IYE Options History — March 2007

In March 2007, IYE traded between $31.97 and $35.31. ATM implied volatility averaged 20.8%. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 0.2% (HV 20d: 20.6%). Max pain ranged from $33.33 to $33.33. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 1.08.

Notable Days

  • 2007-03-22: Highest Volume — 1,566 contracts
  • 2007-03-14: Largest IV spike — 33.2% change
  • 2007-03-02: Largest Expected Move — 7.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.60$31.97$35.31$32.83$34.79
Max Pain$33.33$33.33$33.33$33.33$33.33
ATM IV20.8%16.9%27.1%23.4%20.0%
Expected Move6.1%5.2%7.4%6.7%5.7%
HV 20d20.6%17.3%23.4%18.4%17.3%
HV 60d20.5%19.9%20.9%20.9%20.0%
Term Structure0.2%-1.6%2.0%-0.8%2.0%
VWIV21.5%17.2%24.2%23.9%19.3%
Skew 25d2.9%2.0%4.0%3.0%3.0%
Skew 10d6.4%3.5%12.8%6.0%5.8%
Call IV 25d20.0%16.9%23.4%22.7%18.4%
Put IV 25d22.9%19.4%27.2%25.7%21.4%
Bid-Ask Spread %29.2517.7246.2430.1823.17
Gamma HHI0.380.280.500.340.50
Net GEX433.1K96.1K799.2K245.5K799.2K
Net DEX-5.5M-12.3M301.2K-2.4M-11.0M
Net VEX-43.5K-46.6K-40.5K-46.6K-43.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.080.004.690.340.53
Total Volume409.51261,566378762
Total OI11,389.22710,47312,02410,67412,021

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-03-01$32.83$33.3323.4%6.7%18.4%0.0%23.9%3.0%-0.8%245.5K-2.4M-46.6K0.3430.18N/AN/A282966,1834,491
2007-03-02$32.29$33.3325.9%7.4%18.8%0.0%24.1%4.0%-1.6%143.6K-672.3K-45.3K0.7945.13N/AN/A3452736,2524,551
2007-03-05$31.97$33.3327.1%7.3%18.9%0.0%24.1%3.8%-1.6%96.1K301.2K-43.7K0.3620.83N/AN/A3181146,3064,638
2007-03-06$32.59$33.3322.3%6.5%20.4%0.0%22.3%3.0%-0.6%190.9K-1.7M-45.8K0.2324.79N/AN/A195456,4234,731
2007-03-07$33.06$33.3321.6%6.5%21.2%0.0%22.5%2.4%-0.5%294.5K-3.6M-45.8K0.7625.34N/AN/A2401836,4264,734
2007-03-08$33.18$33.3321.1%6.4%21.2%0.0%23.8%3.3%-0.8%344.0K-4.3M-45.7K4.1728.38N/AN/A361506,4384,749
2007-03-09$33.20$33.3319.7%6.3%20.9%0.0%24.2%2.6%-0.3%308.6K-3.8M-45.0K3.7032.26N/AN/A993666,4504,899
2007-03-12$33.08$33.3320.0%6.2%20.9%0.0%22.1%2.5%-0.4%245.6K-2.9M-44.2K1.2931.82N/AN/A841086,4985,262
2007-03-13$32.62$33.3316.9%6.4%21.0%0.0%22.2%3.1%-1.1%163.7K-1.4M-43.7K0.3634.71N/AN/A135486,5195,319
2007-03-14$33.09$33.3322.4%6.4%21.2%0.0%22.3%2.9%-1.1%279.2K-3.1M-44.4K0.3936.13N/AN/A93366,5735,316
2007-03-15$33.00$33.3322.2%6.4%21.2%0.0%22.1%2.0%-1.0%288.2K-2.6M-42.7K0.6435.08N/AN/A1591026,5975,259
2007-03-16$32.68$33.3320.8%6.0%21.1%0.0%22.1%3.2%-0.2%237.2K-1.3M-41.2K1.5322.97N/AN/A1291986,7385,286
2007-03-19$33.32$33.3319.6%5.6%22.3%0.0%19.6%3.2%0.6%387.2K-4.3M-40.7K0.2946.24N/AN/A234695,8984,575
2007-03-20$33.50$33.3319.1%5.5%22.1%0.0%18.9%3.1%1.0%445.8K-4.8M-40.5K0.4036.75N/AN/A225905,9854,635
2007-03-21$34.07$33.3318.8%5.4%22.7%0.0%17.2%2.5%1.1%596.6K-7.1M-40.5K0.0039.46N/AN/A60906,0724,725
2007-03-22$34.70$33.3318.3%5.2%23.4%0.0%18.0%2.3%1.4%694.5K-9.7M-41.6K0.4726.15N/AN/A1,0655016,2974,725
2007-03-23$34.80$33.3318.7%5.4%23.4%0.0%19.0%2.4%1.9%711.2K-10.3M-43.9K0.3217.72N/AN/A189606,6155,073
2007-03-26$34.94$33.3319.4%5.6%23.3%0.0%22.5%2.6%1.7%760.6K-11.6M-42.5K4.6920.33N/AN/A391836,7085,133
2007-03-27$35.08$33.3319.6%5.6%17.5%0.0%20.1%3.4%1.4%779.8K-11.9M-41.9K0.5422.50N/AN/A3211746,7144,965
2007-03-28$35.05$33.3320.1%5.8%17.6%0.0%21.5%3.1%1.3%779.5K-11.6M-43.1K0.6818.19N/AN/A75516,8255,037
2007-03-29$35.31$33.3320.1%5.8%17.6%0.0%20.4%3.5%1.4%737.7K-12.3M-44.2K1.3225.35N/AN/A2283006,8555,067
2007-03-30$34.79$33.3320.0%5.7%17.3%0.0%19.3%3.0%2.0%799.2K-11.0M-43.0K0.5323.17N/AN/A4982646,8795,142