IXN Options History — March 2007

In March 2007, IXN traded between $9.21 and $9.72. ATM implied volatility averaged 17.7%. The 30-day expected move averaged 4.3%. IV traded below realized volatility by 1.2% (HV 20d: 18.9%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 10 of 22 days.

Notable Days

  • 2007-03-07: Largest IV spike — 437.4% change
  • 2007-03-20: Largest Expected Move — 10.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.46$9.21$9.72$9.38$9.52
Max Pain$10.00$10.00$10.00$10.00$10.00
ATM IV17.7%10.9%66.7%11.9%16.6%
Expected Move4.3%3.1%10.5%3.4%4.8%
HV 20d18.9%14.6%21.2%17.9%14.6%
HV 60d15.8%15.4%16.1%15.7%15.4%
Term Structure-1.2%-10.0%5.3%0.3%-3.8%
Skew 25d5.6%-5.9%48.4%-2.4%-5.9%
Skew 10d6.2%-0.4%16.2%2.3%7.8%
Call IV 25d21.5%14.9%44.9%15.0%21.2%
Put IV 25d27.1%12.6%93.3%12.6%15.3%
Bid-Ask Spread %125.76110.88169.57110.88122.78
Gamma HHI0.910.551.000.840.98
Net GEX-2.5K-7.6K0-3.8K0
Net DEX18.9K046.0K34.7K0
Net VEX-12-760-310
Div Yield0.0%0.0%0.0%0.0%0.0%
Total Volume00000
Total OI75.27301381380

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-03-01$9.38$10.0011.9%3.4%17.9%0.0%0.0%-2.4%0.3%-3.8K34.7K-310.00110.88N/AN/A006078
2007-03-02$9.28$10.0011.2%3.2%18.2%0.0%0.0%-1.6%0.8%-5.9K40.4K-320.00113.47N/AN/A006078
2007-03-05$9.21$0.0012.1%3.9%18.2%0.0%0.0%7.5%-1.6%-7.6K46.0K-310.00121.08N/AN/A006078
2007-03-06$9.37$0.0012.4%3.4%19.5%0.0%0.0%-4.0%-0.1%-4.4K34.5K-200.00122.81N/AN/A006078
2007-03-07$9.33$0.0066.7%9.0%19.6%0.0%0.0%48.4%-10.0%-76222.6K-760.00162.69N/AN/A006078
2007-03-08$9.39$0.0013.3%3.4%19.4%0.0%0.0%-2.9%-4.8%-4.0K33.4K-170.00122.77N/AN/A006078
2007-03-09$9.36$0.0014.5%3.5%19.4%0.0%0.0%-5.9%-0.8%-4.8K35.1K-170.00123.14N/AN/A006078
2007-03-12$9.46$0.0021.0%3.8%19.6%0.0%0.0%0.0%-5.7%-2.7K31.4K-130.00121.92N/AN/A006078
2007-03-13$9.28$0.0017.2%3.6%20.6%0.0%0.0%0.0%-0.7%-7.5K38.1K-140.00124.87N/AN/A006078
2007-03-14$9.34$0.0022.5%3.9%20.7%0.0%0.0%0.0%0.7%-5.6K35.8K-100.00122.55N/AN/A006078
2007-03-15$9.39$0.0013.7%3.9%19.4%0.0%0.0%0.0%0.9%-4.3K33.3K-70.00121.86N/AN/A006078
2007-03-16$9.42$0.0013.7%3.9%19.4%0.0%0.0%0.0%1.5%-3.0K31.0K-30.00122.17N/AN/A006078
2007-03-19$9.49$0.0014.4%4.1%19.7%0.0%0.0%0.0%-2.8%0000.00122.37N/AN/A0000
2007-03-20$9.51$0.0036.8%10.5%19.6%0.0%0.0%0.0%-6.0%0000.00169.57N/AN/A0000
2007-03-21$9.72$0.0010.9%3.1%21.2%0.0%0.0%0.0%5.3%0000.00123.61N/AN/A0000
2007-03-22$9.64$0.0011.2%3.2%21.1%0.0%0.0%0.0%2.3%0000.00122.94N/AN/A0000
2007-03-23$9.66$0.0011.8%3.4%21.2%0.0%0.0%0.0%2.0%0000.00122.88N/AN/A0000
2007-03-26$9.64$0.0011.4%3.3%21.1%0.0%0.0%0.0%1.8%0000.00123.66N/AN/A0000
2007-03-27$9.63$0.0012.9%3.7%15.0%0.0%0.0%0.0%0.8%0000.00122.54N/AN/A0000
2007-03-28$9.54$0.0016.4%4.7%15.5%0.0%0.0%0.0%-3.4%0000.00122.84N/AN/A0000
2007-03-29$9.53$0.0016.6%4.8%15.3%0.0%0.0%0.0%-3.7%0000.00123.28N/AN/A0000
2007-03-30$9.52$0.0016.6%4.8%14.6%0.0%0.0%0.0%-3.8%0000.00122.78N/AN/A0000