IYE Options History — March 2008

In March 2008, IYE traded between $41.15 and $44.43. ATM implied volatility averaged 32.7%, placing in the 63.9% IV rank vs the trailing year. The 30-day expected move averaged 9.5%. IV traded below realized volatility by 0.2% (HV 20d: 32.9%). Max pain ranged from $40.00 to $43.33. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 1.49.

Notable Days

  • 2008-03-28: Highest Volume — 6,069 contracts
  • 2008-03-18: Largest IV drop — 13.8% change
  • 2008-03-17: Highest IV Rank — 89.0%
  • 2008-03-17: Largest Expected Move — 11.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.92$41.15$44.43$44.19$42.90
Max Pain$42.33$40.00$43.33$40.00$41.67
ATM IV32.7%28.6%38.8%29.6%31.6%
Expected Move9.5%8.2%11.1%8.5%9.1%
HV 20d32.9%25.7%38.9%28.8%36.2%
HV 60d30.5%28.5%32.5%28.8%32.2%
IV Rank63.9%47.8%89.0%51.7%58.7%
IV Percentile86.3%74.2%99.6%78.2%81.3%
Term Structure-0.1%-3.7%4.6%0.7%1.4%
VWIV33.4%28.3%43.6%33.4%32.3%
Skew 25d6.2%4.6%8.5%4.9%4.8%
Skew 10d10.1%3.6%14.4%8.5%9.1%
Call IV 25d30.4%26.4%35.1%27.9%30.1%
Put IV 25d36.6%32.6%43.1%32.9%34.9%
Bid-Ask Spread %34.3218.7062.1231.8947.93
Gamma HHI0.240.160.320.320.16
Net GEX302.9K70.1K523.4K469.7K70.1K
Net DEX-5.0M-9.0M-1.9M-6.8M-3.3M
Net VEX-47.7K-65.4K-40.6K-40.6K-65.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.490.135.510.621.87
Total Volume1,159.35816,0694141,620
Total OI8,918.47,15512,8797,15512,879

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-03-03$44.19$40.0029.6%8.5%28.8%51.7%33.4%4.9%0.7%469.7K-6.8M-40.6K0.6231.89N/AN/A2551594,5542,601
2008-03-04$43.60$40.0032.1%9.2%29.5%62.2%31.7%5.7%1.2%429.1K-5.9M-40.6K0.2329.58N/AN/A5671324,6682,664
2008-03-05$44.43$40.0028.6%8.2%25.7%47.8%28.9%5.6%1.5%523.4K-8.7M-47.0K1.1543.70N/AN/A39455,1002,763
2008-03-06$43.42$40.0030.7%8.8%26.5%56.5%28.3%4.6%1.5%467.6K-6.4M-45.3K0.2833.48N/AN/A141395,1002,769
2008-03-07$42.60$43.3332.4%9.5%27.7%63.1%35.3%6.0%-1.8%372.5K-4.8M-45.1K5.0035.82N/AN/A1206005,1362,775
2008-03-10$42.14$43.3335.7%10.6%27.8%76.6%34.6%6.7%-3.5%265.2K-2.9M-47.4K0.7923.73N/AN/A2011595,1963,348
2008-03-11$43.94$43.3333.4%10.1%30.3%67.2%0.0%5.8%-2.2%428.4K-6.7M-49.8K0.1349.36N/AN/A7295,3583,501
2008-03-12$43.29$43.3330.8%9.9%31.0%56.7%43.6%7.0%-1.5%411.7K-5.9M-49.6K0.8322.11N/AN/A4053365,4303,501
2008-03-13$43.98$43.3334.6%9.9%30.5%71.1%32.4%6.8%-1.5%507.5K-9.0M-48.8K0.3731.29N/AN/A81305,8023,393
2008-03-14$43.27$43.3337.2%10.7%31.2%82.1%38.7%7.4%-3.5%415.1K-7.0M-49.2K5.5127.07N/AN/A1055795,8203,414
2008-03-17$42.05$43.3338.8%11.1%33.0%89.0%38.9%8.0%-3.7%222.1K-3.5M-47.2K0.7718.70N/AN/A2101625,8503,747
2008-03-18$43.48$43.3333.5%9.6%34.1%66.5%33.4%6.4%-1.0%519.9K-7.9M-45.9K0.9828.46N/AN/A1231205,8773,345
2008-03-19$41.15$43.3335.5%10.2%38.9%75.1%32.4%6.2%-2.3%99.0K-2.1M-41.4K4.6530.52N/AN/A783635,8563,399
2008-03-20$41.38$43.3335.7%10.2%38.3%75.7%34.2%6.0%-3.1%159.9K-2.2M-43.1K1.5528.21N/AN/A1201865,9283,573
2008-03-24$41.89$43.3331.8%9.1%38.3%59.4%31.3%6.3%4.6%85.7K-1.9M-41.9K1.2130.95N/AN/A1,6862,0434,3083,303
2008-03-25$42.21$43.3330.9%8.9%37.5%55.7%31.7%6.4%4.2%100.7K-2.3M-46.4K0.6033.14N/AN/A5583334,5663,834
2008-03-26$43.14$41.6730.5%8.7%37.9%53.8%32.2%4.9%3.9%229.8K-5.0M-48.9K1.1536.59N/AN/A7388494,8873,804
2008-03-27$42.80$41.6730.3%8.7%37.9%52.9%30.1%8.5%1.9%177.2K-4.4M-51.7K1.1562.12N/AN/A1,7912,0645,1124,278
2008-03-28$42.65$41.6731.2%9.0%37.3%57.1%31.4%5.9%1.2%103.4K-3.6M-57.8K0.9141.69N/AN/A3,1712,8985,5385,391
2008-03-31$42.90$41.6731.6%9.1%36.2%58.7%32.3%4.8%1.4%70.1K-3.3M-65.4K1.8747.93N/AN/A5641,0565,8747,005