IYE Options History — October 2007

In October 2007, IYE traded between $42.72 and $45.40. ATM implied volatility averaged 25.2%, placing in the 43.5% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded above realized volatility by 6.2% (HV 20d: 18.9%). Max pain ranged from $41.67 to $45.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 19 of 23 days. Put/call ratio averaged 1.08.

Notable Days

  • 2007-10-16: Highest Volume — 1,680 contracts
  • 2007-10-30: Largest IV spike — 17.6% change
  • 2007-10-31: Highest IV Rank — 67.4%
  • 2007-10-31: Largest Expected Move — 8.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$44.07$42.72$45.40$44.13$44.09
Max Pain$43.62$41.67$45.00$41.67$43.33
ATM IV25.2%21.6%29.8%24.9%29.8%
Expected Move7.3%6.6%8.5%7.1%8.5%
HV 20d18.9%14.4%25.1%17.7%25.1%
HV 60d24.1%22.3%24.9%24.8%23.1%
IV Rank43.5%24.5%67.4%41.8%67.4%
IV Percentile75.9%50.0%90.9%74.9%90.9%
Term Structure0.6%-1.1%1.9%0.7%-1.1%
VWIV25.3%22.5%30.7%25.2%25.8%
Skew 25d4.7%3.5%7.7%3.5%5.1%
Skew 10d7.6%-0.4%12.6%6.4%12.6%
Call IV 25d23.1%20.4%26.3%22.3%24.9%
Put IV 25d27.8%25.2%32.2%25.8%30.0%
Bid-Ask Spread %43.4818.5076.5875.9952.89
Gamma HHI0.390.270.720.640.30
Net GEX205.5K45.0K1.1M172.4K258.9K
Net DEX-9.8M-15.4M-2.9M-11.9M-6.3M
Net VEX-36.1K-42.6K-28.0K-34.0K-41.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.080.037.020.611.35
Total Volume408.522301,680159768
Total OI8,637.5226,30910,3238,3407,521

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-10-01$44.13$41.6724.9%7.1%17.7%41.8%25.2%3.5%0.7%172.4K-11.9M-34.0K0.6175.99N/AN/A99604,3174,023
2007-10-02$43.64$41.6723.7%6.8%16.9%35.9%24.1%4.2%1.7%181.1K-10.7M-35.8K7.0270.57N/AN/A1441,0114,3384,053
2007-10-03$43.32$41.6723.4%6.7%17.2%33.9%23.2%5.6%1.8%58.0K-8.0M-42.6K1.0570.83N/AN/A1141204,4134,983
2007-10-04$43.51$41.6723.0%6.6%17.2%32.1%23.6%4.9%1.9%51.0K-9.8M-39.2K0.3676.58N/AN/A84304,4135,052
2007-10-05$43.62$45.0023.0%7.1%16.0%32.2%0.0%4.9%-0.0%70.7K-10.5M-37.7K0.7718.50N/AN/A39304,4435,052
2007-10-08$43.22$45.0023.2%6.9%16.4%33.2%23.4%4.2%0.0%45.0K-9.2M-37.5K0.4528.67N/AN/A66304,4315,082
2007-10-09$43.99$45.0022.9%6.9%16.6%31.6%0.0%4.2%0.4%76.7K-11.7M-33.9K0.0328.95N/AN/A12034,4435,082
2007-10-10$44.51$45.0021.6%6.8%16.7%24.5%22.5%4.6%1.0%83.9K-12.9M-31.9K0.3622.87N/AN/A126454,4225,079
2007-10-11$44.44$45.0023.7%6.8%16.8%35.6%23.8%4.4%0.9%88.6K-13.2M-31.2K0.9934.62N/AN/A2492464,4495,121
2007-10-12$44.73$45.0023.6%6.8%16.8%35.4%24.7%4.7%1.1%125.7K-14.0M-30.1K2.0620.82N/AN/A511054,5275,211
2007-10-15$45.37$45.0025.6%7.3%17.2%45.6%23.1%4.5%0.5%143.2K-15.3M-28.0K0.5726.06N/AN/A105604,5425,301
2007-10-16$45.40$45.0025.4%7.3%14.4%44.8%27.5%4.8%0.4%112.4K-15.4M-28.5K0.0839.48N/AN/A1,5541264,5785,361
2007-10-17$45.12$43.3325.0%7.2%14.5%42.6%26.8%4.4%1.3%252.8K-14.4M-32.1K0.0735.82N/AN/A453304,6715,433
2007-10-18$45.31$43.3325.7%7.4%14.5%46.1%0.0%4.9%0.9%265.2K-14.9M-33.3K2.3131.05N/AN/A39904,7885,463
2007-10-19$43.29$43.3328.2%8.1%22.1%59.5%28.5%4.7%0.0%1.1M-9.1M-37.7K0.3141.64N/AN/A8252554,7705,553
2007-10-22$42.72$43.3326.5%7.6%22.4%50.2%23.9%5.9%0.3%115.3K-2.9M-38.6K0.1545.38N/AN/A351543,2313,078
2007-10-23$43.22$43.3326.4%7.6%22.5%49.6%26.0%7.7%0.5%166.0K-3.8M-39.7K0.1951.27N/AN/A426813,4233,123
2007-10-24$43.67$43.3326.9%7.7%22.8%52.6%26.8%3.7%0.6%252.3K-5.3M-41.2K0.6154.48N/AN/A114693,7563,198
2007-10-25$43.89$43.3326.8%7.7%22.5%51.7%22.6%4.1%0.4%280.1K-6.3M-40.4K1.0046.84N/AN/A15153,8103,144
2007-10-26$44.34$43.3325.9%7.4%22.7%47.1%26.8%4.6%-0.8%303.6K-7.4M-39.4K0.5439.36N/AN/A111603,8253,150
2007-10-29$44.66$43.3324.9%7.1%22.2%42.1%26.4%4.4%-0.1%329.4K-8.2M-37.2K0.5338.80N/AN/A177933,8253,150
2007-10-30$43.33$43.3329.3%8.4%24.5%65.0%30.7%4.6%0.7%241.6K-4.6M-39.7K3.4048.62N/AN/A1715823,7893,246
2007-10-31$44.09$43.3329.8%8.5%25.1%67.4%25.8%5.1%-1.1%258.9K-6.3M-41.1K1.3552.89N/AN/A3274413,8973,624