IYE Options History — July 2007

In July 2007, IYE traded between $39.80 and $43.09. ATM implied volatility averaged 23.5%, placing in the 60.2% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 1.2% (HV 20d: 22.4%). Max pain ranged from $38.33 to $41.67. Net GEX was positive for 8 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 1.41.

Notable Days

  • 2007-07-27: Highest Volume — 867 contracts
  • 2007-07-16: Largest IV spike — 15.5% change
  • 2007-07-26: Highest IV Rank — 100.0%
  • 2007-07-31: Largest Expected Move — 9.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.63$39.80$43.09$40.56$40.09
Max Pain$41.19$38.33$41.67$38.33$41.67
ATM IV23.5%18.3%33.5%21.5%33.5%
Expected Move6.9%5.6%9.6%6.2%9.6%
HV 20d22.4%18.6%26.2%24.0%25.9%
HV 60d19.8%18.7%22.8%18.8%22.8%
IV Rank60.2%13.7%100.0%31.1%100.0%
IV Percentile73.0%4.7%100.0%42.1%100.0%
Term Structure0.6%-3.4%2.6%1.9%-3.4%
VWIV24.6%20.7%33.9%21.7%31.7%
Skew 25d3.1%1.7%7.6%3.3%4.5%
Skew 10d4.0%-2.3%7.5%1.2%6.3%
Call IV 25d23.0%19.1%33.1%19.1%30.1%
Put IV 25d26.2%21.1%40.8%22.5%34.6%
Bid-Ask Spread %57.7935.0371.9767.8563.47
Gamma HHI0.330.280.380.350.38
Net GEX-51.0K-278.5K170.8K-240.3K-250.2K
Net DEX-10.9M-18.4M52.7K-10.2M-883.4K
Net VEX-34.8K-44.4K-27.9K-44.4K-39.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.410.009.000.000.91
Total Volume351338673363
Total OI13,847.1436,69317,66716,4047,848

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-07-02$40.56$38.3321.5%6.2%24.0%0.0%21.7%3.3%1.9%-240.3K-10.2M-44.4K0.0067.85N/AN/A3305,22311,181
2007-07-03$40.87$38.3319.5%5.6%24.1%0.0%0.0%2.9%2.6%-140.6K-13.3M-42.5K9.0071.59N/AN/A302705,69711,181
2007-07-05$40.85$38.3320.1%5.7%23.5%31.1%20.7%1.7%2.1%-122.6K-11.8M-40.3K0.7371.97N/AN/A1921415,24711,451
2007-07-06$41.27$41.6718.3%6.1%22.3%13.7%22.8%3.3%0.8%-16.5K-13.2M-38.4K1.5035.03N/AN/A36545,28611,481
2007-07-09$41.73$41.6718.5%6.2%22.5%15.6%23.7%3.2%0.7%127.8K-15.2M-33.5K3.5342.33N/AN/A511805,29211,535
2007-07-10$41.36$41.6719.9%6.3%22.8%29.3%22.0%1.9%0.7%15.3K-13.9M-35.2K0.7652.23N/AN/A99755,31311,685
2007-07-11$41.60$41.6720.2%6.4%22.2%32.8%23.9%3.3%0.2%41.5K-14.2M-35.1K3.3342.71N/AN/A451505,31611,724
2007-07-12$42.40$41.6722.3%6.4%22.1%53.1%22.4%2.6%0.2%110.1K-16.8M-30.4K1.2651.66N/AN/A2973755,32811,874
2007-07-13$42.65$41.6720.8%6.0%21.4%38.3%20.8%2.3%1.6%115.0K-17.5M-29.9K0.5349.29N/AN/A2161145,36711,940
2007-07-16$42.15$41.6724.0%6.9%21.6%69.9%21.9%3.1%0.4%163.2K-15.8M-32.5K0.4552.62N/AN/A3331505,42712,030
2007-07-17$41.78$41.6723.5%6.7%21.8%64.7%21.9%3.4%0.3%170.8K-14.5M-33.0K0.0053.66N/AN/A19805,34612,126
2007-07-18$42.57$41.6722.0%6.3%22.7%50.5%22.1%2.2%1.0%110.2K-16.9M-29.6K1.2763.38N/AN/A1231565,38812,126
2007-07-19$43.09$41.6722.9%6.6%19.3%58.5%23.0%2.3%1.3%-52.6K-18.4M-27.9K0.7757.75N/AN/A1951505,40612,174
2007-07-20$42.76$41.6723.1%6.6%18.8%61.0%24.0%2.3%1.1%-88.6K-17.5M-29.7K0.0565.14N/AN/A603305,37912,288
2007-07-23$43.05$41.6723.0%6.6%18.6%59.5%23.4%2.5%0.5%-47.2K-5.9M-28.8K0.3164.05N/AN/A234722,5774,116
2007-07-24$41.83$41.6725.7%7.4%21.3%86.0%25.7%2.6%-0.1%-143.6K-3.7M-32.8K0.6255.07N/AN/A2341442,6614,176
2007-07-25$42.41$41.6725.0%7.2%19.8%79.5%25.9%1.8%1.2%-68.6K-5.2M-31.4K0.9565.90N/AN/A2972822,7634,266
2007-07-26$40.97$41.6727.3%7.8%23.2%100.0%27.9%4.5%0.1%-228.8K-2.3M-36.9K0.6564.38N/AN/A3001952,8714,422
2007-07-27$39.80$41.6730.3%8.7%25.5%100.0%33.9%7.6%0.3%-278.5K52.7K-40.8K2.1466.65N/AN/A2765912,9944,584
2007-07-30$40.50$41.6732.9%9.4%26.2%100.0%31.6%4.8%-1.8%-247.5K-1.4M-38.7K0.9056.95N/AN/A2041833,1954,506
2007-07-31$40.09$41.6733.5%9.6%25.9%100.0%31.7%4.5%-3.4%-250.2K-883.4K-39.4K0.9163.47N/AN/A33303,3454,503