IT Options History — September 2011

In September 2011, IT traded between $33.69 and $37.60. ATM implied volatility averaged 35.8%, placing in the 34.5% IV rank vs the trailing year. The 30-day expected move averaged 10.2%. IV traded below realized volatility by 10.1% (HV 20d: 45.9%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 6.48.

Notable Days

2011-09-16: Highest Volume — 297 contracts
2011-09-14: Largest IV drop — 16.9% change
2011-09-13: Highest IV Rank — 39.5%
2011-09-30: Largest Expected Move — 11.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$35.35	$33.69	$37.60	$34.90	$34.87
Max Pain	$35.48	$35.00	$40.00	$40.00	$35.00
ATM IV	35.8%	31.4%	39.0%	33.8%	38.7%
Expected Move	10.2%	9.0%	11.1%	9.7%	11.1%
HV 20d	45.9%	40.0%	57.2%	56.5%	41.2%
HV 60d	41.3%	38.7%	43.1%	38.7%	43.1%
IV Rank	34.5%	27.3%	39.5%	31.2%	39.0%
IV Percentile	87.7%	75.8%	94.8%	83.7%	94.0%
Term Structure	0.3%	-2.1%	2.7%	-1.2%	2.7%
VWIV	35.0%	32.0%	38.7%	35.1%	38.7%
Skew 25d	7.8%	4.4%	16.5%	15.0%	16.5%
Skew 10d	15.8%	5.3%	26.3%	24.0%	26.3%
Call IV 25d	32.7%	27.3%	36.4%	27.3%	28.0%
Put IV 25d	40.5%	35.1%	44.9%	42.3%	44.5%
Bid-Ask Spread %	33.05	24.94	48.68	35.42	24.94
Gamma HHI	0.43	0.28	0.64	0.43	0.40
Net GEX	-71.6K	-171.3K	-21.6K	-103.9K	-36.0K
Net DEX	3.1M	693.3K	5.2M	4.6M	1.7M
Net VEX	-12.8K	-15.0K	-10.4K	-12.7K	-13.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	6.48	0.00	31.00	31.00	24.00
Total Volume	48.905	0	297	32	25
Total OI	2,893.381	2,034	3,488	3,452	2,433

Daily Data (21 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
2011-09-01	$34.90	$40.00	33.8%	9.7%	56.5%	31.2%	0.0%	15.0%	-1.2%	-103.9K	4.6M	-12.7K	31.00	35.42	1	31	1,135	2,317
2011-09-02	$33.93	$40.00	35.1%	10.1%	57.2%	33.3%	35.1%	12.8%	-2.1%	-92.6K	5.0M	-12.0K	0.00	33.42	0	5	1,136	2,348
2011-09-06	$34.06	$35.00	38.0%	10.0%	53.1%	38.1%	0.0%	7.8%	-0.1%	-96.0K	5.1M	-11.5K	0.00	39.86	0	0	1,136	2,351
2011-09-07	$35.56	$35.00	34.8%	9.7%	48.9%	32.8%	0.0%	6.1%	-1.0%	-116.4K	4.5M	-12.3K	0.00	25.85	10	0	1,136	2,351
2011-09-08	$35.16	$35.00	36.1%	9.6%	47.5%	35.0%	0.0%	6.1%	0.1%	-113.7K	4.7M	-12.3K	0.00	26.45	1	0	1,136	2,351
2011-09-09	$34.43	$35.00	34.8%	10.2%	47.4%	32.8%	0.0%	7.3%	-0.3%	-109.6K	5.0M	-11.6K	0.73	35.61	30	22	1,137	2,351
2011-09-12	$33.69	$35.00	36.0%	10.8%	47.6%	34.8%	0.0%	6.5%	-1.0%	-96.4K	5.2M	-10.4K	0.00	40.61	0	20	1,137	2,332
2011-09-13	$34.81	$35.00	39.0%	10.2%	49.1%	39.5%	0.0%	6.5%	0.1%	-131.1K	4.8M	-11.4K	0.00	29.38	10	0	1,137	2,315
2011-09-14	$34.12	$35.00	32.4%	10.1%	49.3%	29.0%	0.0%	6.5%	0.7%	-120.4K	5.1M	-10.8K	0.00	31.48	0	10	1,147	2,315
2011-09-15	$34.55	$35.00	34.8%	10.0%	49.6%	32.9%	0.0%	7.0%	0.3%	-171.3K	5.0M	-11.1K	0.00	30.70	21	0	1,147	2,325
2011-09-16	$36.68	$35.00	34.6%	9.9%	42.7%	32.6%	34.4%	5.3%	0.5%	-65.2K	3.7M	-12.0K	0.14	25.89	260	37	1,158	2,325
2011-09-19	$37.60	$35.00	31.4%	9.0%	41.8%	27.3%	0.0%	4.7%	1.2%	-32.1K	693.3K	-14.1K	0.00	30.80	0	0	756	1,278
2011-09-20	$36.89	$35.00	34.2%	9.8%	42.8%	31.9%	32.0%	4.4%	1.9%	-32.8K	935.9K	-13.4K	0.01	31.43	253	2	756	1,278
2011-09-21	$36.00	$35.00	35.0%	10.0%	41.9%	33.1%	0.0%	7.6%	0.8%	-22.9K	1.1M	-13.8K	0.00	30.51	0	0	895	1,280
2011-09-22	$35.25	$35.00	36.3%	10.4%	42.6%	35.3%	0.0%	8.3%	0.3%	-22.4K	1.3M	-13.2K	0.00	33.47	0	0	895	1,280
2011-09-23	$35.57	$35.00	37.4%	10.7%	41.8%	37.0%	0.0%	7.2%	0.5%	-21.6K	1.2M	-13.8K	10.45	32.87	20	209	895	1,280
2011-09-26	$36.42	$35.00	37.7%	10.8%	41.9%	37.6%	0.0%	6.6%	-0.8%	-29.0K	1.0M	-15.0K	0.00	32.33	0	0	905	1,468
2011-09-27	$36.45	$35.00	36.7%	10.5%	40.0%	35.9%	0.0%	7.1%	0.2%	-29.3K	991.7K	-14.8K	0.00	35.31	0	0	905	1,468
2011-09-28	$35.66	$35.00	37.9%	10.9%	40.7%	37.8%	0.0%	8.6%	0.5%	-31.5K	1.3M	-14.0K	0.00	48.68	0	0	905	1,468
2011-09-29	$35.81	$35.00	37.1%	10.6%	40.7%	36.6%	0.0%	6.7%	2.0%	-29.6K	1.3M	-14.4K	5.00	38.95	10	50	915	1,478
2011-09-30	$34.87	$35.00	38.7%	11.1%	41.2%	39.0%	38.7%	16.5%	2.7%	-36.0K	1.7M	-13.8K	24.00	24.94	1	24	905	1,528