IXN Options History — May 2007

In May 2007, IXN traded between $10.01 and $10.34. ATM implied volatility averaged 13.5%. The 30-day expected move averaged 3.6%. IV traded above realized volatility by 3.9% (HV 20d: 9.6%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 0.00.

Notable Days

  • 2007-05-30: Highest Volume — 36 contracts
  • 2007-05-04: Largest IV spike — 57.3% change
  • 2007-05-31: Largest Expected Move — 4.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.18$10.01$10.34$10.01$10.34
Max Pain$10.00$10.00$10.00$10.00$10.00
ATM IV13.5%9.5%18.1%11.0%16.5%
Expected Move3.6%2.7%4.7%3.1%4.7%
HV 20d9.6%6.8%11.9%8.2%11.5%
HV 60d13.5%11.0%14.4%14.4%11.0%
Term Structure1.5%-4.2%8.6%5.5%-4.2%
VWIV11.6%11.6%11.6%11.6%11.6%
Bid-Ask Spread %121.71119.35130.34130.34119.35
Gamma HHI0.980.531.001.000.53
Net GEX505448655486655
Net DEX-8.5K-46.0K-3.5K-3.5K-46.0K
Net VEX-18-25-11-25-18
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume2.45503600
Total OI19.63618541854

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-05-01$10.01$0.0011.0%3.1%8.2%0.0%0.0%0.0%5.5%486-3.5K-250.00130.34N/AN/A00126
2007-05-02$10.07$0.0010.3%3.0%7.7%0.0%0.0%0.0%7.0%497-4.6K-250.00121.94N/AN/A00126
2007-05-03$10.11$0.009.5%2.7%7.7%0.0%0.0%0.0%8.6%491-4.9K-240.00120.67N/AN/A00126
2007-05-04$10.16$10.0014.9%3.2%7.4%0.0%0.0%0.0%4.2%477-6.5K-220.00121.06N/AN/A120126
2007-05-07$10.18$10.0016.5%3.3%7.2%0.0%0.0%0.0%3.3%476-6.9K-200.00120.80N/AN/A00126
2007-05-08$10.21$10.0017.3%3.4%7.2%0.0%0.0%0.0%2.6%461-7.2K-200.00120.28N/AN/A00126
2007-05-09$10.24$10.0018.1%3.3%6.8%0.0%0.0%0.0%3.5%448-7.7K-190.00119.95N/AN/A00126
2007-05-10$10.10$10.0013.6%3.9%8.9%0.0%0.0%0.0%0.7%552-4.6K-220.00120.76N/AN/A00126
2007-05-11$10.22$10.0012.0%3.5%9.7%0.0%0.0%0.0%2.8%459-7.4K-180.00120.54N/AN/A00126
2007-05-14$10.17$10.0012.2%3.5%9.8%0.0%0.0%0.0%2.2%501-6.6K-200.00121.44N/AN/A00126
2007-05-15$10.12$10.0011.8%3.4%10.1%0.0%0.0%0.0%2.9%543-5.9K-200.00123.92N/AN/A00126
2007-05-16$10.22$10.0012.3%3.5%10.5%0.0%0.0%0.0%2.0%484-7.4K-170.00120.50N/AN/A00126
2007-05-17$10.18$10.0012.4%3.5%10.6%0.0%11.6%0.0%2.4%508-6.9K-180.00121.93N/AN/A60126
2007-05-18$10.21$10.0012.4%3.6%10.4%0.0%0.0%0.0%1.5%497-7.4K-170.00120.80N/AN/A00126
2007-05-21$10.25$10.0013.0%3.7%10.4%0.0%0.0%0.0%-1.0%469-8.0K-150.00120.79N/AN/A00126
2007-05-22$10.28$10.0013.3%3.8%10.3%0.0%0.0%0.0%-1.4%454-8.5K-130.00119.67N/AN/A00126
2007-05-23$10.24$10.0013.4%3.8%10.1%0.0%0.0%0.0%-1.5%483-7.9K-140.00120.94N/AN/A00126
2007-05-24$10.08$10.0013.2%3.8%11.7%0.0%0.0%0.0%1.0%601-5.3K-170.00126.31N/AN/A00126
2007-05-25$10.14$10.0013.5%3.9%11.9%0.0%0.0%0.0%-2.1%574-6.4K-160.00123.54N/AN/A00126
2007-05-29$10.23$10.0014.5%4.1%11.5%0.0%0.0%0.0%-2.9%524-7.9K-130.00122.07N/AN/A00126
2007-05-30$10.29$10.0015.6%4.5%11.5%0.0%0.0%0.0%-3.5%472-8.7K-110.00120.02N/AN/A360126
2007-05-31$10.34$10.0016.5%4.7%11.5%0.0%0.0%0.0%-4.2%655-46.0K-180.00119.35N/AN/A00486