IYE Options History — February 2007 In February 2007, IYE traded between $32.81 and $34.15. ATM implied volatility averaged 20.6%. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 1.7% (HV 20d: 18.9%). Max pain ranged from $31.67 to $33.33. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 14 of 19 days. Put/call ratio averaged 0.76.
Notable Days 2007-02-20 : Highest Volume — 2,136 contracts2007-02-27 : Largest IV spike — 17.6% change2007-02-27 : Largest Expected Move — 6.8%Monthly Statistics Metric Avg Min Max Open Close Price $33.67 $32.81 $34.15 $33.92 $32.87 Max Pain $33.25 $31.67 $33.33 $31.67 $33.33 ATM IV 20.6% 19.1% 23.6% 20.2% 22.1% Expected Move 6.0% 5.5% 6.8% 5.8% 6.3% HV 20d 18.9% 13.7% 23.3% 23.3% 18.6% Term Structure 0.1% -1.7% 1.6% 1.6% -0.4% VWIV 21.1% 18.9% 23.3% 20.1% 21.9% Skew 25d 2.3% 1.2% 4.9% 2.0% 2.9% Skew 10d 4.3% -1.2% 9.3% 8.1% 5.4% Call IV 25d 19.9% 17.0% 23.2% 18.9% 22.0% Put IV 25d 22.1% 19.4% 28.1% 20.8% 24.9% Bid-Ask Spread % 25.41 8.38 40.23 21.28 28.82 Gamma HHI 0.37 0.28 0.53 0.28 0.36 Net GEX 410.6K 186.0K 644.7K 306.3K 260.1K Net DEX -7.0M -10.0M -1.6M -7.9M -2.7M Net VEX -41.5K -45.4K -38.3K -38.6K -45.3K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.76 0.07 2.69 0.24 0.42 Total Volume 485.842 111 2,136 324 357 Total OI 11,971.105 8,049 14,256 12,183 10,473
Daily Data (19 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 2007-02-01 $33.92 $31.67 20.2% 5.8% 23.3% 0.0% 20.1% 2.0% 1.6% 306.3K -7.9M -38.6K 0.24 21.28 N/A N/A 261 63 7,584 4,599 2007-02-02 $34.01 $33.33 19.8% 6.2% 21.9% 0.0% 23.0% 2.0% 0.1% 366.3K -8.7M -38.8K 1.48 13.11 N/A N/A 150 222 7,809 4,626 2007-02-05 $33.97 $33.33 20.4% 6.3% 21.9% 0.0% 22.2% 2.2% 0.1% 371.5K -8.8M -39.2K 1.19 16.73 N/A N/A 81 96 7,953 4,677 2007-02-06 $33.82 $33.33 19.9% 6.3% 22.0% 0.0% 21.6% 2.6% -0.2% 359.6K -8.2M -39.5K 0.11 14.44 N/A N/A 420 45 8,001 4,773 2007-02-07 $33.63 $33.33 20.1% 6.2% 21.8% 0.0% 21.4% 2.5% 0.3% 398.8K -7.5M -40.1K 0.68 33.43 N/A N/A 66 45 8,238 4,776 2007-02-08 $33.95 $33.33 21.8% 6.2% 20.6% 0.0% 21.7% 2.3% 0.2% 418.6K -8.7M -39.9K 0.85 21.71 N/A N/A 177 150 8,250 4,809 2007-02-09 $33.82 $33.33 21.8% 6.3% 20.4% 0.0% 21.8% 1.9% 0.3% 408.0K -8.2M -39.9K 1.17 20.90 N/A N/A 87 102 8,268 4,875 2007-02-12 $33.41 $33.33 21.9% 6.3% 19.3% 0.0% 22.0% 2.8% -0.3% 413.6K -6.6M -38.3K 0.10 20.04 N/A N/A 549 54 8,283 4,908 2007-02-13 $33.82 $33.33 21.1% 6.1% 19.0% 0.0% 20.7% 2.0% 0.1% 482.3K -8.9M -39.8K 0.11 22.69 N/A N/A 783 90 8,655 4,875 2007-02-14 $33.91 $33.33 20.9% 6.0% 18.8% 0.0% 20.9% 2.1% 0.5% 540.0K -10.0M -43.2K 0.52 32.59 N/A N/A 174 90 9,240 4,920 2007-02-15 $33.54 $33.33 20.8% 6.0% 19.1% 0.0% 22.5% 1.8% 0.4% 644.7K -8.4M -42.4K 0.72 28.54 N/A N/A 87 63 9,273 4,983 2007-02-16 $33.56 $33.33 20.2% 5.8% 17.0% 0.0% 20.4% 1.2% 0.6% 638.8K -8.9M -41.3K 0.07 34.99 N/A N/A 444 30 9,234 4,968 2007-02-20 $33.24 $33.33 19.7% 5.6% 17.3% 0.0% 19.6% 1.5% 0.3% 330.3K -3.8M -39.2K 2.69 40.23 N/A N/A 579 1,557 5,223 2,826 2007-02-21 $33.57 $33.33 19.5% 5.6% 15.3% 0.0% 19.7% 1.7% 0.6% 321.4K -4.3M -44.8K 0.07 8.38 N/A N/A 267 18 5,481 4,341 2007-02-22 $33.88 $33.33 19.1% 5.5% 15.6% 0.0% 18.9% 2.2% 0.3% 415.7K -5.8M -44.1K 0.17 25.88 N/A N/A 420 72 5,595 4,347 2007-02-23 $33.93 $33.33 19.2% 5.5% 13.7% 0.0% 18.9% 3.0% 0.1% 443.2K -6.1M -45.4K 2.07 32.48 N/A N/A 207 429 5,757 4,377 2007-02-26 $34.15 $33.33 20.1% 5.8% 13.8% 0.0% 19.6% 1.5% -0.1% 496.1K -7.1M -44.2K 0.68 29.55 N/A N/A 246 168 5,823 4,317 2007-02-27 $32.81 $33.33 23.6% 6.8% 20.2% 0.0% 23.3% 4.9% -1.7% 186.0K -1.6M -44.7K 1.02 36.92 N/A N/A 288 294 5,835 4,479 2007-02-28 $32.87 $33.33 22.1% 6.3% 18.6% 0.0% 21.9% 2.9% -0.4% 260.1K -2.7M -45.3K 0.42 28.82 N/A N/A 252 105 6,021 4,452
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