IYE Options History — September 2007

In September 2007, IYE traded between $40.65 and $44.07. ATM implied volatility averaged 25.7%, placing in the 46.4% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded above realized volatility by 2.9% (HV 20d: 22.8%). Max pain ranged from $38.33 to $41.67. Net GEX was positive for 17 of 19 trading days. Term structure was in contango for 12 of 19 days. Put/call ratio averaged 2.43.

Notable Days

  • 2007-09-21: Highest Volume — 3,570 contracts
  • 2007-09-18: Largest IV drop — 19.2% change
  • 2007-09-10: Highest IV Rank — 75.0%
  • 2007-09-10: Largest Expected Move — 8.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.45$40.65$44.07$41.25$43.48
Max Pain$39.47$38.33$41.67$40.00$41.67
ATM IV25.7%22.9%31.2%22.9%24.1%
Expected Move7.4%6.6%8.8%6.6%6.9%
HV 20d22.8%17.0%27.8%27.8%17.3%
HV 60d25.3%24.6%26.3%26.3%24.7%
IV Rank46.4%31.5%75.0%31.5%37.6%
IV Percentile79.6%65.4%91.3%70.8%71.0%
Term Structure0.4%-2.3%2.8%2.8%1.5%
VWIV28.2%23.0%35.9%29.4%24.3%
Skew 25d5.1%3.0%7.1%5.6%3.5%
Skew 10d10.8%7.8%17.4%12.0%8.7%
Call IV 25d24.2%21.4%28.5%21.4%22.2%
Put IV 25d29.3%25.2%34.4%27.1%25.7%
Bid-Ask Spread %56.2144.5366.8558.8366.85
Gamma HHI0.510.370.680.420.63
Net GEX325.0K-407.4K696.2K471.0K165.6K
Net DEX-10.6M-16.9M-6.4M-8.4M-9.9M
Net VEX-32.3K-38.7K-22.3K-31.7K-37.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.430.0024.5024.502.00
Total Volume549.316513,570765108
Total OI8,857.4217,75210,9987,7528,268

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-09-04$41.25$40.0022.9%6.6%27.8%31.5%29.4%5.6%2.8%471.0K-8.4M-31.7K24.5058.83N/AN/A307354,5033,249
2007-09-05$41.20$40.0024.8%7.1%26.9%41.3%28.5%6.2%1.4%397.7K-8.1M-32.7K0.2858.24N/AN/A213604,5273,954
2007-09-06$41.46$40.0024.0%6.9%26.5%37.4%26.9%5.5%2.3%446.7K-8.9M-31.9K0.6065.55N/AN/A150904,5604,011
2007-09-07$40.87$38.3326.3%7.9%25.5%49.2%30.6%6.1%-0.8%361.0K-7.2M-33.0K1.0544.53N/AN/A57604,6054,077
2007-09-10$40.65$38.3331.2%8.8%25.5%75.0%30.1%7.1%-1.8%342.3K-6.4M-32.7K1.9244.56N/AN/A781504,6504,137
2007-09-11$41.27$38.3326.0%7.8%25.9%47.5%27.8%6.2%-0.5%479.4K-8.3M-31.0K0.0047.77N/AN/A11704,6654,182
2007-09-12$41.67$38.3326.7%7.9%25.8%51.6%32.5%6.1%-0.9%555.8K-9.6M-30.2K0.4650.05N/AN/A183844,6954,182
2007-09-13$41.97$38.3327.2%7.8%23.3%54.2%30.2%5.7%-0.7%619.5K-10.7M-29.4K0.9253.21N/AN/A39364,7644,176
2007-09-14$42.07$38.3328.3%8.1%22.9%60.0%27.2%5.2%-1.4%619.7K-10.9M-29.0K0.0051.07N/AN/A5104,7674,212
2007-09-17$42.01$38.3330.3%8.7%20.9%70.2%35.9%5.9%-2.3%696.2K-11.0M-27.1K5.0050.79N/AN/A422104,7704,212
2007-09-18$43.23$38.3324.5%7.0%22.7%39.7%26.4%4.2%0.7%570.3K-14.9M-22.3K1.6164.62N/AN/A6781,0924,7734,212
2007-09-19$43.65$38.3326.0%7.5%21.4%47.7%27.7%3.0%0.4%398.5K-16.2M-30.7K1.7455.27N/AN/A4567955,2234,821
2007-09-20$43.78$38.3325.5%7.3%21.4%45.2%28.1%4.8%0.5%-407.4K-15.9M-31.3K0.8848.09N/AN/A1921685,3075,577
2007-09-21$44.07$38.3325.0%7.2%21.4%42.3%28.1%4.6%0.6%-134.4K-16.9M-29.7K0.7756.61N/AN/A2,0191,5515,2565,742
2007-09-24$43.76$41.6725.1%7.2%21.1%43.2%27.5%4.4%0.8%136.0K-10.4M-37.4K0.0059.05N/AN/A01354,2543,786
2007-09-25$43.24$41.6724.2%6.9%21.5%38.6%25.2%4.8%1.1%137.6K-8.5M-37.9K1.3360.27N/AN/A1892524,0443,831
2007-09-26$43.26$41.6723.8%6.8%18.8%36.4%26.4%4.5%1.0%156.4K-8.9M-38.7K0.4566.18N/AN/A213964,1673,885
2007-09-27$43.74$41.6723.0%6.6%17.0%32.3%23.0%3.8%1.8%163.5K-10.0M-38.4K0.1666.47N/AN/A93154,2693,978
2007-09-28$43.48$41.6724.1%6.9%17.3%37.6%24.3%3.5%1.5%165.6K-9.9M-37.9K2.0066.85N/AN/A36724,2873,981