IYE Options History — November 2007

In November 2007, IYE traded between $41.15 and $44.64. ATM implied volatility averaged 31.8%, placing in the 66.8% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded below realized volatility by 0.0% (HV 20d: 31.8%). Max pain ranged from $43.33 to $45.00. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 11.72.

Notable Days

  • 2007-11-07: Highest Volume — 1,974 contracts
  • 2007-11-14: Largest IV drop — 22.6% change
  • 2007-11-13: Highest IV Rank — 100.0%
  • 2007-11-27: Largest Expected Move — 9.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.44$41.15$44.64$43.17$42.45
Max Pain$43.81$43.33$45.00$43.33$43.33
ATM IV31.8%27.6%41.4%30.0%30.4%
Expected Move8.9%8.1%9.7%8.6%8.7%
HV 20d31.8%26.2%35.6%26.2%33.5%
HV 60d25.0%22.8%26.4%23.4%26.1%
IV Rank66.8%46.3%100.0%68.6%55.2%
IV Percentile91.6%84.8%100.0%91.0%86.1%
Term Structure0.9%-1.6%6.6%-1.6%0.6%
VWIV30.1%27.1%33.1%30.1%29.6%
Skew 25d4.7%2.4%6.4%4.0%4.8%
Skew 10d8.5%3.3%18.6%18.6%6.4%
Call IV 25d28.1%22.5%31.4%26.6%27.1%
Put IV 25d32.8%28.5%36.0%30.7%31.9%
Bid-Ask Spread %45.2217.4668.9163.0847.46
Gamma HHI0.300.240.410.290.36
Net GEX-17.1K-675.9K327.9K221.0K225.3K
Net DEX-707.8K-7.4M5.6M-3.9M-2.4M
Net VEX-43.2K-46.6K-40.5K-41.6K-45.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio11.720.00218.333.081.11
Total Volume529.571871,974159171
Total OI8,422.5717,16110,0867,5278,874

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-11-01$43.17$43.3330.0%8.6%26.2%68.6%30.1%4.0%-1.6%221.0K-3.9M-41.6K3.0863.08N/AN/A391204,0263,501
2007-11-02$43.59$43.3328.2%8.1%26.4%59.1%27.6%6.0%0.2%255.8K-5.0M-40.5K1.7568.91N/AN/A721263,9993,522
2007-11-05$43.46$45.0032.7%9.1%26.2%83.0%29.0%5.9%-0.6%223.4K-4.2M-40.5K2.5028.67N/AN/A1864654,0713,525
2007-11-06$44.64$45.0027.6%8.1%27.2%55.9%32.6%6.4%1.2%327.9K-7.4M-41.3K3.6718.31N/AN/A451654,1913,825
2007-11-07$43.35$45.0031.8%8.8%28.9%78.1%33.1%4.8%-0.2%231.2K-3.8M-42.2K218.3330.20N/AN/A91,9654,1943,870
2007-11-08$43.84$45.0030.1%8.7%29.2%69.1%30.7%5.1%0.2%164.1K-4.4M-46.1K0.5317.46N/AN/A57304,1975,079
2007-11-09$42.98$45.0030.9%8.7%29.8%73.5%0.0%4.7%1.3%24.0K-1.4M-46.4K0.9624.95N/AN/A78754,2005,109
2007-11-12$41.22$45.0035.4%9.5%32.4%96.8%32.7%4.5%-0.9%-360.8K4.1M-43.2K1.8438.86N/AN/A2224084,1855,124
2007-11-13$42.16$43.3341.4%9.2%33.8%100.0%32.0%5.5%0.4%-144.6K978.3K-43.8K2.3641.99N/AN/A3007084,3085,220
2007-11-14$42.09$43.3332.1%9.0%33.8%62.0%27.1%4.8%0.2%-185.7K1.8M-43.5K1.3938.24N/AN/A3725164,3175,400
2007-11-15$41.15$43.3333.5%9.6%34.3%67.5%30.9%2.4%0.1%-587.8K5.6M-42.9K0.4859.27N/AN/A4292044,3895,526
2007-11-16$41.89$43.3330.6%8.8%31.6%56.1%29.2%2.9%1.0%-675.9K2.2M-43.1K1.0046.17N/AN/A2972974,5695,517
2007-11-19$41.39$43.3331.4%9.0%31.5%59.2%28.1%4.3%0.2%-87.7K1.5M-42.2K0.0052.03N/AN/A19803,1504,011
2007-11-20$42.77$43.3328.2%8.1%33.5%46.3%28.6%4.8%2.2%-17.0K-855.8K-42.4K0.7047.46N/AN/A69483,2284,011
2007-11-21$41.78$43.3332.5%9.3%34.2%63.8%29.5%5.0%1.4%-50.5K467.3K-42.3K1.1550.13N/AN/A1021173,2314,053
2007-11-23$42.54$43.3331.3%9.0%34.9%58.6%29.3%4.0%1.1%-38.0K-307.1K-42.1K1.1042.64N/AN/A87963,2644,140
2007-11-26$41.44$43.3333.6%9.6%35.6%68.2%30.0%4.6%0.8%-80.1K1.5M-42.2K0.7362.37N/AN/A4143033,2944,236
2007-11-27$41.20$43.3333.8%9.7%35.4%68.9%32.2%4.3%3.7%-116.5K2.8M-42.5K0.2859.84N/AN/A1,2093393,3904,428
2007-11-28$41.82$43.3330.6%8.8%34.6%56.1%32.2%5.1%6.6%122.8K-149.9K-46.6K2.8364.24N/AN/A1744924,4254,437
2007-11-29$42.27$43.3330.8%8.8%34.2%56.8%27.3%5.4%0.4%188.8K-1.9M-45.7K0.3047.24N/AN/A90274,4194,419
2007-11-30$42.45$43.3330.4%8.7%33.5%55.2%29.6%4.8%0.6%225.3K-2.4M-45.6K1.1147.46N/AN/A81904,4344,440