IYE Options History — January 2008

In January 2008, IYE traded between $39.04 and $46.35. ATM implied volatility averaged 31.0%, placing in the 57.5% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded above realized volatility by 3.2% (HV 20d: 27.8%). Max pain ranged from $41.67 to $46.67. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 1.01.

Notable Days

  • 2008-01-18: Highest Volume — 1,107 contracts
  • 2008-01-17: Largest IV spike — 22.2% change
  • 2008-01-22: Highest IV Rank — 88.5%
  • 2008-01-22: Largest Expected Move — 11.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.29$39.04$46.35$46.06$40.38
Max Pain$44.52$41.67$46.67$43.33$41.67
ATM IV31.0%22.0%38.6%22.0%32.8%
Expected Move8.9%6.3%11.1%6.3%9.4%
HV 20d27.8%23.4%31.3%25.0%30.4%
HV 60d29.5%28.1%31.0%28.2%30.1%
IV Rank57.5%20.9%88.5%20.9%64.6%
IV Percentile84.5%44.2%99.6%44.2%90.5%
Term Structure-0.2%-4.8%3.6%2.9%-1.4%
VWIV30.1%21.8%37.6%21.8%37.6%
Skew 25d5.7%3.2%8.4%3.2%7.2%
Skew 10d10.0%6.0%15.8%7.2%15.7%
Call IV 25d28.4%21.8%34.7%21.8%29.2%
Put IV 25d34.1%25.0%39.2%25.0%36.4%
Bid-Ask Spread %34.0812.0068.5367.4268.53
Gamma HHI0.280.170.580.380.24
Net GEX210.8K-410.9K534.7K380.3K100.2K
Net DEX-2.2M-11.1M4.9M-10.5M579.2K
Net VEX-29.7K-34.7K-22.7K-31.8K-31.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.010.005.910.000.53
Total Volume399.857181,107111156
Total OI6,808.4294,5908,2987,5245,700

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-01-02$46.06$43.3322.0%6.3%25.0%20.9%21.8%3.2%2.9%380.3K-10.5M-31.8K0.0067.42N/AN/A11104,0383,486
2008-01-03$46.35$43.3324.0%6.9%24.5%29.0%28.2%4.8%0.2%395.9K-11.1M-31.3K1.8967.67N/AN/A2164084,0983,486
2008-01-04$45.16$46.6728.4%7.7%26.1%46.9%25.3%5.6%2.8%389.7K-7.7M-34.7K0.8712.00N/AN/A1351174,1643,564
2008-01-07$44.57$46.6725.9%7.6%25.1%36.7%25.9%6.3%2.9%417.2K-6.5M-32.6K3.5012.03N/AN/A361264,1523,498
2008-01-08$43.97$46.6729.5%8.3%25.5%51.5%0.0%6.5%0.3%403.6K-4.7M-31.5K0.0015.56N/AN/A1804,1643,453
2008-01-09$44.62$46.6724.5%8.3%25.7%31.2%28.9%6.6%0.7%428.3K-6.6M-31.4K1.2616.03N/AN/A2853604,1613,453
2008-01-10$44.32$46.6728.0%8.0%24.6%45.4%0.0%6.6%0.9%417.8K-5.6M-31.3K0.1212.69N/AN/A129154,1733,543
2008-01-11$43.72$46.6729.8%8.5%23.4%52.5%25.0%5.9%0.9%460.9K-4.0M-30.3K0.0718.35N/AN/A8464,2423,543
2008-01-14$44.49$46.6726.8%7.7%24.3%40.3%26.8%5.3%1.3%534.7K-6.3M-28.3K0.6617.78N/AN/A1831204,2663,543
2008-01-15$42.83$46.6728.4%8.1%27.3%47.0%26.9%4.8%0.5%424.8K-1.0M-26.9K1.0720.53N/AN/A1831954,2693,603
2008-01-16$41.57$45.0030.6%8.8%28.0%55.9%28.1%4.6%3.6%195.9K1.5M-25.7K0.1232.10N/AN/A255304,4103,543
2008-01-17$39.93$45.0037.4%10.7%30.1%83.5%36.6%5.1%-3.7%-91.3K4.9M-22.7K0.6633.58N/AN/A3932614,5213,564
2008-01-18$40.13$43.3334.1%9.8%30.1%70.3%32.9%4.9%-1.4%-410.9K4.0M-23.9K0.7239.17N/AN/A6454624,6863,612
2008-01-22$39.04$43.3338.6%11.1%30.5%88.5%35.7%3.9%-3.5%35.2K1.8M-25.2K5.9128.92N/AN/A1388162,6881,902
2008-01-23$39.33$43.3334.5%9.9%28.5%71.8%29.8%4.7%-4.8%6.9K2.0M-27.1K0.7443.88N/AN/A3842852,6942,205
2008-01-24$40.36$43.3335.2%10.1%30.6%74.7%34.0%6.5%-3.9%40.7K626.2K-29.7K0.3234.24N/AN/A3511142,7602,148
2008-01-25$39.75$43.3334.4%9.9%30.1%71.4%32.3%8.4%0.8%49.6K889.4K-30.6K2.8048.45N/AN/A2797802,9732,142
2008-01-28$40.42$43.3336.2%10.4%31.3%78.7%32.4%6.6%-0.5%69.5K177.3K-33.1K0.0040.77N/AN/A9903,1562,289
2008-01-29$40.64$41.6736.3%10.4%31.0%79.3%33.2%6.6%-2.1%90.1K-76.2K-33.0K0.0039.84N/AN/A8103,2372,289
2008-01-30$40.42$41.6733.6%9.6%30.9%68.0%0.0%6.2%-1.6%86.7K392.3K-31.1K0.0046.25N/AN/A14103,2702,289
2008-01-31$40.38$41.6732.8%9.4%30.4%64.6%37.6%7.2%-1.4%100.2K579.2K-31.1K0.5368.53N/AN/A102543,4112,289