IYE Options History — December 2007

In December 2007, IYE traded between $42.28 and $46.36. ATM implied volatility averaged 25.3%, placing in the 34.3% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded below realized volatility by 3.1% (HV 20d: 28.4%). Max pain ranged from $41.67 to $43.33. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 2.81.

Notable Days

  • 2007-12-20: Highest Volume — 1,923 contracts
  • 2007-12-21: Largest IV drop — 21.1% change
  • 2007-12-04: Highest IV Rank — 56.0%
  • 2007-12-04: Largest Expected Move — 8.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$44.44$42.28$46.36$42.69$45.66
Max Pain$42.33$41.67$43.33$43.33$43.33
ATM IV25.3%19.0%30.6%26.8%22.2%
Expected Move7.3%5.5%8.8%7.7%6.4%
HV 20d28.4%23.5%33.5%33.4%24.9%
HV 60d27.2%26.0%28.2%26.0%28.2%
IV Rank34.3%8.8%56.0%40.4%21.8%
IV Percentile62.8%7.2%86.2%77.9%46.4%
Term Structure2.6%0.6%6.3%3.7%3.1%
VWIV24.9%16.3%31.1%27.2%16.3%
Skew 25d5.2%2.5%13.0%2.7%4.1%
Skew 10d7.0%0.4%12.7%4.6%0.4%
Call IV 25d23.8%19.0%27.8%27.8%19.6%
Put IV 25d29.0%22.0%38.1%30.5%23.7%
Bid-Ask Spread %61.2643.7390.9368.3790.93
Gamma HHI0.380.320.500.360.36
Net GEX759.8K222.4K1.6M222.4K403.6K
Net DEX-8.8M-16.2M-1.7M-2.4M-9.6M
Net VEX-37.1K-46.0K-31.6K-43.3K-33.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.810.0024.000.000.00
Total Volume330.991,92399
Total OI9,255.97,18810,4378,9437,533

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-12-03$42.69$43.3326.8%7.7%33.4%40.4%0.0%2.7%3.7%222.4K-2.4M-43.3K0.0068.37N/AN/A904,4734,470
2007-12-04$42.28$43.3330.6%8.8%33.5%56.0%27.2%5.1%0.8%230.9K-1.7M-43.3K0.0052.61N/AN/A904,4764,470
2007-12-05$43.10$43.3327.0%7.7%32.7%41.1%27.7%4.5%1.2%342.0K-4.1M-41.9K1.7543.73N/AN/A36634,4854,470
2007-12-06$44.24$43.3326.1%7.5%32.5%37.5%26.3%4.6%1.8%413.3K-7.8M-40.1K0.0445.83N/AN/A1,539664,4914,479
2007-12-07$44.05$41.6725.4%7.9%32.3%34.8%26.4%13.0%0.6%844.0K-8.4M-46.0K0.1056.28N/AN/A117125,7304,452
2007-12-10$44.58$41.6724.5%7.8%31.6%30.9%0.0%9.1%1.7%967.2K-10.8M-39.3K24.0052.82N/AN/A61445,6314,455
2007-12-11$43.63$41.6726.3%7.9%28.6%38.2%29.1%5.6%1.3%845.7K-6.4M-39.7K0.9544.76N/AN/A1171115,6344,473
2007-12-12$44.70$41.6726.6%7.8%28.7%39.7%27.3%4.7%1.6%935.7K-11.5M-38.8K0.2654.27N/AN/A69185,6644,521
2007-12-13$44.71$41.6729.8%8.5%28.7%52.5%26.0%4.5%0.9%1.0M-12.0M-38.2K2.8656.51N/AN/A21605,6944,539
2007-12-14$44.03$41.6727.7%7.9%27.9%44.0%24.8%4.9%1.2%1.1M-9.3M-37.8K0.4852.67N/AN/A63305,6974,539
2007-12-17$42.96$41.6726.9%7.7%29.1%41.0%24.9%5.2%1.9%949.2K-5.1M-34.9K0.3064.28N/AN/A3095,6674,545
2007-12-18$43.73$41.6727.5%7.9%29.2%43.2%26.7%5.3%1.6%1.2M-7.5M-34.4K12.5055.55N/AN/A6755,6674,536
2007-12-19$43.96$41.6726.3%7.5%26.9%38.3%31.1%5.0%6.3%1.3M-8.4M-32.7K0.7450.92N/AN/A57425,6734,611
2007-12-20$44.49$41.6729.1%8.4%25.5%49.9%27.0%4.3%2.4%1.6M-10.6M-31.6K0.0254.95N/AN/A1,893305,7064,641
2007-12-21$45.67$41.6723.0%6.6%26.3%24.9%22.3%10.5%4.3%1.2M-16.2M-35.4K1.0375.15N/AN/A5225405,7964,641
2007-12-24$45.87$41.6721.4%6.2%23.8%18.7%24.5%2.9%2.9%409.0K-10.2M-33.7K5.9263.52N/AN/A392314,0533,135
2007-12-26$46.36$43.3319.1%5.5%23.5%9.2%19.8%3.2%4.5%405.7K-11.8M-31.8K1.4376.93N/AN/A1051504,0923,264
2007-12-27$45.86$43.3320.3%5.8%24.0%14.2%19.8%2.5%4.3%404.3K-10.3M-32.9K0.9583.79N/AN/A63604,0143,309
2007-12-28$46.31$43.3319.0%5.5%24.0%8.8%20.7%3.0%5.4%421.1K-11.3M-32.1K2.8781.28N/AN/A691984,0473,345
2007-12-31$45.66$43.3322.2%6.4%24.9%21.8%16.3%4.1%3.1%403.6K-9.6M-33.2K0.0090.93N/AN/A904,0473,486