IXN Options History — August 2008 In August 2008, IXN traded between $9.32 and $9.89. ATM implied volatility averaged 36.7%, placing in the 24.3% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 17.7% (HV 20d: 19.0%). Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.00.
Notable Days 2008-08-06 : Highest Volume — 12 contracts2008-08-12 : Largest IV spike — 134.4% change2008-08-12 : Highest IV Rank — 100.0%2008-08-25 : Largest Expected Move — 11.3%Monthly Statistics Metric Avg Min Max Open Close Price $9.64 $9.32 $9.89 $9.36 $9.47 ATM IV 36.7% 20.6% 93.0% 28.3% 32.9% Expected Move 7.8% 5.9% 11.3% 8.1% 9.4% HV 20d 19.0% 17.3% 21.9% 20.7% 18.2% HV 60d 20.4% 19.6% 20.8% 19.7% 20.5% IV Rank 24.3% 0.0% 100.0% 17.6% 16.9% IV Percentile 47.6% 0.0% 100.0% 32.5% 63.1% Term Structure -2.2% -18.6% 6.7% -2.1% -7.8% Skew 25d 3.1% -4.9% 8.8% 1.3% -0.3% Skew 10d 3.0% -4.9% 10.4% -2.7% -0.3% Call IV 25d 29.4% 19.6% 80.6% 29.4% 20.2% Put IV 25d 32.5% 19.9% 84.6% 30.7% 19.9% Bid-Ask Spread % 139.93 125.13 164.75 164.75 158.63 Gamma HHI 1.00 1.00 1.00 1.00 1.00 Net GEX 203 0 306 0 306 Net DEX -5.7K -7.7K 0 0 -6.1K Net VEX -28 -35 0 0 -34 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 0.571 0 12 0 0 Total OI 9.714 0 12 0 12
Daily Data (21 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 2008-08-01 $9.36 $0.00 28.3% 8.1% 20.7% 17.6% 0.0% 1.3% -2.1% 0 0 0 0.00 164.75 N/A N/A 0 0 0 0 2008-08-04 $9.32 $0.00 29.4% 7.5% 20.8% 14.4% 0.0% 0.8% 1.1% 0 0 0 0.00 125.13 N/A N/A 0 0 0 0 2008-08-05 $9.53 $0.00 60.8% 9.2% 21.9% 66.6% 0.0% -4.9% -0.6% 0 0 0 0.00 149.12 N/A N/A 0 0 0 0 2008-08-06 $9.73 $0.00 30.4% 6.6% 20.2% 16.0% 0.0% 5.1% 1.4% 0 0 0 0.00 126.26 N/A N/A 12 0 0 0 2008-08-07 $9.66 $0.00 63.4% 8.6% 20.2% 71.0% 0.0% 4.1% -6.4% 229 -7.0K -35 0.00 146.82 N/A N/A 0 0 12 0 2008-08-08 $9.80 $0.00 34.8% 6.8% 20.2% 23.4% 0.0% 5.3% 0.4% 225 -7.3K -35 0.00 134.52 N/A N/A 0 0 12 0 2008-08-11 $9.89 $0.00 39.7% 7.2% 19.6% 31.5% 0.0% 5.5% 0.6% 228 -7.6K -35 0.00 132.33 N/A N/A 0 0 12 0 2008-08-12 $9.89 $0.00 93.0% 9.6% 19.6% 100.0% 0.0% 4.9% -9.8% 242 -7.7K -34 0.00 139.74 N/A N/A 0 0 12 0 2008-08-13 $9.77 $0.00 66.2% 8.2% 19.1% 62.9% 0.0% 4.8% -6.9% 236 -7.3K -35 0.00 141.86 N/A N/A 0 0 12 0 2008-08-14 $9.84 $0.00 22.6% 6.5% 18.5% 2.5% 0.0% 3.3% 1.2% 234 -7.4K -35 0.00 128.75 N/A N/A 0 0 12 0 2008-08-15 $9.83 $0.00 23.0% 6.6% 17.8% 3.1% 0.0% 5.7% 0.5% 227 -7.5K -34 0.00 126.28 N/A N/A 0 0 12 0 2008-08-18 $9.71 $0.00 20.6% 5.9% 18.6% 0.0% 0.0% 4.6% 6.7% 237 -7.0K -35 0.00 130.72 N/A N/A 0 0 12 0 2008-08-19 $9.59 $0.00 24.6% 7.1% 18.8% 5.5% 0.0% 5.0% 4.9% 234 -6.6K -34 0.00 129.27 N/A N/A 0 0 12 0 2008-08-20 $9.56 $0.00 23.1% 6.6% 18.1% 3.4% 0.0% 5.2% 1.0% 232 -6.7K -34 0.00 128.40 N/A N/A 0 0 12 0 2008-08-21 $9.58 $0.00 30.0% 8.6% 17.8% 13.0% 0.0% 1.0% -1.5% 260 -6.7K -34 0.00 157.49 N/A N/A 0 0 12 0 2008-08-22 $9.70 $0.00 30.8% 8.8% 18.2% 14.0% 0.0% -1.0% -18.6% 256 -7.1K -34 0.00 138.80 N/A N/A 0 0 12 0 2008-08-25 $9.55 $0.00 39.4% 11.3% 17.9% 25.9% 0.0% 0.0% -6.0% 301 -6.5K -34 0.00 154.22 N/A N/A 0 0 12 0 2008-08-26 $9.52 $0.00 23.2% 6.7% 17.3% 3.6% 0.0% 8.8% 0.3% 269 -6.6K -34 0.00 137.61 N/A N/A 0 0 12 0 2008-08-27 $9.60 $0.00 22.8% 6.5% 17.5% 3.0% 0.0% 5.6% 4.0% 237 -6.7K -34 0.00 128.60 N/A N/A 0 0 12 0 2008-08-28 $9.62 $0.00 31.8% 9.1% 17.3% 15.4% 0.0% 0.4% -8.1% 301 -6.8K -34 0.00 159.28 N/A N/A 0 0 12 0 2008-08-29 $9.47 $0.00 32.9% 9.4% 18.2% 16.9% 0.0% -0.3% -7.8% 306 -6.1K -34 0.00 158.63 N/A N/A 0 0 12 0
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