IYE Options History — January 2007

In January 2007, IYE traded between $31.23 and $33.61. ATM implied volatility averaged 23.5%. The 30-day expected move averaged 6.8%. IV traded below realized volatility by 0.8% (HV 20d: 24.3%). Max pain ranged from $30.00 to $31.67. Net GEX was positive for 14 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 0.48.

Notable Days

  • 2007-01-22: Highest Volume — 1,248 contracts
  • 2007-01-19: Largest IV drop — 10.7% change
  • 2007-01-08: Largest Expected Move — 7.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.47$31.23$33.61$32.68$33.61
Max Pain$30.42$30.00$31.67$31.67$31.67
ATM IV23.5%21.0%25.8%24.9%21.1%
Expected Move6.8%6.0%7.6%7.1%6.0%
HV 20d24.3%23.7%25.3%25.3%23.7%
Term Structure-0.3%-1.8%1.3%0.7%0.9%
VWIV23.5%20.4%26.4%24.8%21.0%
Skew 25d2.2%1.5%3.0%3.0%2.3%
Skew 10d4.1%2.0%9.7%4.3%7.0%
Call IV 25d22.8%20.1%24.9%24.0%20.1%
Put IV 25d25.0%22.1%27.1%27.0%22.4%
Bid-Ask Spread %14.977.7127.0615.7010.89
Gamma HHI0.320.200.700.700.26
Net GEX242.2K-289.6K1.8M1.8M269.7K
Net DEX-6.7M-15.2M-1.3M-15.2M-6.8M
Net VEX-45.3K-71.2K-33.8K-71.2K-38.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.480.061.541.350.16
Total Volume536.251591,2481,002330
Total OI27,094.510,38938,51435,76912,042

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-01-03$32.68$31.6724.9%7.1%0.0%0.0%24.8%3.0%0.7%1.8M-15.2M-71.2K1.3515.70N/AN/A42657626,8538,916
2007-01-04$32.06$31.6725.7%7.4%0.0%0.0%24.9%2.6%1.3%796.6K-8.2M-62.7K0.557.71N/AN/A65135726,9439,291
2007-01-05$32.26$31.6724.4%7.5%0.0%0.0%26.2%2.3%-1.1%820.1K-9.5M-60.0K0.1516.62N/AN/A4746927,1479,489
2007-01-08$32.33$30.0025.8%7.6%0.0%0.0%26.4%2.2%-1.2%711.1K-9.5M-55.4K0.598.94N/AN/A34220127,2589,549
2007-01-09$32.00$30.0024.4%7.4%0.0%0.0%24.7%2.0%-1.5%228.7K-6.9M-51.0K0.2215.82N/AN/A58512627,4779,642
2007-01-10$31.46$30.0023.9%7.3%0.0%0.0%25.3%1.6%-1.4%-175.0K-2.7M-47.7K0.6614.91N/AN/A43829127,8919,684
2007-01-11$31.23$30.0025.4%7.3%0.0%0.0%20.4%1.5%-0.9%-256.4K-1.3M-47.1K0.4610.27N/AN/A59427328,1289,669
2007-01-12$32.08$30.0024.6%7.1%0.0%0.0%25.1%2.3%-1.2%-5.6K-8.0M-46.6K0.5114.13N/AN/A1055428,4319,750
2007-01-16$31.73$30.0025.2%7.2%0.0%0.0%24.8%2.3%-1.4%-228.9K-4.9M-41.2K0.8810.64N/AN/A24921928,5099,726
2007-01-17$32.09$30.0025.3%7.2%0.0%0.0%24.2%1.9%-1.8%-150.5K-8.4M-40.5K0.0617.01N/AN/A1891228,6089,861
2007-01-18$31.87$30.0025.2%7.2%0.0%0.0%25.0%2.5%-1.7%-289.6K-7.0M-39.2K1.5410.81N/AN/A15023128,6569,858
2007-01-19$32.70$30.0022.5%6.5%0.0%0.0%23.1%2.0%-0.4%95.3K-12.7M-37.5K0.3218.93N/AN/A2708728,6449,798
2007-01-22$32.53$30.0022.5%6.4%0.0%0.0%22.6%2.2%0.0%53.1K-2.5M-33.8K0.1610.05N/AN/A1,0801686,2404,149
2007-01-23$33.34$30.0021.7%6.2%0.0%0.0%21.9%2.0%0.6%222.1K-5.7M-39.3K0.3426.32N/AN/A5251776,9994,284
2007-01-24$33.48$30.0021.8%6.2%0.0%0.0%22.1%2.3%0.5%234.9K-6.0M-39.0K0.3127.06N/AN/A261817,0324,374
2007-01-25$32.83$30.0021.8%6.3%25.3%0.0%22.0%2.2%0.7%177.0K-4.2M-39.8K0.3715.40N/AN/A228847,2184,425
2007-01-26$32.87$30.0021.2%6.1%24.4%0.0%21.4%2.3%0.9%158.0K-4.2M-39.2K0.5215.96N/AN/A150787,1674,449
2007-01-29$32.74$30.0021.5%6.2%23.7%0.0%22.5%2.7%0.7%146.7K-3.8M-38.8K0.3719.43N/AN/A225847,2904,506
2007-01-30$33.46$31.6721.0%6.0%24.4%0.0%21.0%1.8%1.1%252.8K-6.3M-38.3K0.1712.79N/AN/A243427,4014,536
2007-01-31$33.61$31.6721.1%6.0%23.7%0.0%21.0%2.3%0.9%269.7K-6.8M-38.4K0.1610.89N/AN/A285457,4764,566