IYE Options History — April 2008

In April 2008, IYE traded between $43.64 and $48.92. ATM implied volatility averaged 28.8%, placing in the 46.7% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded above realized volatility by 3.0% (HV 20d: 25.8%). Max pain ranged from $41.67 to $45.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 2.41.

Notable Days

  • 2008-04-11: Highest Volume — 7,260 contracts
  • 2008-04-25: Largest IV drop — 11.3% change
  • 2008-04-14: Highest IV Rank — 56.7%
  • 2008-04-14: Largest Expected Move — 8.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$46.50$43.64$48.92$43.64$47.57
Max Pain$42.73$41.67$45.00$41.67$45.00
ATM IV28.8%26.8%31.2%29.9%26.8%
Expected Move8.4%7.7%8.9%8.6%7.7%
HV 20d25.8%15.6%36.7%36.6%19.8%
HV 60d30.1%28.2%32.4%32.4%29.0%
IV Rank46.7%38.3%56.7%51.5%38.3%
IV Percentile66.2%51.2%79.4%72.2%51.2%
Term Structure1.1%-0.4%3.4%2.2%1.0%
VWIV30.5%26.5%39.2%29.6%26.5%
Skew 25d4.8%2.3%6.0%3.9%4.9%
Skew 10d8.4%5.6%10.3%5.9%8.2%
Call IV 25d27.7%25.7%29.5%28.3%25.7%
Put IV 25d32.5%30.6%34.7%32.1%30.6%
Bid-Ask Spread %31.019.0549.9943.0048.98
Gamma HHI0.260.170.540.170.22
Net GEX418.1K109.2K730.2K109.2K422.2K
Net DEX-13.2M-25.7M-4.8M-4.8M-10.3M
Net VEX-71.7K-84.7K-63.2K-64.1K-84.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.410.2723.441.110.68
Total Volume1,432.773577,260222318
Total OI17,502.81813,20022,12513,20019,119

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-04-01$43.64$41.6729.9%8.6%36.6%51.5%29.6%3.9%2.2%109.2K-4.8M-64.1K1.1143.00N/AN/A1051175,7277,473
2008-04-02$44.24$41.6729.0%8.3%36.7%47.8%30.2%4.0%1.8%256.1K-7.2M-63.2K2.3149.99N/AN/A1,3803,1925,7547,542
2008-04-03$44.33$43.3328.3%8.1%36.0%44.8%30.8%5.2%3.4%235.3K-7.2M-72.0K2.6247.87N/AN/A1985196,3219,294
2008-04-04$44.79$43.3326.8%8.6%35.2%38.4%34.3%5.5%2.1%421.8K-9.6M-67.7K0.9611.12N/AN/A9639216,4269,183
2008-04-07$44.96$41.6727.0%8.7%34.3%39.2%30.4%6.0%2.0%564.6K-11.3M-68.5K0.7811.16N/AN/A3122436,9639,516
2008-04-08$45.29$41.6727.3%8.5%34.0%40.5%27.1%5.8%2.4%631.8K-13.0M-66.7K3.2914.44N/AN/A933067,0629,711
2008-04-09$45.53$41.6727.5%8.8%30.9%41.3%32.2%5.0%1.5%712.6K-14.0M-66.5K1.2313.70N/AN/A5616907,1139,792
2008-04-10$45.59$41.6730.5%8.7%30.2%53.7%33.5%4.8%2.0%730.2K-14.8M-64.7K1.0414.20N/AN/A75787,30510,026
2008-04-11$44.91$41.6730.9%8.9%30.4%55.5%31.6%5.6%1.0%585.5K-11.3M-66.5K23.449.05N/AN/A2976,9637,3179,993
2008-04-14$45.70$43.3331.2%8.9%30.2%56.7%33.1%4.8%0.2%231.5K-11.6M-76.5K1.6114.58N/AN/A3365407,23012,822
2008-04-15$46.18$41.6729.4%8.4%28.0%49.3%39.2%4.0%0.8%468.3K-15.1M-73.4K1.9517.91N/AN/A631237,29012,795
2008-04-16$47.41$41.6729.2%8.4%27.1%48.1%29.9%2.3%0.0%626.8K-22.7M-63.2K1.6235.55N/AN/A9151,4797,27512,855
2008-04-17$47.44$43.3328.4%8.1%15.6%44.8%27.5%4.8%1.3%598.3K-23.5M-68.9K0.3531.78N/AN/A2,6439307,54214,157
2008-04-18$48.48$43.3327.8%8.0%16.4%42.5%28.6%4.4%0.8%142.9K-25.7M-70.0K0.5634.83N/AN/A1,8151,0147,75814,367
2008-04-21$48.82$43.3328.3%8.1%16.3%44.7%27.6%4.2%0.6%317.1K-14.5M-73.0K0.6237.94N/AN/A4292675,68210,428
2008-04-22$48.92$43.3329.0%8.3%16.5%47.4%28.9%4.4%0.1%311.1K-14.7M-71.1K1.0240.04N/AN/A1201235,68210,428
2008-04-23$48.56$43.3329.0%8.3%16.3%47.5%30.8%4.8%-0.0%338.9K-13.9M-76.0K0.5140.26N/AN/A135695,93710,713
2008-04-24$47.42$43.3330.9%8.9%18.9%55.6%28.5%5.6%-0.0%308.0K-10.5M-79.3K1.7336.87N/AN/A4748195,99110,722
2008-04-25$48.08$43.3327.4%7.9%18.8%40.9%0.0%5.0%0.7%396.1K-12.5M-80.0K0.2749.53N/AN/A45126,22511,385
2008-04-28$47.93$43.3329.0%8.3%19.1%47.7%28.7%5.3%-0.3%389.5K-11.9M-79.9K0.5738.76N/AN/A6453696,26411,397
2008-04-29$47.16$43.3330.2%8.7%20.1%52.5%32.1%5.3%-0.4%400.6K-9.4M-81.3K4.7340.64N/AN/A1446816,81011,670
2008-04-30$47.57$45.0026.8%7.7%19.8%38.3%26.5%4.9%1.0%422.2K-10.3M-84.7K0.6848.98N/AN/A1891296,89412,225