IXN Options History — March 2008

In March 2008, IXN traded between $9.05 and $9.68. ATM implied volatility averaged 30.7%, placing in the 30.3% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded above realized volatility by 6.6% (HV 20d: 24.2%). Max pain ranged from $9.17 to $9.17. Net GEX was positive for 14 of 20 trading days. Term structure was in contango for 1 of 20 days.

Notable Days

  • 2008-03-17: Largest IV spike — 42.0% change
  • 2008-03-06: Highest IV Rank — 40.8%
  • 2008-03-06: Largest Expected Move — 11.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.35$9.05$9.68$9.31$9.43
Max Pain$9.17$9.17$9.17$9.17$9.17
ATM IV30.7%24.4%38.3%36.0%31.9%
Expected Move8.4%6.8%11.0%10.3%9.1%
HV 20d24.2%18.3%31.0%22.8%29.6%
HV 60d26.7%25.1%28.6%26.0%28.5%
IV Rank30.3%21.5%40.8%37.6%31.9%
IV Percentile65.3%40.5%87.7%83.7%71.8%
Term Structure-3.7%-9.2%5.5%-7.6%-6.4%
Skew 25d1.9%-0.1%5.5%2.6%2.5%
Skew 10d1.4%-2.9%18.1%-0.1%-1.4%
Call IV 25d30.8%21.7%44.1%40.3%22.7%
Put IV 25d32.7%23.1%47.2%42.8%25.2%
Bid-Ask Spread %149.79133.34166.17142.00151.97
Gamma HHI0.570.490.640.490.60
Net GEX1.5K02.8K2.7K0
Net DEX-7.0K-17.4K0-17.4K0
Net VEX-16-530-530
Div Yield0.0%0.0%0.0%0.0%0.0%
Total Volume00000
Total OI92.401321320

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-03-03$9.31$9.1736.0%10.3%22.8%37.6%0.0%2.6%-7.6%2.7K-17.4K-530.00142.00N/AN/A001320
2008-03-04$9.32$9.1729.7%8.5%22.2%28.9%0.0%4.7%-4.6%2.6K-13.1K-380.00134.43N/AN/A001320
2008-03-05$9.35$9.1728.8%8.3%19.0%27.7%0.0%1.3%-4.9%2.6K-12.8K-360.00133.34N/AN/A001320
2008-03-06$9.28$9.1738.3%11.0%18.6%40.8%0.0%4.3%-9.2%2.6K-15.6K-460.00141.35N/AN/A001320
2008-03-07$9.17$0.0028.7%6.8%18.7%27.4%0.0%0.7%-2.4%1.7K-7.1K-210.00154.49N/AN/A001320
2008-03-10$9.08$0.0030.5%6.8%18.3%30.0%0.0%0.6%-2.3%1.3K-4.9K-140.00156.24N/AN/A001320
2008-03-11$9.36$0.0032.8%6.9%20.8%33.2%0.0%-0.1%-1.3%2.5K-11.1K-250.00147.52N/AN/A001320
2008-03-12$9.37$0.0033.4%6.9%20.7%34.0%0.0%0.9%-2.5%2.5K-10.7K-230.00148.25N/AN/A001320
2008-03-13$9.35$0.0024.4%7.0%19.1%21.5%0.0%5.5%-3.3%2.3K-9.8K-190.00149.62N/AN/A001320
2008-03-14$9.21$0.0025.0%7.2%19.1%22.2%0.0%2.5%-2.8%1.6K-6.4K-130.00156.44N/AN/A001320
2008-03-17$9.05$0.0035.4%10.2%19.8%36.8%0.0%0.4%-8.1%1.6K-7.6K-140.00159.46N/AN/A001320
2008-03-18$9.44$0.0028.0%8.0%25.1%26.4%0.0%4.4%5.5%2.8K-12.7K-160.00145.95N/AN/A001320
2008-03-19$9.14$0.0027.8%8.0%27.4%26.2%0.0%0.7%-2.8%1.2K-4.2K-50.00156.19N/AN/A001320
2008-03-20$9.40$0.0028.7%8.2%29.4%27.4%0.0%2.6%-1.6%1.8K-6.5K-50.00148.57N/AN/A001320
2008-03-24$9.60$0.0028.1%8.1%30.3%26.7%0.0%0.8%-2.3%0000.00145.93N/AN/A0000
2008-03-25$9.68$0.0028.4%8.1%30.3%27.0%0.0%2.3%-1.9%0000.00145.95N/AN/A0000
2008-03-26$9.60$0.0029.5%8.5%30.2%28.6%0.0%0.4%-2.2%0000.00146.18N/AN/A0000
2008-03-27$9.39$0.0034.2%9.8%31.0%35.1%0.0%0.1%-6.4%0000.00166.17N/AN/A0000
2008-03-28$9.37$0.0035.1%10.1%30.8%36.3%0.0%0.2%-7.7%0000.00165.70N/AN/A0000
2008-03-31$9.43$0.0031.9%9.1%29.6%31.9%0.0%2.5%-6.4%0000.00151.97N/AN/A0000