IT Options History — April 2012

In April 2012, IT traded between $41.77 and $43.80. ATM implied volatility averaged 20.5%, placing in the 18.5% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 4.6% (HV 20d: 15.9%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 14 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 0.14.

Notable Days

2012-04-04: Highest Volume — 75 contracts
2012-04-09: Largest IV spike — 45.0% change
2012-04-24: Highest IV Rank — 41.1%
2012-04-24: Largest Expected Move — 8.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$42.82	$41.77	$43.80	$43.09	$43.80
Max Pain	$40.00	$40.00	$40.00	$40.00	$40.00
ATM IV	20.5%	12.7%	30.0%	13.7%	22.0%
Expected Move	6.1%	3.6%	8.6%	3.9%	6.3%
HV 20d	15.9%	13.9%	18.8%	16.0%	18.5%
HV 60d	19.2%	18.2%	20.2%	19.7%	18.4%
IV Rank	18.5%	0.0%	41.1%	0.0%	22.1%
IV Percentile	23.4%	0.0%	63.1%	0.0%	28.6%
Term Structure	1.2%	-5.0%	11.2%	9.2%	-0.3%
VWIV	29.1%	29.1%	29.1%	29.1%	29.1%
Skew 25d	3.1%	-5.6%	13.3%	1.3%	-1.4%
Skew 10d	5.7%	-3.7%	26.7%	1.7%	-2.9%
Call IV 25d	20.0%	12.9%	23.7%	14.9%	22.4%
Put IV 25d	23.1%	15.9%	30.2%	16.3%	21.0%
Bid-Ask Spread %	100.57	92.34	108.07	107.95	102.54
Gamma HHI	0.40	0.32	0.50	0.32	0.42
Net GEX	2.8K	-4.8K	11.8K	11.5K	7.6K
Net DEX	-479.1K	-595.6K	-317.4K	-568.1K	-564.4K
Net VEX	-2.0K	-2.4K	-1.4K	-1.9K	-1.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.14	0.00	0.50	0.00	0.00
Total Volume	6.5	0	75	0	0
Total OI	569.1	498	596	498	577

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
2012-04-02	$43.09	$40.00	13.7%	3.9%	16.0%	0.0%	0.0%	1.3%	9.2%	11.5K	-568.1K	-1.9K	0.00	107.95	0	0	232	266
2012-04-03	$43.34	$40.00	13.4%	3.8%	14.5%	0.0%	0.0%	3.2%	9.3%	11.4K	-587.7K	-1.8K	0.00	107.93	0	0	232	266
2012-04-04	$43.46	$40.00	13.0%	3.7%	14.0%	0.0%	0.0%	3.5%	9.1%	11.8K	-595.6K	-1.8K	0.00	108.07	0	75	232	266
2012-04-05	$43.12	$40.00	12.7%	3.6%	13.9%	0.0%	0.0%	3.0%	11.2%	1.4K	-493.0K	-2.2K	0.00	108.02	6	0	232	341
2012-04-09	$42.58	$40.00	18.4%	5.3%	14.7%	13.7%	0.0%	3.9%	0.3%	661	-434.6K	-2.3K	0.00	92.34	0	1	237	341
2012-04-10	$41.77	$40.00	16.7%	7.4%	16.4%	9.5%	0.0%	1.7%	-2.0%	-2.0K	-347.3K	-2.4K	0.00	95.69	3	0	237	342
2012-04-11	$42.22	$40.00	19.3%	7.5%	14.6%	15.6%	0.0%	4.1%	-0.9%	-241	-400.2K	-2.3K	0.00	95.24	0	0	237	342
2012-04-12	$42.46	$40.00	25.4%	7.3%	14.4%	30.2%	0.0%	3.1%	-2.2%	929	-442.9K	-2.2K	0.00	94.50	0	0	237	342
2012-04-13	$42.27	$40.00	24.1%	6.9%	14.5%	27.2%	0.0%	1.6%	-0.9%	336	-426.5K	-2.2K	0.00	95.48	1	0	237	342
2012-04-16	$42.21	$40.00	24.3%	7.0%	14.5%	27.7%	0.0%	2.9%	0.7%	-446	-413.3K	-2.1K	0.00	99.20	0	0	237	342
2012-04-17	$43.09	$40.00	22.4%	6.4%	16.1%	23.1%	0.0%	2.7%	0.0%	3.4K	-527.0K	-1.9K	0.00	99.61	0	0	237	342
2012-04-18	$43.07	$40.00	22.3%	6.4%	15.7%	22.8%	0.0%	-5.6%	-1.2%	3.3K	-534.7K	-1.9K	0.00	103.19	0	0	237	342
2012-04-19	$42.86	$40.00	18.6%	5.3%	15.8%	14.0%	0.0%	2.5%	0.1%	3.0K	-506.3K	-1.9K	0.00	101.38	0	1	237	342
2012-04-20	$43.16	$40.00	22.4%	6.4%	15.9%	23.0%	29.1%	5.5%	-0.7%	4.4K	-545.4K	-1.8K	0.00	95.65	0	30	237	343
2012-04-23	$42.31	$40.00	29.7%	8.5%	17.5%	40.5%	0.0%	13.3%	-5.0%	-3.4K	-363.5K	-2.0K	0.33	99.19	3	1	227	363
2012-04-24	$41.91	$40.00	30.0%	8.6%	16.2%	41.1%	0.0%	12.7%	-4.4%	-4.8K	-317.4K	-2.2K	0.00	99.17	0	5	229	364
2012-04-25	$42.94	$40.00	19.5%	5.6%	18.6%	16.2%	0.0%	7.2%	0.4%	-634	-453.3K	-1.9K	0.50	99.90	2	1	229	364
2012-04-26	$43.29	$40.00	21.2%	6.1%	18.8%	20.3%	0.0%	-1.7%	0.5%	3.5K	-534.0K	-1.7K	0.00	104.32	0	0	231	365
2012-04-27	$43.46	$40.00	21.9%	6.3%	18.4%	22.0%	0.0%	-2.3%	0.1%	4.7K	-527.2K	-1.6K	0.00	101.95	1	0	221	355
2012-04-30	$43.80	$40.00	22.0%	6.3%	18.5%	22.1%	0.0%	-1.4%	-0.3%	7.6K	-564.4K	-1.4K	0.00	102.54	0	0	222	355