IT Options History — January 2012

In January 2012, IT traded between $34.67 and $38.25. ATM implied volatility averaged 25.8%, placing in the 28.5% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 4.6% (HV 20d: 21.3%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 0.47.

Notable Days

2012-01-26: Highest Volume — 34 contracts
2012-01-12: Largest IV spike — 28.9% change
2012-01-19: Highest IV Rank — 40.7%
2012-01-19: Largest Expected Move — 8.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$36.23	$34.67	$38.25	$34.70	$37.91
Max Pain	$35.00	$35.00	$35.00	$35.00	$35.00
ATM IV	25.8%	17.3%	30.8%	26.5%	17.3%
Expected Move	7.8%	5.0%	8.8%	7.6%	5.0%
HV 20d	21.3%	19.2%	23.3%	22.1%	19.5%
HV 60d	26.3%	22.3%	28.9%	28.9%	22.3%
IV Rank	28.5%	7.4%	40.7%	30.0%	7.4%
IV Percentile	39.9%	3.2%	65.5%	43.7%	3.2%
Term Structure	0.7%	-3.6%	7.1%	4.4%	6.9%
VWIV	24.7%	17.1%	29.9%	29.9%	19.7%
Skew 25d	5.7%	-7.3%	29.6%	1.5%	1.8%
Skew 10d	11.2%	-6.7%	44.4%	2.2%	2.5%
Call IV 25d	23.6%	18.6%	27.5%	27.1%	18.6%
Put IV 25d	29.3%	19.4%	56.2%	28.6%	20.5%
Bid-Ask Spread %	94.60	24.74	107.04	100.47	107.04
Gamma HHI	0.53	0.37	0.78	0.37	0.71
Net GEX	-32.5K	-40.3K	-28.4K	-28.4K	-40.3K
Net DEX	971.9K	191.8K	1.5M	1.4M	362.6K
Net VEX	-7.7K	-8.4K	-7.1K	-8.4K	-7.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.47	0.00	3.86	0.00	3.86
Total Volume	8.9	0	34	10	0
Total OI	2,021	1,889	2,099	2,066	1,936

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
2012-01-03	$34.70	$35.00	26.5%	7.6%	22.1%	30.0%	0.0%	1.5%	4.4%	-28.4K	1.4M	-8.4K	0.00	100.47	10	0	869	1,197
2012-01-04	$34.80	$35.00	24.7%	7.1%	22.2%	25.6%	0.0%	29.6%	5.9%	-29.2K	1.4M	-8.4K	0.00	98.98	0	0	879	1,197
2012-01-05	$35.08	$35.00	25.1%	7.2%	22.5%	26.8%	0.0%	3.1%	5.7%	-29.3K	1.4M	-8.2K	0.00	101.55	0	0	879	1,197
2012-01-06	$34.70	$0.00	23.5%	8.8%	22.7%	22.7%	0.0%	10.4%	-0.4%	-29.9K	1.5M	-7.9K	0.00	91.05	0	0	879	1,197
2012-01-09	$34.67	$0.00	22.8%	8.6%	21.2%	20.9%	0.0%	11.9%	-0.9%	-30.1K	1.5M	-7.4K	0.00	24.74	7	0	879	1,197
2012-01-10	$35.13	$0.00	23.5%	8.7%	21.5%	22.7%	0.0%	12.4%	-0.5%	-31.4K	1.4M	-7.8K	0.00	93.48	0	0	879	1,197
2012-01-11	$35.02	$0.00	23.6%	8.6%	21.5%	22.9%	29.9%	4.1%	-0.2%	-31.1K	1.4M	-7.5K	0.00	96.53	11	0	879	1,197
2012-01-12	$35.32	$35.00	30.4%	8.7%	21.8%	39.8%	0.0%	5.3%	-0.7%	-31.6K	1.3M	-7.9K	0.00	96.92	0	15	890	1,197
2012-01-13	$35.28	$35.00	29.1%	8.4%	20.1%	36.7%	0.0%	2.6%	0.4%	-29.6K	1.4M	-7.6K	0.00	96.85	0	20	890	1,182
2012-01-17	$35.33	$35.00	30.1%	8.6%	19.9%	39.2%	0.0%	4.6%	-1.3%	-29.8K	1.3M	-7.1K	0.83	97.44	12	10	890	1,182
2012-01-18	$36.56	$35.00	30.5%	8.7%	23.3%	40.1%	17.1%	17.3%	-2.1%	-33.6K	946.7K	-7.6K	0.00	97.64	10	0	897	1,182
2012-01-19	$37.15	$35.00	30.8%	8.8%	23.1%	40.7%	0.0%	6.5%	-1.4%	-32.9K	640.0K	-7.8K	0.00	97.59	10	0	907	1,182
2012-01-20	$36.41	$35.00	28.8%	8.2%	22.3%	35.8%	28.8%	8.7%	-0.5%	-31.7K	903.5K	-7.4K	0.00	98.64	21	0	917	1,182
2012-01-23	$37.23	$35.00	29.2%	8.4%	20.6%	37.0%	28.8%	3.9%	0.0%	-32.6K	637.4K	-7.6K	0.00	94.11	6	0	718	1,171
2012-01-24	$37.40	$35.00	26.1%	7.5%	20.6%	29.2%	0.0%	5.5%	7.1%	-32.9K	579.3K	-7.4K	0.00	96.09	10	0	724	1,171
2012-01-25	$38.01	$35.00	22.1%	6.3%	20.9%	19.1%	0.0%	-5.5%	-1.6%	-35.5K	280.5K	-7.5K	0.00	103.00	0	0	734	1,171
2012-01-26	$38.25	$35.00	25.4%	7.3%	20.8%	27.4%	23.7%	-3.5%	-1.0%	-36.2K	191.8K	-7.6K	3.86	99.32	7	27	734	1,171
2012-01-27	$37.95	$35.00	23.2%	6.6%	19.2%	21.9%	19.7%	-7.3%	-1.7%	-37.4K	273.5K	-8.0K	0.00	103.46	0	2	736	1,198
2012-01-30	$37.69	$35.00	24.2%	6.9%	19.6%	24.4%	0.0%	0.9%	-3.6%	-37.2K	445.2K	-7.5K	0.00	97.01	0	0	736	1,200
2012-01-31	$37.91	$35.00	17.3%	5.0%	19.5%	7.4%	0.0%	1.8%	6.9%	-40.3K	362.6K	-7.3K	0.00	107.04	0	0	736	1,200