IXN Options History — January 2007

Name: IXN Options Analytics - January 2007
Creator: Options Analysis Suite

In January 2007, IXN traded between $9.63 and $9.98. ATM implied volatility averaged 11.8%. The 30-day expected move averaged 3.4%. IV traded below realized volatility by 2.1% (HV 20d: 14.0%). Net GEX was positive for 7 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 0.50.

Notable Days

2007-01-12: Highest Volume — 90 contracts
2007-01-18: Largest IV drop — 24.8% change
2007-01-17: Largest Expected Move — 3.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$9.78	$9.63	$9.98	$9.73	$9.75
ATM IV	11.8%	9.8%	13.1%	11.8%	11.7%
Expected Move	3.4%	2.8%	3.8%	3.4%	3.4%
HV 20d	14.0%	13.4%	14.8%	14.8%	13.4%
Term Structure	1.7%	-1.3%	4.5%	1.9%	2.4%
Skew 25d	-2.3%	-3.0%	-1.0%	-1.0%	-1.8%
Skew 10d	-2.1%	-3.0%	-1.0%	-1.0%	-3.0%
Call IV 25d	12.9%	12.5%	13.4%	12.5%	12.7%
Put IV 25d	10.6%	9.6%	11.5%	11.5%	10.9%
Bid-Ask Spread %	108.47	99.27	117.34	113.86	114.07
Gamma HHI	0.57	0.50	0.71	0.61	0.51
Net GEX	-347	-1.4K	1.2K	-1.2K	476
Net DEX	5.3K	-12.0K	15.5K	2.6K	7.5K
Net VEX	-103	-166	-27	-64	-123
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.50	0.50	0.50	0.50	0.50
Total Volume	4.5	0	90	0	0
Total OI	104.7	54	138	60	138

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 Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2007-01-03	$9.73	$0.00	11.8%	3.4%	0.0%	0.0%	0.0%	0.0%	1.9%	-1.2K	2.6K	-64	0.00	113.86	N/A	N/A	0	0	12	48
2007-01-04	$9.88	$0.00	12.5%	3.6%	0.0%	0.0%	0.0%	0.0%	3.9%	-1.3K	965	-36	0.00	117.34	N/A	N/A	0	0	6	48
2007-01-05	$9.78	$0.00	11.8%	3.6%	0.0%	0.0%	0.0%	0.0%	-0.1%	-1.4K	3.2K	-48	0.00	102.67	N/A	N/A	0	0	6	48
2007-01-08	$9.80	$0.00	11.9%	3.5%	0.0%	0.0%	0.0%	0.0%	0.5%	-1.3K	2.9K	-44	0.00	100.55	N/A	N/A	0	0	6	48
2007-01-09	$9.81	$0.00	12.3%	3.6%	0.0%	0.0%	0.0%	0.0%	0.0%	-1.2K	2.3K	-43	0.00	101.32	N/A	N/A	0	0	6	48
2007-01-10	$9.87	$0.00	12.4%	3.7%	0.0%	0.0%	0.0%	0.0%	0.0%	-1.2K	793	-34	0.00	100.68	N/A	N/A	0	0	6	48
2007-01-11	$9.93	$0.00	12.8%	3.7%	0.0%	0.0%	0.0%	0.0%	-1.3%	-378	-598	-27	0.00	99.27	N/A	N/A	0	0	6	48
2007-01-12	$9.98	$0.00	12.9%	3.7%	0.0%	0.0%	0.0%	0.0%	0.7%	-659	258	-36	0.50	99.92	N/A	N/A	60	30	6	48
2007-01-16	$9.98	$0.00	13.1%	3.7%	0.0%	0.0%	0.0%	0.0%	0.2%	1.2K	-12.0K	-166	0.00	101.40	N/A	N/A	0	0	60	78
2007-01-17	$9.87	$0.00	13.1%	3.8%	0.0%	0.0%	0.0%	-1.0%	0.2%	794	-3.3K	-166	0.00	102.94	N/A	N/A	0	0	60	78
2007-01-18	$9.69	$0.00	9.8%	2.8%	0.0%	0.0%	0.0%	-2.6%	3.7%	132	8.5K	-159	0.00	113.38	N/A	N/A	0	0	60	78
2007-01-19	$9.69	$0.00	10.0%	2.9%	0.0%	0.0%	0.0%	-2.8%	4.2%	26	9.2K	-159	0.00	113.05	N/A	N/A	0	0	60	78
2007-01-22	$9.65	$0.00	11.7%	3.4%	0.0%	0.0%	0.0%	-2.9%	2.5%	-996	15.0K	-126	0.00	108.64	N/A	N/A	0	0	60	78
2007-01-23	$9.63	$0.00	11.2%	3.2%	0.0%	0.0%	0.0%	-3.0%	2.9%	-342	15.5K	-141	0.00	112.89	N/A	N/A	0	0	60	78
2007-01-24	$9.77	$0.00	10.3%	3.0%	0.0%	0.0%	0.0%	-2.2%	4.5%	511	4.3K	-148	0.00	114.39	N/A	N/A	0	0	60	78
2007-01-25	$9.68	$0.00	11.3%	3.2%	14.8%	0.0%	0.0%	-2.3%	2.8%	-234	12.8K	-137	0.00	113.25	N/A	N/A	0	0	60	78
2007-01-26	$9.67	$0.00	11.7%	3.4%	14.3%	0.0%	0.0%	-1.7%	1.9%	-17	12.6K	-133	0.00	113.25	N/A	N/A	0	0	60	78
2007-01-29	$9.65	$0.00	12.3%	3.5%	13.9%	0.0%	0.0%	-2.9%	1.5%	-84	14.0K	-129	0.00	113.24	N/A	N/A	0	0	60	78
2007-01-30	$9.69	$0.00	12.0%	3.4%	13.6%	0.0%	0.0%	-2.1%	2.1%	354	10.6K	-132	0.00	113.32	N/A	N/A	0	0	60	78
2007-01-31	$9.75	$0.00	11.7%	3.4%	13.4%	0.0%	0.0%	-1.8%	2.4%	476	7.5K	-123	0.00	114.07	N/A	N/A	0	0	60	78