% change
2011-02-08: Highest IV Rank — 33.2%
2011-02-23: Largest Expected Move — 8.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$37.26	$35.87	$38.53	$35.87	$37.72
Max Pain	$35.79	$35.00	$40.00	$35.00	$35.00
ATM IV	26.0%	15.8%	35.9%	30.2%	21.3%
Expected Move	7.1%	4.5%	8.7%	8.6%	6.1%
HV 20d	29.4%	19.0%	40.6%	19.4%	37.7%
HV 60d	21.2%	16.6%	26.2%	16.6%	25.6%
IV Rank	17.0%	0.3%	33.2%	23.8%	9.4%
IV Percentile	42.5%	0.4%	91.3%	67.5%	14.7%
Term Structure	0.7%	-3.6%	4.6%	-3.4%	0.7%
VWIV	24.5%	13.2%	35.3%	35.3%	26.4%
Skew 25d	4.2%	-0.7%	14.0%	14.0%	2.3%
Skew 10d	8.8%	-3.1%	25.5%	25.5%	11.1%
Call IV 25d	22.7%	18.5%	27.2%	21.4%	24.8%
Put IV 25d	26.9%	21.6%	35.3%	35.3%	27.0%
Bid-Ask Spread %	38.46	31.22	50.89	38.95	31.55
Gamma HHI	0.53	0.33	0.80	0.34	0.46
Net GEX	-115.0K	-642.9K	-8.4K	-24.6K	-129.0K
Net DEX	-566.3K	-3.6M	12.5M	-1.4M	-748.1K
Net VEX	-12.7K	-20.4K	-8.8K	-13.6K	-13.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	11.19	0.00	110.54	2.00	1.50
Total Volume	563.737	14	3,123	30	50
Total OI	4,934.158	4,035	10,172	4,035	4,723

Daily Data (19 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
2011-02-01	$35.87	$35.00	30.2%	8.6%	19.4%	23.8%	35.3%	14.0%	-3.4%	-24.6K	-1.4M	-13.6K	2.00	38.95	10	20	1,346	2,689
2011-02-02	$36.26	$35.00	30.1%	8.6%	19.3%	23.7%	30.1%	12.2%	-3.6%	-18.9K	-1.8M	-12.8K	32.00	42.39	1	32	1,356	2,689
2011-02-03	$36.29	$35.00	30.2%	8.6%	19.0%	23.8%	30.3%	9.8%	-3.1%	-20.7K	-1.8M	-12.7K	0.00	45.61	0	310	1,357	2,699
2011-02-04	$36.27	$35.00	31.6%	7.4%	19.0%	26.1%	25.8%	4.1%	0.8%	-55.7K	-1.5M	-14.3K	0.77	46.24	30	23	1,357	3,009
2011-02-07	$36.59	$35.00	34.5%	7.7%	19.1%	31.0%	26.1%	1.6%	0.3%	-50.9K	-1.8M	-13.3K	0.63	37.40	145	91	1,357	3,009
2011-02-08	$37.99	$35.00	35.9%	5.5%	22.4%	33.2%	17.7%	3.8%	3.9%	-19.0K	-3.4M	-10.1K	0.10	31.22	164	16	1,460	3,064
2011-02-09	$36.71	$35.00	16.8%	6.6%	26.2%	1.9%	23.0%	2.1%	2.7%	-66.7K	-2.3M	-12.3K	3.33	43.88	12	40	1,469	3,074
2011-02-10	$37.76	$35.00	15.8%	4.5%	27.8%	0.3%	13.2%	3.1%	4.6%	-34.2K	-3.2M	-10.2K	0.00	37.64	25	0	1,473	3,114
2011-02-11	$38.22	$35.00	19.3%	5.5%	27.6%	6.0%	20.3%	3.6%	4.2%	-14.9K	-3.5M	-9.7K	0.33	37.20	36	12	1,448	3,114
2011-02-14	$38.53	$35.00	19.8%	5.7%	27.5%	6.9%	19.9%	3.1%	3.8%	-8.4K	-3.6M	-8.8K	0.03	41.50	29	1	1,428	3,126
2011-02-15	$37.22	$35.00	22.7%	6.5%	30.9%	11.6%	22.1%	5.1%	3.4%	-68.4K	-2.7M	-10.5K	0.01	50.89	339	2	1,432	3,126
2011-02-16	$37.25	$35.00	25.7%	7.4%	30.4%	16.5%	22.3%	3.0%	1.1%	-64.3K	-2.8M	-10.9K	110.54	35.04	28	3,095	1,490	3,128
2011-02-17	$36.00	$40.00	26.3%	7.5%	33.2%	17.4%	26.3%	-0.7%	1.0%	-324.6K	8.4M	-17.6K	15.38	35.19	164	2,523	1,508	6,209
2011-02-18	$38.33	$40.00	24.8%	7.1%	39.5%	15.0%	24.8%	2.6%	0.1%	-642.9K	12.5M	-20.4K	34.43	31.24	86	2,961	1,603	8,569
2011-02-22	$38.05	$40.00	27.2%	7.8%	39.8%	18.9%	26.3%	2.2%	-1.6%	-213.5K	154.0K	-12.5K	0.07	34.84	140	10	1,106	3,592
2011-02-23	$37.29	$35.00	30.4%	8.7%	40.6%	24.2%	30.4%	2.2%	-1.4%	-144.4K	-84.0K	-12.4K	0.28	37.23	36	10	1,148	3,296
2011-02-24	$37.85	$35.00	26.5%	7.6%	40.1%	17.8%	0.0%	3.1%	-0.3%	-154.3K	-556.9K	-11.9K	0.00	36.12	256	0	1,163	3,306
2011-02-25	$37.70	$35.00	24.7%	7.1%	38.9%	14.8%	20.3%	3.2%	-0.5%	-129.8K	-793.4K	-13.5K	0.08	36.69	13	1	1,406	3,306
2011-02-28	$37.72	$35.00	21.3%	6.1%	37.7%	9.4%	26.4%	2.3%	0.7%	-129.0K	-748.1K	-13.1K	1.50	31.55	20	30	1,416	3,307