IXN Options History — December 2008 In December 2008, IXN traded between $5.55 and $6.34. ATM implied volatility averaged 82.3%, placing in the 54.6% IV rank vs the trailing year. The 30-day expected move averaged 19.0%. IV traded above realized volatility by 22.5% (HV 20d: 59.8%). Max pain ranged from $7.00 to $9.50. Net GEX was positive for 13 of 22 trading days. Term structure was in contango for 0 of 22 days.
Notable Days 2008-12-19 : Largest IV drop — 72.2% change2008-12-15 : Highest IV Rank — 100.0%2008-12-11 : Largest Expected Move — 27.8%Monthly Statistics Metric Avg Min Max Open Close Price $5.99 $5.55 $6.34 $5.55 $6.17 Max Pain $8.36 $7.00 $9.50 $7.00 $9.50 ATM IV 82.3% 47.7% 171.6% 76.1% 52.4% Expected Move 19.0% 13.1% 27.8% 21.8% 15.0% HV 20d 59.8% 45.5% 70.0% 68.6% 45.5% HV 60d 65.9% 63.8% 67.5% 64.6% 63.8% IV Rank 54.6% 17.9% 100.0% 55.4% 21.1% IV Percentile 92.6% 79.8% 100.0% 99.2% 80.2% Term Structure -37.2% -51.8% -29.1% -31.8% -51.8% Bid-Ask Spread % 115.97 109.56 130.26 116.32 111.00 Gamma HHI 0.74 0.37 1.00 0.45 1.00 Net GEX 84 0 297 0 0 Net DEX -1.0K -3.1K 0 0 0 Net VEX -5 -13 0 0 0 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 0 0 0 0 0 Total OI 40.636 12 54 54 12
Daily Data (22 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 2008-12-01 $5.55 $7.00 76.1% 21.8% 68.6% 55.4% 0.0% 0.0% -31.8% 0 0 0 0.00 116.32 N/A N/A 0 0 54 0 2008-12-02 $5.72 $7.00 81.4% 23.3% 70.0% 60.6% 0.0% 0.0% -29.7% 131 -1.7K -6 0.00 116.32 N/A N/A 0 0 54 0 2008-12-03 $5.82 $7.00 78.2% 22.4% 68.0% 57.5% 0.0% 0.0% -29.1% 176 -2.3K -12 0.00 119.57 N/A N/A 0 0 54 0 2008-12-04 $5.58 $7.00 89.6% 25.7% 66.7% 68.8% 0.0% 0.0% -37.9% 0 0 0 0.00 121.06 N/A N/A 0 0 54 0 2008-12-05 $5.76 $7.00 83.2% 23.9% 64.6% 62.5% 0.0% 0.0% -34.4% 133 -1.5K -5 0.00 117.59 N/A N/A 0 0 54 0 2008-12-08 $6.11 $7.00 82.5% 23.7% 66.9% 61.8% 0.0% 0.0% -32.7% 233 -2.9K -13 0.00 130.26 N/A N/A 0 0 54 0 2008-12-09 $6.04 $7.00 86.2% 24.7% 67.0% 65.4% 0.0% 0.0% -38.4% 216 -2.6K -11 0.00 129.80 N/A N/A 0 0 54 0 2008-12-10 $6.22 $7.00 81.3% 23.3% 66.2% 60.5% 0.0% 0.0% -36.2% 257 -3.0K -11 0.00 125.98 N/A N/A 0 0 54 0 2008-12-11 $5.96 $7.00 97.1% 27.8% 66.7% 76.3% 0.0% 0.0% -50.4% 35 -569 -6 0.00 125.47 N/A N/A 0 0 54 0 2008-12-12 $6.07 $7.00 95.2% 27.3% 64.3% 74.4% 0.0% 0.0% -51.8% 218 -2.4K -10 0.00 122.80 N/A N/A 0 0 54 0 2008-12-15 $6.05 $9.50 123.1% 13.9% 60.1% 100.0% 0.0% 0.0% 0.0% 37 -575 -6 0.00 109.61 N/A N/A 0 0 54 0 2008-12-16 $6.34 $9.50 113.2% 13.1% 61.7% 90.3% 0.0% 0.0% 0.0% 297 -3.1K -10 0.00 112.77 N/A N/A 0 0 54 0 2008-12-17 $6.30 $9.50 133.4% 13.4% 61.7% 100.0% 0.0% 0.0% 0.0% 44 -681 -7 0.00 110.26 N/A N/A 0 0 54 0 2008-12-18 $6.15 $9.50 171.6% 13.7% 55.9% 100.0% 0.0% 0.0% 0.0% 39 -608 -6 0.00 109.85 N/A N/A 0 0 54 0 2008-12-19 $6.21 $9.50 47.7% 13.7% 54.2% 17.9% 0.0% 0.0% 0.0% 41 -619 -6 0.00 110.55 N/A N/A 0 0 54 0 2008-12-22 $5.98 $9.50 51.2% 14.7% 55.2% 20.3% 0.0% 0.0% 0.0% 0 0 0 0.00 109.69 N/A N/A 0 0 12 0 2008-12-23 $5.90 $9.50 51.6% 14.8% 52.2% 20.5% 0.0% 0.0% 0.0% 0 0 0 0.00 109.60 N/A N/A 0 0 12 0 2008-12-24 $5.93 $9.50 53.9% 15.4% 52.2% 22.0% 0.0% 0.0% 0.0% 0 0 0 0.00 111.27 N/A N/A 0 0 12 0 2008-12-26 $5.97 $9.50 54.1% 15.5% 50.8% 22.2% 0.0% 0.0% 0.0% 0 0 0 0.00 111.37 N/A N/A 0 0 12 0 2008-12-29 $5.90 $9.50 54.2% 15.5% 50.9% 22.2% 0.0% 0.0% 0.0% 0 0 0 0.00 109.56 N/A N/A 0 0 12 0 2008-12-30 $6.11 $9.50 54.1% 15.5% 46.4% 22.2% 0.0% 0.0% 0.0% 0 0 0 0.00 110.68 N/A N/A 0 0 12 0 2008-12-31 $6.17 $9.50 52.4% 15.0% 45.5% 21.1% 0.0% 0.0% 0.0% 0 0 0 0.00 111.00 N/A N/A 0 0 12 0
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