IT Options History — July 2011

Name: IT Options Analytics - July 2011
Creator: Options Analysis Suite

In July 2011, IT traded between $36.48 and $41.40. ATM implied volatility averaged 25.5%, placing in the 18.0% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded above realized volatility by 4.1% (HV 20d: 21.5%). 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 2 of 20 days. Put/call ratio averaged 0.41.

Notable Days

2011-07-19: Highest Volume — 78 contracts
2011-07-11: Largest IV spike — 59.1% change
2011-07-29: Highest IV Rank — 35.3%
2011-07-29: Largest Expected Move — 10.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$39.23	$36.48	$41.40	$40.54	$36.91
Max Pain	$39.50	$35.00	$40.00	$40.00	$35.00
ATM IV	25.5%	14.6%	36.4%	19.6%	36.4%
Expected Move	8.1%	5.6%	10.4%	5.6%	10.4%
HV 20d	21.5%	19.3%	23.8%	23.8%	21.1%
HV 60d	28.2%	27.8%	28.9%	28.1%	28.9%
IV Rank	18.0%	0.4%	35.3%	8.5%	35.3%
IV Percentile	50.6%	0.4%	96.8%	13.1%	96.8%
Term Structure	-1.1%	-4.3%	5.4%	5.4%	-4.3%
VWIV	27.3%	19.5%	33.7%	19.5%	33.7%
Skew 25d	6.1%	2.1%	12.1%	2.7%	5.4%
Skew 10d	10.3%	0.9%	19.1%	5.1%	4.1%
Call IV 25d	24.6%	18.2%	30.8%	18.2%	30.8%
Put IV 25d	30.7%	20.9%	36.2%	20.9%	36.2%
Bid-Ask Spread %	42.70	34.30	52.35	50.39	40.76
Gamma HHI	0.47	0.42	0.53	0.53	0.43
Net GEX	-96.0K	-102.4K	-86.1K	-101.7K	-99.5K
Net DEX	2.0M	459.0K	3.8M	1.3M	3.5M
Net VEX	-19.3K	-22.5K	-16.6K	-22.5K	-17.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.41	0.00	3.33	0.03	0.00
Total Volume	19.3	0	78	38	1
Total OI	2,929.1	2,852	3,067	3,012	3,067

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
2011-07-01	$40.54	$40.00	19.6%	5.6%	23.8%	8.5%	19.5%	2.7%	5.4%	-101.7K	1.3M	-22.5K	0.03	50.39	37	1	793	2,219
2011-07-05	$41.22	$40.00	20.2%	7.2%	21.0%	9.4%	0.0%	3.9%	0.6%	-86.7K	644.0K	-19.9K	0.00	49.88	0	0	787	2,078
2011-07-06	$41.29	$40.00	19.8%	7.7%	21.0%	8.8%	0.0%	4.9%	-0.1%	-86.2K	597.0K	-19.9K	0.00	48.20	0	0	787	2,078
2011-07-07	$41.40	$40.00	16.5%	7.8%	20.2%	3.4%	27.6%	5.5%	-1.0%	-86.1K	459.0K	-19.7K	0.00	47.51	2	0	787	2,078
2011-07-08	$41.16	$40.00	14.6%	7.9%	20.6%	0.4%	0.0%	6.3%	-1.7%	-87.5K	677.7K	-19.7K	0.00	47.03	30	0	787	2,078
2011-07-11	$40.25	$40.00	23.2%	7.9%	21.8%	14.3%	0.0%	5.2%	-0.9%	-94.3K	1.3M	-19.8K	0.00	49.03	50	0	787	2,078
2011-07-12	$40.12	$40.00	21.9%	7.9%	21.9%	12.2%	0.0%	5.1%	-1.0%	-94.1K	1.3M	-20.0K	0.00	47.03	0	0	803	2,078
2011-07-13	$39.96	$40.00	22.1%	8.0%	21.4%	12.5%	0.0%	12.1%	-1.4%	-96.3K	1.4M	-19.7K	0.00	52.35	0	0	803	2,078
2011-07-14	$39.20	$40.00	28.2%	8.1%	22.8%	22.2%	28.2%	9.5%	-1.5%	-97.9K	2.0M	-19.5K	0.00	36.91	1	0	803	2,078
2011-07-15	$39.23	$40.00	27.4%	7.9%	22.3%	21.0%	0.0%	8.7%	-0.9%	-98.6K	2.0M	-19.4K	0.00	37.07	0	10	803	2,078
2011-07-18	$38.54	$40.00	27.5%	7.9%	23.5%	21.1%	27.5%	7.6%	-1.3%	-98.7K	2.4M	-18.7K	0.77	40.32	13	10	800	2,052
2011-07-19	$39.13	$40.00	27.0%	7.7%	23.0%	20.3%	0.0%	8.8%	-0.9%	-96.8K	2.1M	-19.1K	0.15	37.16	68	10	811	2,062
2011-07-20	$38.76	$40.00	26.6%	7.6%	21.4%	19.7%	0.0%	7.8%	-1.2%	-96.2K	2.2M	-19.6K	0.67	39.53	30	20	869	2,072
2011-07-21	$38.74	$40.00	26.9%	7.7%	20.4%	20.2%	0.0%	4.2%	-0.8%	-95.5K	2.3M	-19.9K	0.00	34.30	0	10	889	2,092
2011-07-22	$38.46	$40.00	27.1%	7.8%	20.3%	20.5%	0.0%	6.8%	-0.9%	-98.3K	2.5M	-19.7K	0.00	35.80	0	0	889	2,102
2011-07-25	$38.39	$40.00	28.1%	8.1%	19.3%	22.1%	0.0%	6.6%	-1.8%	-100.0K	2.6M	-19.2K	3.33	38.88	3	10	889	2,102
2011-07-26	$37.54	$40.00	28.3%	8.1%	20.2%	22.4%	0.0%	4.3%	-1.6%	-101.9K	3.2M	-18.5K	0.00	40.28	10	0	889	2,112
2011-07-27	$36.48	$40.00	33.8%	9.7%	21.2%	31.2%	33.7%	2.1%	-2.9%	-102.4K	3.8M	-16.6K	0.00	40.36	30	0	885	2,112
2011-07-28	$37.22	$35.00	35.4%	10.1%	21.8%	33.8%	0.0%	4.7%	-4.0%	-100.8K	3.3M	-17.7K	0.33	41.21	30	10	915	2,112
2011-07-29	$36.91	$35.00	36.4%	10.4%	21.1%	35.3%	0.0%	5.4%	-4.3%	-99.5K	3.5M	-17.6K	0.00	40.76	1	0	945	2,122