IYE Options History — June 2007

In June 2007, IYE traded between $38.95 and $41.35. ATM implied volatility averaged 20.9%. The 30-day expected move averaged 6.1%. IV traded below realized volatility by 0.2% (HV 20d: 21.1%). Max pain ranged from $36.67 to $38.33. Net GEX was positive for 2 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.70.

Notable Days

  • 2007-06-18: Highest Volume — 3,222 contracts
  • 2007-06-14: Largest IV drop — 18.8% change
  • 2007-06-13: Largest Expected Move — 7.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.07$38.95$41.35$39.77$39.96
Max Pain$37.06$36.67$38.33$38.33$38.33
ATM IV20.9%18.0%26.0%19.3%21.2%
Expected Move6.1%5.5%7.0%5.5%6.1%
HV 20d21.1%17.7%24.4%17.7%24.1%
HV 60d16.8%15.3%18.7%15.3%18.7%
Term Structure1.4%0.2%6.0%0.7%2.4%
VWIV21.6%18.9%27.5%20.1%21.5%
Skew 25d3.2%1.5%4.1%3.2%3.9%
Skew 10d4.7%-0.2%6.6%0.2%6.6%
Call IV 25d19.8%18.1%21.1%18.1%19.2%
Put IV 25d23.0%21.3%24.4%21.3%23.0%
Bid-Ask Spread %61.5643.4074.2574.2569.41
Gamma HHI0.330.240.410.260.34
Net GEX-323.2K-663.5K19.9K-213.8K-406.9K
Net DEX-12.5M-21.4M-6.6M-14.6M-7.9M
Net VEX-47.7K-56.2K-33.4K-47.0K-50.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.700.0011.250.5011.25
Total Volume556.571633,22290147
Total OI17,02815,20119,25117,02516,338

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-06-01$39.77$38.3319.3%5.5%17.7%0.0%20.1%3.2%0.7%-213.8K-14.6M-47.0K0.5074.25N/AN/A60305,88611,139
2007-06-04$40.42$36.6720.8%6.0%18.2%0.0%22.3%1.5%0.7%-133.0K-16.9M-40.7K1.3854.21N/AN/A3935435,90111,169
2007-06-05$40.24$36.6720.8%6.2%18.4%0.0%22.1%2.9%0.8%-213.8K-15.5M-44.7K0.3658.08N/AN/A210755,88311,574
2007-06-06$39.71$36.6721.3%6.1%19.3%0.0%20.6%3.3%0.9%-305.6K-13.4M-49.6K0.6352.81N/AN/A105665,86211,610
2007-06-07$38.95$36.6722.0%6.5%20.8%0.0%22.6%4.0%0.2%-471.0K-10.1M-55.4K0.3457.57N/AN/A174605,93111,676
2007-06-08$39.21$36.6718.0%6.1%19.5%0.0%22.6%3.7%0.8%-346.0K-11.6M-52.5K6.3351.09N/AN/A905706,05111,646
2007-06-11$39.51$36.6719.9%6.1%18.2%0.0%20.6%3.9%0.7%-241.4K-13.3M-48.5K0.0055.16N/AN/A15006,10211,901
2007-06-12$39.05$36.6722.4%6.6%18.9%0.0%20.8%3.7%0.2%-397.0K-11.2M-51.2K0.1743.40N/AN/A5496,14411,901
2007-06-13$39.84$36.6726.0%7.0%20.0%0.0%27.5%4.1%2.3%19.1K-11.5M-56.0K1.6464.72N/AN/A1322166,17411,910
2007-06-14$40.58$36.6721.1%6.1%20.7%0.0%21.9%3.2%1.0%19.9K-18.5M-36.7K0.5253.03N/AN/A1,1045736,19811,961
2007-06-15$41.10$36.6719.1%5.5%20.7%0.0%21.7%2.3%2.2%-27.8K-21.4M-36.1K2.6761.35N/AN/A1834896,79512,456
2007-06-18$41.35$36.6719.9%5.7%20.1%0.0%18.9%1.9%0.4%-126.5K-18.4M-33.4K1.7858.89N/AN/A1,1582,0645,8749,327
2007-06-19$41.24$38.3319.2%5.5%20.1%0.0%20.8%2.9%6.0%-357.4K-12.3M-42.8K0.8569.44N/AN/A2191864,89610,992
2007-06-20$39.97$38.3320.6%5.9%23.2%0.0%21.5%3.2%0.8%-601.3K-9.0M-51.9K2.8564.54N/AN/A1624625,07911,079
2007-06-21$40.76$36.6720.3%5.8%24.1%0.0%20.0%2.3%1.9%-373.3K-12.2M-45.7K0.6668.76N/AN/A3392255,17210,848
2007-06-22$40.54$36.6722.2%6.4%23.3%0.0%23.3%3.1%1.0%-445.1K-10.7M-50.0K1.1067.50N/AN/A1801985,23510,938
2007-06-25$40.11$36.6721.6%6.2%23.3%0.0%21.6%3.4%1.3%-501.1K-9.8M-51.4K1.0965.77N/AN/A1021115,39411,064
2007-06-26$39.29$36.6721.1%6.1%24.4%0.0%21.5%3.7%2.2%-663.5K-6.6M-56.2K0.4363.34N/AN/A147635,43611,148
2007-06-27$40.03$36.6721.3%6.1%24.4%0.0%20.4%3.0%1.6%-519.3K-9.7M-51.1K0.2367.36N/AN/A321755,51111,166
2007-06-28$39.77$38.3321.0%6.0%24.4%0.0%21.4%3.8%1.1%-481.3K-7.0M-51.6K0.9872.19N/AN/A1231205,10611,115
2007-06-29$39.96$38.3321.2%6.1%24.1%0.0%21.5%3.9%2.4%-406.9K-7.9M-50.0K11.2569.41N/AN/A121355,21411,124