IXN Options History — September 2008 In September 2008, IXN traded between $7.86 and $9.30. ATM implied volatility averaged 32.2%, placing in the 16.1% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded above realized volatility by 3.8% (HV 20d: 28.4%). Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 0.00.
Notable Days 2008-09-24 : Highest Volume — 24 contracts2008-09-11 : Largest IV drop — 44.9% change2008-09-10 : Highest IV Rank — 41.6%2008-09-29 : Largest Expected Move — 11.0%Monthly Statistics Metric Avg Min Max Open Close Price $8.60 $7.86 $9.30 $9.30 $8.11 ATM IV 32.2% 24.9% 50.7% 28.8% 37.5% Expected Move 8.7% 7.1% 11.0% 8.3% 10.8% HV 20d 28.4% 18.7% 49.2% 19.3% 49.2% HV 60d 24.1% 20.1% 32.6% 20.1% 32.6% IV Rank 16.1% 5.9% 41.6% 11.3% 23.4% IV Percentile 54.1% 10.7% 93.7% 41.3% 81.0% Term Structure -6.1% -13.2% 2.4% -8.0% -12.2% Skew 25d -0.9% -8.1% 11.1% 11.1% -6.9% Skew 10d -3.3% -18.1% 11.1% 11.1% -16.4% Call IV 25d 31.0% 17.1% 44.7% 17.1% 43.3% Put IV 25d 30.1% 26.4% 37.8% 28.2% 36.4% Bid-Ask Spread % 149.80 124.82 166.70 135.29 152.09 Gamma HHI 0.91 0.50 1.00 1.00 0.50 Net GEX 265 162 576 240 344 Net DEX -3.7K -6.7K -1.4K -5.8K -3.0K Net VEX -29 -50 -16 -33 -30 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 1.143 0 24 0 0 Total OI 16.571 12 36 12 36
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 2008-09-02 $9.30 $0.00 28.8% 8.3% 19.3% 11.3% 0.0% 11.1% -8.0% 240 -5.8K -33 0.00 135.29 N/A N/A 0 0 12 0 2008-09-03 $9.13 $0.00 24.9% 7.1% 18.7% 5.9% 0.0% 10.3% 1.5% 236 -5.3K -32 0.00 136.58 N/A N/A 0 0 12 0 2008-09-04 $8.80 $0.00 28.3% 8.1% 20.4% 10.7% 0.0% -1.6% -3.7% 221 -4.4K -30 0.00 130.89 N/A N/A 0 0 12 0 2008-09-05 $8.78 $0.00 26.4% 7.7% 20.4% 8.0% 0.0% -2.6% -6.3% 217 -4.2K -30 0.00 153.12 N/A N/A 0 0 12 0 2008-09-08 $8.82 $0.00 35.9% 7.8% 19.5% 21.1% 0.0% -3.0% -6.8% 234 -4.1K -30 0.00 162.51 N/A N/A 0 0 12 0 2008-09-09 $8.66 $0.00 37.8% 8.0% 19.2% 23.8% 0.0% -1.3% -6.7% 219 -3.8K -28 0.00 152.59 N/A N/A 0 0 12 0 2008-09-10 $8.69 $0.00 50.7% 7.9% 19.4% 41.6% 0.0% -3.2% -6.6% 214 -4.2K -30 0.00 160.54 N/A N/A 0 0 12 0 2008-09-11 $8.78 $0.00 27.9% 8.0% 20.2% 10.1% 0.0% -3.0% -7.4% 257 -3.7K -28 0.00 164.20 N/A N/A 0 0 12 0 2008-09-12 $8.79 $0.00 27.9% 8.0% 19.8% 10.1% 0.0% -2.6% -6.9% 257 -3.8K -28 0.00 164.52 N/A N/A 0 0 12 0 2008-09-15 $8.51 $0.00 29.8% 8.6% 21.8% 12.7% 0.0% -3.6% -8.6% 238 -2.6K -23 0.00 157.45 N/A N/A 0 0 12 0 2008-09-16 $8.56 $0.00 29.8% 8.6% 22.2% 12.8% 0.0% -2.6% -8.4% 201 -3.6K -27 0.00 155.79 N/A N/A 0 0 12 0 2008-09-17 $8.12 $0.00 32.3% 9.2% 27.8% 16.1% 0.0% -4.5% -10.3% 162 -1.4K -16 0.00 143.99 N/A N/A 0 0 12 0 2008-09-18 $8.43 $0.00 30.5% 8.8% 32.3% 13.7% 0.0% -3.9% -8.7% 227 -2.3K -21 0.00 162.08 N/A N/A 0 0 12 0 2008-09-19 $8.76 $0.00 29.9% 8.6% 35.9% 12.8% 0.0% 3.2% -4.1% 269 -4.0K -29 0.00 152.18 N/A N/A 0 0 12 0 2008-09-22 $8.50 $0.00 31.5% 9.0% 36.4% 15.1% 0.0% 1.9% 2.4% 219 -2.8K -24 0.00 124.82 N/A N/A 0 0 12 0 2008-09-23 $8.45 $0.00 30.9% 8.9% 36.2% 14.3% 0.0% 2.6% 1.7% 200 -3.1K -25 0.00 128.80 N/A N/A 0 0 12 0 2008-09-24 $8.45 $0.00 33.1% 9.5% 36.3% 17.3% 0.0% -2.6% -8.8% 232 -2.4K -21 0.00 166.70 N/A N/A 24 0 12 0 2008-09-25 $8.61 $0.00 30.4% 8.7% 37.0% 13.5% 0.0% 2.2% 0.5% 576 -6.7K -50 0.00 131.26 N/A N/A 0 0 36 0 2008-09-26 $8.58 $0.00 33.5% 9.6% 37.0% 17.8% 0.0% 0.0% -8.3% 561 -5.5K -45 0.00 166.41 N/A N/A 0 0 36 0 2008-09-29 $7.86 $0.00 38.5% 11.0% 47.1% 24.8% 0.0% -8.1% -13.2% 237 -1.9K -22 0.00 143.93 N/A N/A 0 0 36 0 2008-09-30 $8.11 $0.00 37.5% 10.8% 49.2% 23.4% 0.0% -6.9% -12.2% 344 -3.0K -30 0.00 152.09 N/A N/A 0 0 36 0
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