IYE Options History — April 2007

In April 2007, IYE traded between $35.26 and $37.20. ATM implied volatility averaged 19.6%. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 5.4% (HV 20d: 14.2%). Max pain ranged from $33.33 to $35.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 2.69.

Notable Days

  • 2007-04-16: Highest Volume — 3,492 contracts
  • 2007-04-12: Largest IV spike — 12.6% change
  • 2007-04-17: Largest Expected Move — 6.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.32$35.26$37.20$35.26$36.78
Max Pain$34.67$33.33$35.00$33.33$35.00
ATM IV19.6%17.7%21.6%20.8%20.4%
Expected Move5.7%5.3%6.2%6.0%5.8%
HV 20d14.2%12.2%16.9%16.9%13.4%
HV 60d18.2%16.8%19.8%19.8%16.9%
Term Structure0.5%-0.9%3.1%1.4%0.3%
VWIV20.7%15.1%24.3%22.5%21.4%
Skew 25d2.7%1.9%3.5%2.9%3.0%
Skew 10d4.7%2.2%6.0%5.5%5.5%
Call IV 25d18.6%17.3%19.9%19.4%19.1%
Put IV 25d21.4%19.2%23.2%22.3%22.0%
Bid-Ask Spread %20.9811.5532.6321.1420.28
Gamma HHI0.420.260.690.500.26
Net GEX690.8K129.0K2.1M804.9K129.0K
Net DEX-14.6M-20.3M-9.1M-12.4M-9.3M
Net VEX-40.0K-48.8K-32.3K-41.6K-48.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.690.0317.622.275.09
Total Volume782.25363,4921,080621
Total OI12,750.159,19216,47612,17711,634

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-04-02$35.26$33.3320.8%6.0%16.9%0.0%22.5%2.9%1.4%804.9K-12.4M-41.6K2.2721.14N/AN/A3307506,8765,301
2007-04-03$35.42$33.3320.5%5.9%16.0%0.0%19.1%2.8%1.1%775.1K-13.0M-41.6K1.9220.44N/AN/A36696,9185,772
2007-04-04$35.55$33.3319.0%5.4%15.6%0.0%18.9%2.1%2.6%832.7K-13.8M-40.2K0.6522.36N/AN/A3061986,9515,802
2007-04-05$35.70$33.3318.5%5.3%15.6%0.0%23.2%1.9%3.1%853.3K-14.6M-40.2K5.1413.47N/AN/A211087,0655,889
2007-04-09$35.58$35.0020.0%6.1%15.7%0.0%0.0%3.3%-0.3%906.3K-14.6M-37.9K1.2932.25N/AN/A1862407,0865,952
2007-04-10$36.13$35.0017.7%5.6%16.0%0.0%24.3%3.5%0.1%835.2K-16.9M-36.2K0.2613.83N/AN/A270697,0896,078
2007-04-11$36.17$35.0017.9%5.9%14.5%0.0%21.9%2.8%-0.2%962.5K-16.4M-35.6K2.4918.22N/AN/A1353367,1016,120
2007-04-12$36.50$35.0020.2%5.8%14.2%0.0%19.0%2.8%0.0%796.0K-18.2M-34.6K5.0020.97N/AN/A6307,1166,288
2007-04-13$36.50$35.0019.9%5.7%14.0%0.0%20.6%3.0%0.1%795.0K-18.5M-33.7K2.4714.27N/AN/A962377,1166,318
2007-04-16$36.68$35.0020.3%5.8%12.9%0.0%22.7%3.2%-0.0%752.3K-19.4M-32.3K3.1626.63N/AN/A8402,6527,1316,390
2007-04-17$36.57$35.0021.6%6.2%12.2%0.0%22.1%3.3%-0.9%669.1K-17.7M-38.9K1.1411.55N/AN/A3093517,0207,827
2007-04-18$36.39$35.0021.1%6.0%12.7%0.0%22.7%2.4%-0.4%721.2K-16.7M-40.4K0.0329.11N/AN/A2,172577,1378,004
2007-04-19$35.94$35.0019.6%5.6%13.0%0.0%21.1%3.1%0.0%514.3K-17.2M-44.0K0.8420.10N/AN/A5614718,0768,004
2007-04-20$36.60$35.0019.0%5.4%13.0%0.0%22.3%2.5%0.8%2.1M-20.3M-42.4K2.3014.03N/AN/A1834208,1128,364
2007-04-23$36.58$35.0019.0%5.4%13.1%0.0%18.5%2.2%0.8%264.5K-9.3M-41.2K1.3416.58N/AN/A5437294,6564,536
2007-04-24$36.55$35.0019.1%5.5%13.1%0.0%19.2%2.7%0.3%252.8K-9.1M-44.8K0.1020.31N/AN/A294304,9775,052
2007-04-25$37.16$35.0019.5%5.6%14.1%0.0%19.4%2.1%0.6%279.3K-11.7M-41.4K0.3627.13N/AN/A4711685,2175,082
2007-04-26$37.20$35.0019.1%5.5%14.0%0.0%15.1%2.5%1.0%267.4K-11.8M-42.2K0.4424.29N/AN/A123545,2865,181
2007-04-27$37.19$35.0019.5%5.6%14.0%0.0%19.4%2.4%0.6%273.5K-11.9M-41.9K17.6232.63N/AN/A631,1105,2985,181
2007-04-30$36.78$35.0020.4%5.8%13.4%0.0%21.4%3.0%0.3%129.0K-9.3M-48.8K5.0920.28N/AN/A1025195,3436,291