IXN Options History — December 2007 In December 2007, IXN traded between $10.63 and $11.22. ATM implied volatility averaged 28.3%, placing in the 26.9% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded above realized volatility by 4.2% (HV 20d: 24.1%). Max pain ranged from $10.83 to $10.83. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 0.00.
Notable Days 2007-12-14 : Highest Volume — 6 contracts2007-12-27 : Largest IV spike — 42.6% change2007-12-12 : Highest IV Rank — 42.5%2007-12-06 : Largest Expected Move — 9.7%Monthly Statistics Metric Avg Min Max Open Close Price $10.98 $10.63 $11.22 $10.85 $10.90 Max Pain $10.83 $10.83 $10.83 $10.83 $10.83 ATM IV 28.3% 20.8% 39.5% 29.5% 27.3% Expected Move 7.4% 6.0% 9.7% 8.5% 7.8% HV 20d 24.1% 20.9% 30.4% 29.6% 21.1% HV 60d 22.4% 21.2% 23.4% 21.2% 23.3% IV Rank 26.9% 16.4% 42.5% 28.6% 25.5% IV Percentile 69.0% 53.5% 92.0% 74.0% 64.8% Term Structure -1.7% -10.7% 9.1% -6.9% -1.2% Skew 25d 1.2% -0.6% 2.5% 0.7% 0.8% Skew 10d 1.8% -0.2% 4.5% 1.0% 2.0% Call IV 25d 29.9% 19.4% 49.8% 35.3% 20.7% Put IV 25d 31.0% 20.0% 52.3% 36.0% 21.6% Bid-Ask Spread % 159.99 126.33 166.61 148.53 164.90 Gamma HHI 0.53 0.49 0.60 0.50 0.56 Net GEX 3.6K 2.7K 4.8K 3.6K 4.8K Net DEX -98.3K -115.3K -78.8K -87.7K -101.6K Net VEX -217 -246 -184 -234 -211 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.00 0.00 0.00 0.00 0.00 Total Volume 0.9 0 6 0 0 Total OI 130.2 126 138 126 132
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 2007-12-03 $10.85 $10.83 29.5% 8.5% 29.6% 28.6% 0.0% 0.7% -6.9% 3.6K -87.7K -234 0.00 148.53 N/A N/A 0 0 120 6 2007-12-04 $10.77 $10.83 30.8% 8.8% 29.6% 30.4% 0.0% 0.8% -8.6% 3.5K -85.7K -236 0.00 126.33 N/A N/A 0 0 120 6 2007-12-05 $11.01 $10.83 31.7% 9.1% 30.4% 31.6% 0.0% 2.4% -8.8% 3.3K -92.0K -228 0.00 149.15 N/A N/A 0 0 120 6 2007-12-06 $11.18 $10.83 33.9% 9.7% 30.1% 34.6% 0.0% 1.4% -10.7% 3.1K -97.9K -219 0.00 151.81 N/A N/A 0 0 120 6 2007-12-07 $11.15 $0.00 34.2% 6.8% 27.7% 35.1% 0.0% 1.5% -5.0% 3.1K -101.8K -201 0.00 159.40 N/A N/A 0 0 120 6 2007-12-10 $11.22 $0.00 38.0% 7.1% 24.9% 40.3% 0.0% 0.8% -5.5% 3.1K -104.8K -193 0.00 159.20 N/A N/A 0 0 120 6 2007-12-11 $11.03 $0.00 36.8% 6.9% 24.4% 38.7% 0.0% 2.3% -0.8% 2.7K -99.9K -203 0.00 164.34 N/A N/A 0 0 120 6 2007-12-12 $11.12 $0.00 39.5% 7.1% 21.0% 42.5% 0.0% 2.4% -3.8% 2.7K -104.4K -184 0.00 161.58 N/A N/A 0 0 120 6 2007-12-13 $11.08 $0.00 25.0% 7.2% 21.0% 22.2% 0.0% 2.4% -0.9% 2.7K -100.7K -197 0.00 163.06 N/A N/A 0 0 120 6 2007-12-14 $10.94 $0.00 24.7% 7.1% 21.0% 21.9% 0.0% 2.5% 1.7% 2.7K -94.4K -213 0.00 164.03 N/A N/A 6 0 120 6 2007-12-17 $10.63 $0.00 25.7% 7.4% 23.3% 23.3% 0.0% -0.6% -6.7% 4.5K -78.8K -235 0.00 165.15 N/A N/A 6 0 126 6 2007-12-18 $10.72 $0.00 24.2% 6.9% 23.0% 21.1% 0.0% 0.5% -3.0% 4.3K -88.2K -246 0.00 164.79 N/A N/A 0 0 132 6 2007-12-19 $10.75 $0.00 23.9% 6.8% 23.0% 20.7% 0.0% 1.0% -2.5% 4.3K -90.1K -244 0.00 164.37 N/A N/A 0 0 132 6 2007-12-20 $10.89 $0.00 22.8% 6.5% 22.4% 19.3% 0.0% 1.0% -0.7% 4.1K -97.9K -229 0.00 164.21 N/A N/A 0 0 132 6 2007-12-21 $11.12 $0.00 20.8% 6.0% 23.2% 16.4% 0.0% 0.8% 4.6% 3.3K -104.8K -231 0.00 166.51 N/A N/A 0 0 132 6 2007-12-24 $11.10 $0.00 21.5% 6.2% 22.3% 17.4% 0.0% 0.9% 7.6% 4.2K -112.2K -204 0.00 166.26 N/A N/A 0 0 132 0 2007-12-26 $11.18 $0.00 21.2% 6.1% 22.1% 17.0% 0.0% 0.5% 9.1% 4.2K -115.3K -194 0.00 163.87 N/A N/A 6 0 132 0 2007-12-27 $11.01 $0.00 30.3% 8.7% 21.2% 29.6% 0.0% 0.8% 4.2% 4.3K -99.6K -227 0.00 166.61 N/A N/A 0 0 132 0 2007-12-28 $10.99 $0.00 24.3% 7.0% 20.9% 21.4% 0.0% 0.5% 3.3% 4.5K -107.7K -208 0.00 165.75 N/A N/A 0 0 132 0 2007-12-31 $10.90 $0.00 27.3% 7.8% 21.1% 25.5% 0.0% 0.8% -1.2% 4.8K -101.6K -211 0.00 164.90 N/A N/A 0 0 132 0
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