IT Options History — April 2011

In April 2011, IT traded between $40.52 and $43.01. ATM implied volatility averaged 24.4%, placing in the 14.3% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded above realized volatility by 8.2% (HV 20d: 16.2%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 1 of 20 days. Put/call ratio averaged 3.32.

Notable Days

2011-04-07: Highest Volume — 235 contracts
2011-04-14: Largest IV spike — 47.2% change
2011-04-26: Highest IV Rank — 22.9%
2011-04-26: Largest Expected Move — 8.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$41.71	$40.52	$43.01	$42.10	$42.91
Max Pain	$37.75	$35.00	$40.00	$40.00	$35.00
ATM IV	24.4%	18.8%	29.6%	20.7%	26.2%
Expected Move	7.6%	5.9%	8.5%	5.9%	7.5%
HV 20d	16.2%	13.5%	18.4%	18.4%	17.5%
HV 60d	27.4%	26.8%	28.1%	27.2%	26.9%
IV Rank	14.3%	5.2%	22.9%	8.3%	17.4%
IV Percentile	29.4%	6.3%	64.7%	11.5%	39.3%
Term Structure	-1.0%	-3.1%	11.3%	11.3%	-3.1%
VWIV	26.2%	16.5%	29.7%	16.5%	29.7%
Skew 25d	4.2%	-1.1%	14.8%	14.8%	3.8%
Skew 10d	9.9%	-3.3%	27.0%	13.5%	6.7%
Call IV 25d	24.6%	13.4%	27.0%	13.4%	27.0%
Put IV 25d	28.8%	23.8%	30.8%	28.2%	30.8%
Bid-Ask Spread %	35.67	22.80	50.08	50.08	30.38
Gamma HHI	0.45	0.40	0.53	0.41	0.40
Net GEX	-133.2K	-209.7K	-84.8K	-103.8K	-84.8K
Net DEX	-5.3K	-654.6K	865.4K	-584.3K	-398.5K
Net VEX	-16.5K	-18.1K	-15.2K	-16.6K	-17.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.32	0.00	20.00	0.00	2.22
Total Volume	61.3	0	235	25	29
Total OI	3,302.05	2,988	3,590	3,227	3,590

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
2011-04-01	$42.10	$40.00	20.7%	5.9%	18.4%	8.3%	16.5%	14.8%	11.3%	-103.8K	-584.3K	-16.6K	0.00	50.08	25	0	785	2,442
2011-04-04	$41.75	$40.00	21.6%	8.1%	17.8%	9.8%	0.0%	4.3%	-2.1%	-110.7K	-460.9K	-16.3K	0.00	38.28	0	0	784	2,442
2011-04-05	$42.02	$40.00	22.9%	8.0%	17.8%	11.9%	0.0%	3.8%	-1.5%	-102.7K	-654.6K	-16.0K	0.00	38.70	6	0	784	2,442
2011-04-06	$41.75	$40.00	22.7%	7.9%	17.8%	11.6%	0.0%	3.5%	-1.4%	-111.4K	-461.7K	-16.2K	0.50	25.06	20	10	790	2,442
2011-04-07	$41.51	$40.00	21.5%	8.0%	15.6%	9.6%	0.0%	4.7%	-2.5%	-122.4K	-346.2K	-15.8K	4.00	39.23	47	188	770	2,447
2011-04-08	$40.67	$40.00	23.1%	7.9%	15.3%	12.2%	27.6%	3.9%	-1.9%	-196.7K	791.6K	-18.1K	10.00	33.46	4	40	743	2,620
2011-04-11	$40.60	$40.00	24.3%	8.0%	14.8%	14.3%	0.0%	4.7%	-1.8%	-205.1K	796.6K	-17.6K	0.00	39.85	4	0	743	2,620
2011-04-12	$40.82	$40.00	23.4%	8.0%	14.6%	12.7%	27.9%	4.1%	-1.7%	-196.6K	490.8K	-17.0K	0.00	33.72	2	0	739	2,620
2011-04-13	$40.72	$40.00	18.8%	7.8%	14.4%	5.2%	0.0%	5.1%	-1.1%	-209.7K	379.9K	-16.7K	20.00	40.81	2	40	741	2,620
2011-04-14	$41.10	$40.00	27.7%	7.9%	14.4%	19.8%	27.7%	4.5%	-1.7%	-164.4K	4.1K	-16.1K	0.38	42.16	16	6	743	2,660
2011-04-15	$41.05	$40.00	26.8%	7.7%	14.1%	18.3%	28.9%	4.7%	-0.4%	-155.6K	89.0K	-16.3K	0.00	43.61	39	0	727	2,666
2011-04-18	$40.52	$35.00	27.4%	7.8%	13.5%	19.2%	28.3%	4.2%	-1.4%	-131.6K	865.4K	-16.2K	1.46	49.38	41	60	613	2,375
2011-04-19	$40.99	$35.00	26.6%	7.6%	14.0%	17.9%	0.0%	-1.1%	-1.0%	-123.8K	555.5K	-16.3K	12.31	36.27	13	160	641	2,435
2011-04-20	$42.07	$35.00	27.1%	7.8%	16.4%	18.8%	27.1%	2.9%	-1.1%	-111.9K	53.9K	-16.4K	0.00	28.68	7	0	654	2,585
2011-04-21	$42.80	$35.00	23.4%	6.7%	17.2%	12.7%	26.4%	3.0%	-0.9%	-99.5K	-322.9K	-15.6K	0.00	29.34	30	0	656	2,585
2011-04-25	$42.62	$35.00	24.1%	6.9%	17.3%	13.9%	28.6%	3.1%	-1.6%	-108.1K	-236.7K	-15.2K	4.85	30.53	13	63	654	2,585
2011-04-26	$42.44	$35.00	29.6%	8.5%	17.4%	22.9%	27.5%	3.7%	-3.0%	-109.6K	-61.0K	-16.4K	7.41	22.80	27	200	665	2,648
2011-04-27	$43.01	$35.00	24.1%	6.9%	17.8%	13.9%	18.2%	3.8%	-1.1%	-114.3K	-286.5K	-16.2K	0.00	31.90	36	0	689	2,787
2011-04-28	$42.80	$35.00	25.3%	7.2%	18.0%	15.8%	25.9%	2.7%	-2.6%	-100.9K	-320.5K	-17.2K	0.01	29.14	97	1	722	2,787
2011-04-29	$42.91	$35.00	26.2%	7.5%	17.5%	17.4%	29.7%	3.8%	-3.1%	-84.8K	-398.5K	-17.1K	2.22	30.38	9	20	802	2,788