IT Options History — February 2012

In February 2012, IT traded between $37.57 and $40.35. ATM implied volatility averaged 22.1%, placing in the 19.3% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded below realized volatility by 1.2% (HV 20d: 23.3%). 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 19 of 20 days. Put/call ratio averaged 0.29.

Notable Days

2012-02-21: Highest Volume — 100 contracts
2012-02-15: Largest IV spike — 19.5% change
2012-02-06: Highest IV Rank — 32.6%
2012-02-02: Largest Expected Move — 7.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$38.76	$37.57	$40.35	$38.88	$40.26
Max Pain	$39.50	$35.00	$40.00	$35.00	$40.00
ATM IV	22.1%	18.8%	27.5%	23.9%	20.6%
Expected Move	6.2%	5.4%	7.3%	6.8%	5.9%
HV 20d	23.3%	20.7%	26.4%	20.7%	22.3%
HV 60d	22.8%	21.7%	23.6%	23.0%	21.7%
IV Rank	19.3%	11.1%	32.6%	23.6%	15.6%
IV Percentile	20.5%	5.6%	53.2%	30.2%	12.3%
Term Structure	1.8%	-1.1%	4.0%	1.1%	1.2%
VWIV	21.3%	20.4%	22.8%	22.8%	20.4%
Skew 25d	6.5%	-3.8%	45.8%	45.8%	1.2%
Skew 10d	11.1%	-5.6%	58.7%	58.7%	2.8%
Call IV 25d	22.4%	20.5%	26.1%	24.3%	22.2%
Put IV 25d	28.9%	19.7%	70.1%	70.1%	23.4%
Bid-Ask Spread %	92.73	33.25	103.24	99.69	99.67
Gamma HHI	0.77	0.72	0.84	0.74	0.81
Net GEX	-69.5K	-131.1K	-41.7K	-45.1K	-131.1K
Net DEX	85.2K	-717.0K	604.3K	-71.2K	-563.1K
Net VEX	-6.0K	-7.5K	-4.6K	-7.5K	-5.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.29	0.00	2.00	0.00	0.00
Total Volume	11.15	0	100	0	0
Total OI	1,936.35	1,879	1,989	1,936	1,931

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
2012-02-01	$38.88	$35.00	23.9%	6.8%	20.7%	23.6%	0.0%	45.8%	1.1%	-45.1K	-71.2K	-7.5K	0.00	99.69	0	0	736	1,200
2012-02-02	$38.31	$35.00	25.6%	7.3%	21.9%	28.0%	0.0%	-2.9%	-1.1%	-43.1K	159.7K	-7.3K	0.00	103.24	0	0	736	1,200
2012-02-03	$38.83	$40.00	26.7%	7.1%	22.1%	30.7%	0.0%	-2.6%	1.4%	-46.6K	-95.5K	-7.4K	0.00	99.04	10	0	736	1,200
2012-02-06	$39.15	$40.00	27.5%	7.0%	21.3%	32.6%	0.0%	6.9%	1.6%	-50.3K	-201.5K	-7.1K	0.00	92.04	0	10	736	1,200
2012-02-07	$37.71	$40.00	22.6%	6.4%	26.3%	20.3%	22.8%	5.0%	1.9%	-41.7K	522.7K	-6.6K	0.00	96.58	10	0	736	1,210
2012-02-08	$37.70	$40.00	23.6%	5.7%	26.1%	22.9%	0.0%	4.3%	2.6%	-42.2K	518.4K	-6.5K	0.00	97.17	0	0	726	1,210
2012-02-09	$37.81	$40.00	19.6%	5.6%	26.0%	13.0%	0.0%	5.0%	2.8%	-44.6K	497.9K	-6.3K	0.00	97.28	0	0	726	1,210
2012-02-10	$37.57	$40.00	20.3%	5.8%	26.2%	14.8%	0.0%	4.6%	2.2%	-42.7K	604.3K	-6.3K	0.00	99.04	0	0	726	1,210
2012-02-13	$37.92	$40.00	18.8%	5.4%	26.2%	11.1%	21.3%	4.8%	4.0%	-48.5K	517.9K	-5.9K	2.00	33.25	5	10	726	1,210
2012-02-14	$37.75	$40.00	19.7%	5.7%	26.4%	13.3%	0.0%	2.7%	3.9%	-49.8K	589.7K	-5.6K	0.00	45.64	0	0	721	1,200
2012-02-15	$38.03	$40.00	23.6%	6.8%	23.8%	22.9%	0.0%	2.5%	1.1%	-50.9K	460.0K	-5.7K	0.00	99.51	2	0	721	1,200
2012-02-16	$38.23	$40.00	23.4%	6.7%	23.2%	22.4%	0.0%	-3.8%	1.9%	-56.1K	334.5K	-5.7K	0.00	99.74	0	2	719	1,200
2012-02-17	$38.82	$40.00	22.0%	6.3%	22.3%	18.9%	0.0%	-1.8%	2.9%	-66.4K	53.8K	-5.5K	0.00	98.91	0	0	719	1,198
2012-02-21	$38.70	$40.00	20.3%	5.8%	21.2%	14.8%	0.0%	-0.4%	2.3%	-75.3K	253.5K	-4.6K	0.00	98.54	0	100	681	1,198
2012-02-22	$39.16	$40.00	22.2%	6.4%	21.5%	19.5%	0.0%	-1.4%	2.3%	-88.6K	48.8K	-5.7K	0.00	99.70	0	0	681	1,298
2012-02-23	$40.11	$40.00	20.8%	6.0%	22.3%	16.0%	20.8%	30.5%	1.0%	-104.7K	-525.0K	-5.7K	0.00	98.51	12	0	681	1,298
2012-02-24	$40.35	$40.00	20.4%	5.8%	22.3%	14.9%	20.4%	27.9%	0.9%	-106.3K	-717.0K	-5.7K	0.00	99.58	60	0	691	1,298
2012-02-27	$40.10	$40.00	20.2%	5.8%	22.2%	14.4%	0.0%	0.9%	1.6%	-128.9K	-434.2K	-5.2K	0.00	98.40	0	0	631	1,298
2012-02-28	$39.84	$40.00	21.1%	6.1%	22.2%	16.8%	0.0%	0.5%	1.1%	-126.5K	-249.9K	-5.2K	0.00	99.16	2	0	631	1,298
2012-02-29	$40.26	$40.00	20.6%	5.9%	22.3%	15.6%	0.0%	1.2%	1.2%	-131.1K	-563.1K	-5.0K	0.00	99.67	0	0	633	1,298