IYE Options History — February 2008

In February 2008, IYE traded between $38.85 and $45.16. ATM implied volatility averaged 27.3%, placing in the 42.4% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded below realized volatility by 2.1% (HV 20d: 29.4%). Max pain ranged from $38.33 to $41.67. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 1.17.

Notable Days

  • 2008-02-25: Highest Volume — 888 contracts
  • 2008-02-29: Largest IV spike — 39.1% change
  • 2008-02-06: Highest IV Rank — 77.1%
  • 2008-02-06: Largest Expected Move — 10.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.10$38.85$45.16$40.91$43.89
Max Pain$39.17$38.33$41.67$41.67$40.00
ATM IV27.3%21.4%35.8%28.5%30.8%
Expected Move8.2%6.1%10.6%8.2%8.8%
HV 20d29.4%25.3%34.4%30.9%29.0%
HV 60d28.8%27.8%30.2%30.2%28.9%
IV Rank42.4%18.5%77.1%47.4%56.8%
IV Percentile67.0%32.5%97.2%77.8%83.7%
Term Structure1.1%-3.4%4.0%1.3%0.4%
VWIV28.0%22.7%34.4%29.3%29.3%
Skew 25d5.8%1.8%8.7%6.3%5.9%
Skew 10d9.6%-4.8%17.4%12.0%12.3%
Call IV 25d26.4%18.1%31.1%27.8%27.6%
Put IV 25d32.2%23.6%39.3%34.2%33.4%
Bid-Ask Spread %40.5320.2077.5147.3324.31
Gamma HHI0.250.180.360.250.31
Net GEX267.4K76.0K579.5K127.5K450.0K
Net DEX-2.9M-8.7M1.9M-350.0K-6.2M
Net VEX-33.9K-39.0K-27.3K-32.4K-38.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.170.004.750.291.32
Total Volume322.878888201696
Total OI6,144.155,3826,7205,7996,720

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-02-01$40.91$41.6728.5%8.2%30.9%47.4%29.3%6.3%1.3%127.5K-350.0K-32.4K0.2947.33N/AN/A156453,4952,304
2008-02-04$41.04$38.3329.4%8.6%30.1%51.1%27.8%8.7%-0.4%159.8K-689.6K-32.8K2.1120.20N/AN/A1593363,6152,283
2008-02-05$39.53$38.3334.7%9.6%32.2%72.7%34.4%7.8%-0.8%93.1K1.2M-29.6K0.2128.49N/AN/A171363,7082,316
2008-02-06$38.85$38.3335.8%10.6%32.3%77.1%0.0%7.1%-3.4%76.0K1.9M-27.3K4.1431.00N/AN/A662733,7772,172
2008-02-07$39.34$38.3328.5%9.8%32.2%47.4%29.2%7.9%-0.7%82.0K1.5M-29.4K0.1128.67N/AN/A303333,8012,439
2008-02-08$39.97$38.3326.8%10.1%33.1%40.2%0.0%8.2%-1.1%125.9K493.1K-32.4K0.7333.38N/AN/A45333,9302,466
2008-02-11$40.92$38.3325.3%8.2%34.4%34.3%29.2%8.0%1.9%185.8K-633.2K-31.7K2.2130.54N/AN/A2014443,9302,493
2008-02-12$40.99$38.3325.5%7.6%33.6%35.3%27.6%7.8%1.8%198.1K-849.9K-32.0K0.6348.71N/AN/A2041293,9902,358
2008-02-13$41.92$38.3323.0%8.7%32.4%24.9%33.5%4.6%1.1%259.2K-2.4M-33.3K4.7538.61N/AN/A361713,9902,349
2008-02-14$41.94$38.3327.5%7.9%30.5%43.2%32.0%4.6%2.1%288.0K-2.5M-33.9K3.8946.77N/AN/A271054,0052,355
2008-02-15$41.90$38.3326.7%7.7%26.5%40.1%25.8%4.0%3.5%240.6K-2.3M-33.6K0.0033.62N/AN/A22204,0142,394
2008-02-19$42.91$38.3326.7%7.6%27.6%39.8%27.1%2.7%2.4%240.8K-4.0M-34.5K0.6238.60N/AN/A159993,3812,001
2008-02-20$43.58$40.0027.3%7.8%25.3%42.6%27.7%7.2%1.4%287.2K-4.8M-35.4K0.1151.40N/AN/A300333,4952,055
2008-02-21$42.61$40.0028.4%8.2%27.2%47.1%31.1%4.2%0.0%271.6K-3.8M-34.9K0.2332.84N/AN/A132303,6392,052
2008-02-22$43.13$40.0027.0%7.7%26.2%41.4%27.0%4.5%0.7%318.4K-4.6M-35.3K0.6135.34N/AN/A114693,7562,082
2008-02-25$44.07$40.0026.3%7.5%26.0%38.3%22.8%1.8%2.3%363.0K-6.2M-36.6K0.0358.21N/AN/A861273,7802,145
2008-02-26$44.81$40.0021.4%6.1%26.0%18.5%22.8%3.2%3.1%496.5K-7.7M-39.0K0.4277.51N/AN/A156664,2212,163
2008-02-27$44.45$40.0023.8%6.8%26.4%28.4%24.6%5.6%2.5%504.5K-7.1M-37.6K0.3755.32N/AN/A123454,3622,229
2008-02-28$45.16$40.0022.2%6.4%26.4%21.6%22.7%5.5%4.0%579.5K-8.7M-37.6K0.6749.78N/AN/A2101414,3742,244
2008-02-29$43.89$40.0030.8%8.8%29.0%56.8%29.3%5.9%0.4%450.0K-6.2M-38.7K1.3224.31N/AN/A3003964,4792,241