IT Options History — November 2011

In November 2011, IT traded between $35.89 and $40.27. ATM implied volatility averaged 31.1%, placing in the 26.9% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded below realized volatility by 2.6% (HV 20d: 33.7%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 7 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 1.17.

Notable Days

2011-11-01: Highest Volume — 153 contracts
2011-11-30: Largest IV drop — 28.4% change
2011-11-21: Highest IV Rank — 32.3%
2011-11-21: Largest Expected Move — 9.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$38.08	$35.89	$40.27	$39.03	$37.83
Max Pain	$40.00	$40.00	$40.00	$40.00	$40.00
ATM IV	31.1%	23.4%	34.4%	32.4%	23.4%
Expected Move	8.9%	6.7%	9.9%	9.3%	6.7%
HV 20d	33.7%	26.4%	38.4%	36.0%	26.7%
HV 60d	40.2%	37.3%	45.7%	45.7%	37.6%
IV Rank	26.9%	14.5%	32.3%	29.0%	14.5%
IV Percentile	67.3%	32.1%	78.6%	72.6%	32.1%
Term Structure	0.8%	-1.2%	4.6%	-1.2%	3.1%
VWIV	29.0%	18.4%	34.8%	18.4%	32.2%
Skew 25d	5.9%	-4.0%	14.6%	-2.4%	-4.0%
Skew 10d	9.1%	-5.8%	29.6%	-2.0%	-5.8%
Call IV 25d	25.9%	19.5%	31.4%	30.5%	25.5%
Put IV 25d	31.8%	21.5%	34.6%	28.1%	21.5%
Bid-Ask Spread %	96.92	87.77	106.86	100.77	106.86
Gamma HHI	0.43	0.37	0.56	0.37	0.46
Net GEX	-21.2K	-69.8K	18.9K	-18.5K	-37.2K
Net DEX	670.6K	-1.2M	2.3M	-12.0K	1.2M
Net VEX	-14.7K	-17.1K	-10.8K	-16.7K	-10.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.17	0.00	6.67	0.00	1.10
Total Volume	21.857	0	153	153	0
Total OI	3,384.857	3,191	3,564	3,273	3,211

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
2011-11-01	$39.03	$40.00	32.4%	9.3%	36.0%	29.0%	0.0%	-2.4%	-1.2%	-18.5K	-12.0K	-16.7K	0.00	100.77	153	0	1,225	2,048
2011-11-02	$40.27	$40.00	31.3%	9.0%	37.0%	27.2%	0.0%	2.4%	-0.5%	17.6K	-1.2M	-17.0K	0.50	100.95	20	10	1,365	2,048
2011-11-03	$40.03	$40.00	31.4%	9.0%	37.1%	27.4%	0.0%	0.8%	-1.1%	18.9K	-1.1M	-16.9K	0.00	101.66	0	20	1,381	2,048
2011-11-04	$38.94	$40.00	29.9%	8.8%	38.4%	25.1%	0.0%	8.0%	-0.0%	5.9K	-209.6K	-17.1K	0.00	94.75	0	0	1,381	2,068
2011-11-07	$39.00	$40.00	32.1%	8.6%	37.0%	28.5%	18.4%	7.3%	1.2%	8.1K	-169.7K	-16.6K	1.82	94.46	11	20	1,381	2,068
2011-11-08	$38.98	$40.00	30.8%	8.6%	37.0%	26.5%	0.0%	8.9%	1.4%	6.4K	-142.7K	-16.7K	0.00	94.35	0	20	1,392	2,088
2011-11-09	$38.16	$40.00	26.0%	8.8%	36.3%	18.7%	0.0%	5.9%	1.1%	-13.2K	645.0K	-16.4K	0.00	94.32	0	0	1,392	2,098
2011-11-10	$38.50	$40.00	30.6%	8.8%	36.4%	26.1%	0.0%	8.1%	1.4%	-3.2K	442.3K	-16.2K	0.00	88.73	0	1	1,392	2,098
2011-11-11	$38.88	$40.00	30.1%	8.6%	36.4%	25.3%	0.0%	7.3%	1.2%	11.1K	-2.1K	-16.0K	0.00	96.79	0	30	1,392	2,099
2011-11-14	$38.48	$40.00	30.0%	8.6%	34.9%	25.1%	0.0%	7.4%	1.5%	-5.3K	534.9K	-15.6K	0.00	87.77	0	10	1,392	2,129
2011-11-15	$38.70	$40.00	30.4%	8.7%	34.0%	25.8%	0.0%	6.8%	1.0%	1.7K	275.6K	-15.5K	1.57	96.86	7	11	1,392	2,139
2011-11-16	$38.16	$40.00	30.5%	8.7%	34.0%	25.9%	30.4%	3.6%	0.9%	-18.0K	746.6K	-14.9K	0.00	95.38	40	0	1,399	2,150
2011-11-17	$37.39	$40.00	33.2%	9.5%	34.9%	30.3%	0.0%	1.8%	1.0%	-41.3K	1.4M	-14.5K	0.00	94.40	2	0	1,414	2,150
2011-11-18	$37.42	$40.00	31.1%	8.9%	33.8%	26.9%	0.0%	2.1%	4.6%	-38.4K	1.3M	-14.5K	6.67	95.83	3	20	1,416	2,128
2011-11-21	$36.80	$40.00	34.4%	9.9%	32.0%	32.3%	34.8%	6.6%	-0.4%	-51.5K	1.5M	-13.5K	0.00	94.51	0	20	1,262	1,929
2011-11-22	$36.79	$40.00	33.2%	9.5%	31.3%	30.2%	0.0%	6.5%	-0.1%	-51.9K	1.5M	-13.3K	0.00	94.69	0	0	1,262	1,929
2011-11-23	$35.89	$40.00	32.6%	9.4%	31.6%	29.4%	0.0%	8.5%	0.9%	-69.8K	2.3M	-11.9K	0.09	99.43	11	1	1,262	1,929
2011-11-25	$36.04	$40.00	32.2%	9.2%	26.9%	28.7%	32.2%	9.8%	1.2%	-69.0K	2.2M	-12.0K	0.00	99.27	20	0	1,273	1,929
2011-11-28	$37.24	$40.00	34.2%	9.8%	30.1%	31.9%	0.0%	14.6%	-0.7%	-50.2K	1.4M	-12.0K	0.00	101.70	0	8	1,283	1,929
2011-11-29	$37.19	$40.00	32.7%	9.4%	26.4%	29.4%	0.0%	13.5%	1.0%	-47.9K	1.4M	-11.7K	1.10	101.84	10	11	1,283	1,928
2011-11-30	$37.83	$40.00	23.4%	6.7%	26.7%	14.5%	0.0%	-4.0%	3.1%	-37.2K	1.2M	-10.8K	0.00	106.86	0	0	1,273	1,938