IYE Options History — August 2007

In August 2007, IYE traded between $37.67 and $40.26. ATM implied volatility averaged 30.5%, placing in the 73.2% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded above realized volatility by 1.7% (HV 20d: 28.9%). Max pain ranged from $38.33 to $41.67. Net GEX was positive for 10 of 23 trading days. Term structure was in contango for 7 of 23 days. Put/call ratio averaged 2.28.

Notable Days

  • 2007-08-16: Highest Volume — 2,124 contracts
  • 2007-08-09: Largest IV spike — 28.0% change
  • 2007-08-03: Highest IV Rank — 100.0%
  • 2007-08-03: Largest Expected Move — 10.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.19$37.67$40.26$40.00$40.26
Max Pain$40.14$38.33$41.67$41.67$38.33
ATM IV30.5%23.2%36.0%32.9%25.4%
Expected Move8.7%6.6%10.1%9.4%7.3%
HV 20d28.9%25.7%31.6%25.7%26.7%
HV 60d24.7%22.8%26.3%22.8%25.8%
IV Rank73.2%32.9%100.0%96.2%44.7%
IV Percentile91.6%74.2%100.0%99.3%83.8%
Term Structure-0.2%-2.4%1.8%-0.7%1.0%
VWIV29.2%20.6%36.3%31.5%25.5%
Skew 25d6.5%3.5%23.9%23.9%5.5%
Skew 10d9.4%-3.6%16.4%-3.6%10.5%
Call IV 25d27.4%20.6%33.0%31.1%22.5%
Put IV 25d33.9%25.8%55.0%55.0%28.0%
Bid-Ask Spread %43.9718.1965.2554.8465.25
Gamma HHI0.400.210.740.370.34
Net GEX-129.8K-558.3K351.0K-237.3K351.0K
Net DEX-664.2K-5.9M5.4M-321.7K-5.9M
Net VEX-34.3K-41.0K-30.0K-41.0K-33.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.280.0021.672.230.51
Total Volume475.696482,124417330
Total OI7,747.5656,0008,9407,9117,683

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-08-01$40.00$41.6732.9%9.4%25.7%96.2%31.5%23.9%-0.7%-237.3K-321.7K-41.0K2.2354.84N/AN/A1292883,3784,533
2007-08-02$39.72$41.6731.7%9.1%25.8%88.8%31.7%4.7%-0.2%-327.7K539.5K-38.9K1.2041.50N/AN/A4295163,4684,650
2007-08-03$38.33$40.0035.1%10.1%28.1%100.0%34.5%5.7%-2.4%-380.7K3.9M-38.8K0.5137.62N/AN/A4262163,7774,764
2007-08-06$38.47$41.6734.8%9.6%27.7%98.1%30.0%4.9%-0.9%-416.1K3.4M-38.2K2.7130.03N/AN/A3489423,9634,734
2007-08-07$39.38$41.6732.4%9.6%29.2%85.1%32.2%9.5%1.0%-223.1K226.3K-38.0K0.0753.73N/AN/A438304,1914,101
2007-08-08$39.95$41.6728.0%8.3%29.7%60.9%28.9%5.8%-0.3%-157.5K-2.1M-35.4K0.2636.53N/AN/A219574,1224,101
2007-08-09$39.00$41.6735.8%9.5%29.6%100.0%32.0%5.2%-1.3%-252.1K846.3K-35.5K6.3827.41N/AN/A392494,1224,125
2007-08-10$39.27$41.6732.3%9.4%29.7%81.5%30.6%6.0%0.0%-233.9K-411.9K-35.6K2.1618.19N/AN/A571234,1254,194
2007-08-13$39.20$41.6735.6%9.4%29.5%98.6%0.0%5.6%-0.9%-320.8K508.4K-33.6K0.4231.71N/AN/A93394,1764,218
2007-08-14$38.91$41.6731.7%9.5%29.5%78.4%31.0%5.2%-1.0%-470.9K1.7M-32.5K21.6733.16N/AN/A91954,1584,257
2007-08-15$37.90$41.6736.0%9.6%29.3%100.0%33.3%4.8%-1.3%-515.2K4.4M-30.3K1.0841.32N/AN/A1471594,1674,212
2007-08-16$37.67$40.0034.7%10.0%28.5%93.3%36.3%3.5%-0.9%-558.3K5.4M-30.0K6.0144.99N/AN/A3031,8214,2814,263
2007-08-17$38.87$40.0034.9%10.0%31.6%94.2%32.0%6.0%-0.8%-498.9K1.2M-32.9K1.5544.13N/AN/A2794324,3384,602
2007-08-20$39.16$40.0032.1%9.2%31.6%79.6%30.6%6.0%-0.9%37.1K-2.0M-32.1K0.5339.73N/AN/A6033213,1262,874
2007-08-21$38.57$40.0031.0%8.9%30.6%73.8%30.3%5.9%-0.8%35.6K-1.2M-33.1K1.3040.79N/AN/A811053,4083,030
2007-08-22$38.97$38.3329.0%8.3%30.3%63.3%26.3%5.6%-0.1%66.6K-2.3M-32.9K0.4544.04N/AN/A99453,4862,970
2007-08-23$39.27$38.3324.9%7.2%28.4%42.3%20.6%6.2%1.3%84.9K-2.8M-32.8K0.4548.87N/AN/A33153,5223,015
2007-08-24$40.07$38.3323.6%6.8%27.6%35.4%26.2%5.2%0.9%142.6K-4.4M-31.7K1.4354.30N/AN/A1051503,5433,030
2007-08-27$39.75$38.3323.2%6.6%27.0%32.9%21.0%5.6%1.8%118.5K-3.7M-31.2K0.0157.83N/AN/A79263,6093,132
2007-08-28$38.80$38.3327.5%7.9%28.0%55.8%25.6%6.5%-0.1%157.0K-2.3M-33.4K0.2355.74N/AN/A129304,3713,138
2007-08-29$39.90$38.3324.1%6.9%29.9%38.0%22.4%6.2%1.4%304.2K-5.0M-34.1K0.0053.32N/AN/A6004,4253,168
2007-08-30$39.95$38.3325.1%7.2%29.8%43.1%0.0%5.7%0.9%309.2K-5.0M-34.1K1.2556.30N/AN/A24304,4763,168
2007-08-31$40.26$38.3325.4%7.3%26.7%44.7%25.5%5.5%1.0%351.0K-5.9M-33.3K0.5165.25N/AN/A2191114,5003,183