IXN Options History — August 2007

In August 2007, IXN traded between $10.03 and $10.82. ATM implied volatility averaged 39.8%, placing in the 46.9% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded above realized volatility by 16.4% (HV 20d: 23.3%). Max pain ranged from $9.17 to $10.00. Net GEX was positive for 11 of 23 trading days. Term structure was in contango for 1 of 23 days. Put/call ratio averaged 1.15.

Notable Days

  • 2007-08-16: Highest Volume — 312 contracts
  • 2007-08-06: Largest IV spike — 148.2% change
  • 2007-08-13: Highest IV Rank — 100.0%
  • 2007-08-01: Largest Expected Move — 12.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.46$10.03$10.82$10.63$10.76
Max Pain$9.28$9.17$10.00$10.00$9.17
ATM IV39.8%17.2%80.8%44.1%31.1%
Expected Move8.3%4.9%12.6%12.6%8.9%
HV 20d23.3%18.2%26.2%18.3%25.5%
HV 60d18.3%15.7%20.6%15.7%20.4%
IV Rank46.9%14.1%100.0%60.5%30.8%
IV Percentile91.3%80.8%100.0%97.2%86.8%
Term Structure-6.3%-21.6%2.3%-21.6%-5.4%
VWIV26.5%26.5%26.5%26.5%26.5%
Bid-Ask Spread %152.93127.86162.86159.24154.60
Gamma HHI0.650.530.810.700.61
Net GEX-2.1K-14.5K3.3K-1.6K2.6K
Net DEX-59.0K-134.0K68.5K-27.0K-134.0K
Net VEX-275-414-68-71-344
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.150.002.102.101.36
Total Volume25.30403121860
Total OI234102312102204

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-08-01$10.63$10.0044.1%12.6%18.3%60.5%26.5%0.0%-21.6%-1.6K-27.0K-712.10159.24N/AN/A601264260
2007-08-02$10.64$10.0017.2%4.9%18.2%14.1%0.0%0.0%-5.7%-2.9K-94.9K-680.00127.86N/AN/A00102186
2007-08-03$10.41$10.0021.1%6.0%19.4%20.8%0.0%0.0%-4.7%-5.6K-37.0K-2110.00162.86N/AN/A00102186
2007-08-06$10.50$9.1752.3%8.2%19.7%74.7%0.0%0.0%-13.5%-3.8K-26.7K-2100.00149.48N/AN/A00102186
2007-08-07$10.58$9.1754.7%8.2%19.9%78.9%0.0%0.0%-5.1%-3.8K-33.5K-1960.00149.96N/AN/A024102186
2007-08-08$10.82$9.1757.2%7.7%21.6%83.1%0.0%0.0%-5.9%-4.2K-43.0K-2180.00155.12N/AN/A00102210
2007-08-09$10.47$9.1760.3%8.3%23.0%88.4%0.0%0.0%-13.2%-5.8K-23.4K-2350.00153.60N/AN/A600102210
2007-08-10$10.46$9.1747.2%7.1%22.9%66.0%0.0%0.0%-5.8%-9.6K17.5K-1850.00152.83N/AN/A0042210
2007-08-13$10.48$9.1780.8%8.6%22.9%100.0%0.0%0.0%-14.7%-7.1K33.2K-1840.00154.61N/AN/A0042210
2007-08-14$10.36$9.1764.3%7.4%22.9%77.0%0.0%0.0%-5.4%-9.9K31.7K-1670.00153.81N/AN/A0042210
2007-08-15$10.06$9.1753.8%7.5%24.6%62.4%0.0%0.0%-4.1%-14.5K64.2K-1700.00154.77N/AN/A0042210
2007-08-16$10.03$9.1728.5%8.2%23.9%27.2%0.0%0.0%2.3%-12.3K68.5K-1631.36153.16N/AN/A13218042210
2007-08-17$10.21$9.1728.7%8.2%25.1%27.5%0.0%0.0%-1.2%3.3K-104.9K-4140.00152.61N/AN/A0017430
2007-08-20$10.26$9.1729.4%8.4%25.2%28.5%0.0%0.0%-3.3%3.3K-105.6K-4090.00152.68N/AN/A0017430
2007-08-21$10.29$9.1729.8%8.5%24.7%29.0%0.0%0.0%-3.6%3.2K-107.2K-4070.00152.65N/AN/A0017430
2007-08-22$10.43$9.1729.8%8.5%25.4%28.9%0.0%0.0%-4.2%3.1K-113.2K-4000.00151.62N/AN/A0017430
2007-08-23$10.46$9.1730.0%8.6%25.3%29.2%0.0%0.0%-4.5%3.1K-115.7K-3970.00152.34N/AN/A0017430
2007-08-24$10.63$9.1729.2%8.4%25.2%28.2%0.0%0.0%-4.1%2.9K-125.8K-3710.00154.16N/AN/A0017430
2007-08-27$10.54$9.1730.4%8.7%25.2%29.8%0.0%0.0%-4.9%3.0K-122.9K-3730.00153.15N/AN/A0017430
2007-08-28$10.31$9.1732.0%9.2%25.2%32.0%0.0%0.0%-4.7%3.3K-108.2K-3920.00154.61N/AN/A0017430
2007-08-29$10.57$9.1731.3%9.0%26.2%31.0%0.0%0.0%-5.4%3.0K-123.0K-3750.00155.43N/AN/A0017430
2007-08-30$10.60$9.1731.6%9.1%26.2%31.5%0.0%0.0%-5.9%3.0K-125.7K-3590.00156.34N/AN/A0017430
2007-08-31$10.76$9.1731.1%8.9%25.5%30.8%0.0%0.0%-5.4%2.6K-134.0K-3440.00154.60N/AN/A0017430