IYE Options History — May 2007

In May 2007, IYE traded between $36.88 and $39.63. ATM implied volatility averaged 19.7%. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 4.9% (HV 20d: 14.9%). Max pain ranged from $35.00 to $38.33. Net GEX was positive for 16 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 3.38.

Notable Days

  • 2007-05-09: Highest Volume — 3,477 contracts
  • 2007-05-10: Largest IV spike — 20.4% change
  • 2007-05-29: Largest Expected Move — 6.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.26$36.88$39.63$36.96$39.36
Max Pain$36.97$35.00$38.33$35.00$38.33
ATM IV19.7%17.8%22.1%20.8%19.9%
Expected Move5.7%5.3%6.3%6.0%5.7%
HV 20d14.9%12.3%17.6%12.8%17.6%
HV 60d16.7%15.2%17.6%17.0%15.4%
Term Structure0.4%-0.7%1.2%0.8%0.4%
VWIV21.0%19.2%24.0%23.1%20.0%
Skew 25d3.3%1.8%4.0%3.1%3.4%
Skew 10d5.3%2.8%7.4%6.0%6.5%
Call IV 25d18.7%18.0%19.7%19.2%19.1%
Put IV 25d22.0%20.3%23.3%22.3%22.5%
Bid-Ask Spread %50.6316.5575.7423.3471.21
Gamma HHI0.260.220.320.320.24
Net GEX53.2K-262.3K253.2K66.5K-262.3K
Net DEX-13.5M-20.7M-9.5M-9.5M-13.1M
Net VEX-46.8K-57.3K-37.8K-50.4K-51.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.380.0928.273.181.21
Total Volume635.591543,477414372
Total OI14,042.59112,20416,71312,20416,713

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-05-01$36.96$35.0020.8%6.0%12.8%0.0%23.1%3.1%0.8%66.5K-9.5M-50.4K3.1823.34N/AN/A993155,3946,810
2007-05-02$37.27$35.0020.3%5.8%13.0%0.0%20.3%3.2%0.9%78.3K-10.7M-48.2K0.3816.55N/AN/A135515,4246,870
2007-05-03$37.60$35.0018.6%5.3%13.2%0.0%19.7%1.8%0.7%94.7K-12.1M-44.4K0.3840.68N/AN/A39155,4276,870
2007-05-04$37.55$36.6717.9%5.5%13.3%0.0%21.4%3.8%0.4%96.4K-12.0M-44.4K0.5436.57N/AN/A3361805,4366,789
2007-05-07$37.52$36.6719.1%5.8%13.1%0.0%21.9%3.6%-0.6%127.3K-12.2M-43.5K3.2638.16N/AN/A1143725,5776,939
2007-05-08$37.64$36.6719.6%5.7%12.3%0.0%23.5%4.0%0.3%125.3K-12.4M-44.6K6.7043.92N/AN/A302015,6917,191
2007-05-09$37.54$36.6717.8%5.7%12.4%0.0%24.0%3.3%0.7%92.4K-12.3M-44.4K0.6251.07N/AN/A2,1421,3355,6887,365
2007-05-10$36.88$36.6721.4%6.1%13.9%0.0%20.1%3.1%-0.4%186.4K-11.3M-57.3K0.0945.42N/AN/A6666,7687,920
2007-05-11$37.74$36.6718.8%5.4%16.0%0.0%19.2%3.6%0.9%215.1K-15.1M-50.2K1.3340.46N/AN/A45606,7387,914
2007-05-14$37.86$36.6719.7%5.7%16.0%0.0%21.2%3.4%0.5%213.6K-15.8M-47.9K1.3648.53N/AN/A1351836,7597,962
2007-05-15$37.87$36.6719.9%5.7%15.9%0.0%21.7%3.2%0.8%215.5K-15.8M-48.1K12.1049.64N/AN/A303636,7867,974
2007-05-16$38.04$36.6719.3%5.5%15.7%0.0%20.7%3.3%1.0%198.2K-16.3M-45.9K2.9254.21N/AN/A391146,7838,205
2007-05-17$38.57$36.6719.8%5.7%15.2%0.0%20.6%3.0%0.9%253.2K-18.8M-41.2K1.0455.22N/AN/A1411476,7898,268
2007-05-18$39.19$36.6718.8%5.4%14.9%0.0%19.7%3.5%0.6%142.0K-20.7M-38.2K1.5945.61N/AN/A6781,0806,8288,403
2007-05-21$39.49$36.6719.9%5.7%14.9%0.0%21.8%3.6%0.6%95.6K-14.6M-37.8K1.3057.15N/AN/A4475825,2747,437
2007-05-22$39.17$38.3319.3%5.5%15.4%0.0%20.2%2.9%0.4%40.4K-13.8M-42.0K5.6864.31N/AN/A2131,2095,4607,824
2007-05-23$39.22$38.3320.0%5.7%14.6%0.0%20.2%3.7%-0.2%-141.7K-12.3M-49.5K0.3468.52N/AN/A114395,4398,940
2007-05-24$38.59$38.3320.2%5.8%16.1%0.0%19.3%2.5%0.7%-193.9K-10.2M-53.3K0.7866.15N/AN/A81635,4908,970
2007-05-25$39.17$38.3319.8%5.7%16.7%0.0%21.3%2.6%1.2%-126.3K-12.5M-48.8K0.1352.85N/AN/A234305,5688,955
2007-05-29$38.89$38.3322.1%6.3%16.4%0.0%22.1%4.0%-0.7%-113.4K-12.0M-49.1K28.2768.61N/AN/A661,8665,7248,985
2007-05-30$39.63$38.3320.5%5.9%17.3%0.0%20.5%3.2%-0.4%-233.6K-13.8M-49.6K1.2575.74N/AN/A961205,77510,815
2007-05-31$39.36$38.3319.9%5.7%17.6%0.0%20.0%3.4%0.4%-262.3K-13.1M-51.2K1.2171.21N/AN/A1682045,77810,935