IXN Options History — February 2007 In February 2007, IXN traded between $9.41 and $9.87. ATM implied volatility averaged 20.2%. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 7.7% (HV 20d: 12.5%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 11 of 19 trading days. Term structure was in contango for 8 of 19 days.
Notable Days 2007-02-05 : Largest IV spike — 313.8% change2007-02-12 : Largest Expected Move — 10.4%Monthly Statistics Metric Avg Min Max Open Close Price $9.71 $9.41 $9.87 $9.73 $9.44 Max Pain $10.00 $10.00 $10.00 $10.00 $10.00 ATM IV 20.2% 10.3% 59.2% 12.1% 11.8% Expected Move 5.0% 3.0% 10.4% 3.5% 3.4% HV 20d 12.5% 10.4% 18.1% 13.0% 18.0% Term Structure -2.6% -22.1% 15.8% 2.2% 0.7% Skew 25d 0.9% -2.4% 14.6% -1.9% -0.9% Skew 10d 1.5% -2.9% 9.4% -2.9% 1.0% Call IV 25d 22.2% 10.1% 50.4% 13.3% 13.9% Put IV 25d 23.1% 10.9% 53.4% 11.4% 13.0% Bid-Ask Spread % 120.37 105.50 154.03 114.14 110.33 Gamma HHI 0.61 0.50 0.82 0.51 0.72 Net GEX 613 -3.2K 3.1K 521 -2.7K Net DEX 8.0K -2.2K 33.1K 8.4K 31.6K Net VEX -108 -167 -34 -131 -34 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 0 0 0 0 0 Total OI 138 138 138 138 138
Daily Data (19 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 2007-02-01 $9.73 $0.00 12.1% 3.5% 13.0% 0.0% 0.0% -1.9% 2.2% 521 8.4K -131 0.00 114.14 N/A N/A 0 0 60 78 2007-02-02 $9.67 $10.00 13.7% 3.7% 12.0% 0.0% 0.0% 0.0% 2.1% -42 6.9K -145 0.00 109.14 N/A N/A 0 0 60 78 2007-02-05 $9.68 $10.00 56.8% 8.9% 11.5% 0.0% 0.0% 0.5% -17.5% -384 4.7K -167 0.00 152.35 N/A N/A 0 0 60 78 2007-02-06 $9.65 $10.00 59.2% 9.0% 11.5% 0.0% 0.0% 0.6% -18.1% -412 6.1K -162 0.00 152.35 N/A N/A 0 0 60 78 2007-02-07 $9.74 $10.00 13.9% 3.8% 12.0% 0.0% 0.0% -1.5% -1.8% 812 8.0K -113 0.00 105.50 N/A N/A 0 0 60 78 2007-02-08 $9.72 $10.00 11.6% 3.3% 11.8% 0.0% 0.0% -2.4% -1.6% 1.0K 6.6K -117 0.00 105.61 N/A N/A 0 0 60 78 2007-02-09 $9.62 $10.00 10.3% 3.0% 12.0% 0.0% 0.0% 0.8% 1.5% 445 16.2K -92 0.00 109.30 N/A N/A 0 0 60 78 2007-02-12 $9.57 $10.00 36.3% 10.4% 11.8% 0.0% 0.0% 0.9% -12.7% -493 10.2K -150 0.00 153.87 N/A N/A 0 0 60 78 2007-02-13 $9.59 $10.00 34.7% 10.0% 11.9% 0.0% 0.0% 0.9% -22.1% -472 9.1K -146 0.00 154.03 N/A N/A 0 0 60 78 2007-02-14 $9.78 $10.00 12.8% 3.7% 13.5% 0.0% 0.0% -0.5% -1.0% 1.5K 6.5K -99 0.00 107.80 N/A N/A 0 0 60 78 2007-02-15 $9.81 $10.00 12.0% 3.4% 11.8% 0.0% 0.0% 3.3% 3.1% 1.5K -1.4K -109 0.00 110.46 N/A N/A 0 0 60 78 2007-02-16 $9.82 $10.00 13.2% 3.8% 11.8% 0.0% 0.0% -0.7% -1.2% 1.9K 2.9K -99 0.00 106.42 N/A N/A 0 0 60 78 2007-02-20 $9.86 $10.00 13.0% 3.7% 11.7% 0.0% 0.0% -0.1% -0.3% 2.7K -846 -91 0.00 107.48 N/A N/A 0 0 60 78 2007-02-21 $9.80 $10.00 24.0% 6.9% 11.9% 0.0% 0.0% 14.6% 15.8% -44 -587 -120 0.00 149.59 N/A N/A 0 0 60 78 2007-02-22 $9.87 $10.00 13.0% 3.7% 11.0% 0.0% 0.0% 0.2% -0.4% 3.0K -2.2K -89 0.00 107.95 N/A N/A 0 0 60 78 2007-02-23 $9.86 $10.00 12.7% 3.6% 10.4% 0.0% 0.0% 0.4% -0.1% 2.9K 1.0K -80 0.00 109.17 N/A N/A 0 0 60 78 2007-02-26 $9.80 $10.00 10.8% 3.1% 10.6% 0.0% 0.0% 3.7% 2.1% 3.1K 5.6K -68 0.00 110.98 N/A N/A 0 0 60 78 2007-02-27 $9.41 $10.00 11.6% 3.3% 18.1% 0.0% 0.0% -1.4% 0.7% -3.2K 33.1K -34 0.00 110.53 N/A N/A 0 0 60 78 2007-02-28 $9.44 $10.00 11.8% 3.4% 18.0% 0.0% 0.0% -0.9% 0.7% -2.7K 31.6K -34 0.00 110.33 N/A N/A 0 0 60 78
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