IYE Options History — May 2008

In May 2008, IYE traded between $46.44 and $51.87. ATM implied volatility averaged 28.1%, placing in the 43.0% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded above realized volatility by 4.2% (HV 20d: 23.9%). Max pain ranged from $45.00 to $50.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 2.61.

Notable Days

  • 2008-05-16: Highest Volume — 2,955 contracts
  • 2008-05-15: Largest IV spike — 16.3% change
  • 2008-05-29: Highest IV Rank — 56.2%
  • 2008-05-29: Largest Expected Move — 8.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$49.32$46.44$51.87$46.44$49.35
Max Pain$48.33$45.00$50.00$45.00$48.33
ATM IV28.1%24.2%31.2%27.4%28.0%
Expected Move8.3%7.5%8.9%7.9%8.0%
HV 20d23.9%22.1%25.3%22.1%23.1%
HV 60d28.0%27.3%28.5%28.4%27.4%
IV Rank43.0%26.3%56.2%40.8%42.4%
IV Percentile57.6%30.2%79.0%54.8%54.0%
Term Structure0.5%-0.6%2.1%0.9%1.1%
VWIV29.4%26.2%32.0%29.2%27.6%
Skew 25d4.4%1.9%6.4%4.6%4.1%
Skew 10d7.5%5.3%10.7%7.5%6.2%
Call IV 25d26.9%23.7%30.2%25.4%26.7%
Put IV 25d31.3%27.9%33.7%30.0%30.8%
Bid-Ask Spread %23.9310.5359.0649.6929.07
Gamma HHI0.230.130.380.180.14
Net GEX382.0K-86.0K1.2M213.1K-57.5K
Net DEX-14.0M-30.9M-5.6M-5.6M-9.8M
Net VEX-79.0K-91.6K-63.6K-84.8K-91.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.610.0615.461.210.23
Total Volume820.2861892,955603429
Total OI18,222.85713,73122,41319,27517,004

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-05-01$46.44$45.0027.4%7.9%22.1%40.8%29.2%4.6%0.9%213.1K-5.6M-84.8K1.2149.69N/AN/A2733306,93312,342
2008-05-02$47.06$45.0026.4%7.6%22.3%36.6%26.7%3.7%1.2%360.4K-8.1M-80.8K3.4759.06N/AN/A903126,75012,321
2008-05-05$47.61$50.0025.7%7.5%22.5%33.3%26.2%6.2%0.1%505.4K-10.3M-76.4K3.7111.08N/AN/A421566,75012,324
2008-05-06$48.79$50.0026.7%7.8%23.7%37.9%28.1%6.3%-0.4%705.0K-15.0M-73.3K1.5010.53N/AN/A2103156,75312,477
2008-05-07$48.09$50.0027.3%7.7%24.6%40.3%30.4%6.4%-0.0%609.8K-12.4M-73.8K15.4610.75N/AN/A396036,79512,588
2008-05-08$49.04$50.0027.5%8.5%25.3%40.9%29.6%5.6%-0.2%694.9K-15.9M-73.6K2.4312.80N/AN/A4351,0596,80412,882
2008-05-09$48.74$48.3326.9%8.5%24.6%37.8%31.4%5.8%0.7%695.5K-14.9M-78.3K0.8917.52N/AN/A5705077,14913,434
2008-05-12$48.64$48.3329.8%8.7%24.2%50.5%31.7%5.6%-0.6%711.3K-14.5M-77.4K5.6011.24N/AN/A301687,38313,680
2008-05-13$49.23$48.3325.6%8.5%24.2%32.5%0.0%5.4%-0.3%906.5K-17.7M-74.3K1.0015.87N/AN/A1051057,37713,728
2008-05-14$48.70$48.3324.2%8.8%23.1%26.3%28.9%6.3%-0.0%1.0M-15.3M-73.6K0.3914.49N/AN/A7743007,38313,770
2008-05-15$49.55$48.3328.1%8.1%23.8%43.1%29.3%4.5%0.5%1.2M-22.5M-69.9K0.8319.16N/AN/A3693068,06113,992
2008-05-16$50.81$48.3327.5%7.9%24.2%40.6%27.3%3.1%0.6%190.6K-30.9M-63.6K0.0620.81N/AN/A2,7751808,23214,181
2008-05-19$51.39$48.3328.0%8.0%24.3%42.6%28.5%1.9%0.3%120.9K-15.8M-68.6K1.8430.98N/AN/A3366185,4668,265
2008-05-20$51.87$48.3328.1%8.1%24.4%43.3%0.0%1.9%0.0%106.8K-16.7M-68.6K0.5326.88N/AN/A4652465,5148,511
2008-05-21$51.27$48.3329.9%8.6%24.7%50.5%31.0%2.3%0.4%98.2K-15.4M-81.0K0.7520.08N/AN/A7025255,8808,625
2008-05-22$50.70$48.3330.7%8.8%23.3%54.0%29.9%3.8%1.1%101.0K-14.6M-90.3K3.1523.68N/AN/A1595016,3788,853
2008-05-23$49.78$48.3329.9%8.6%24.2%50.9%30.3%3.9%1.7%29.6K-11.0M-89.7K8.3222.59N/AN/A1119246,1179,132
2008-05-27$49.46$48.3331.0%8.9%24.3%55.5%30.2%3.6%0.9%-79.1K-8.6M-91.0K1.6343.25N/AN/A721176,1359,930
2008-05-28$50.14$48.3329.2%8.4%23.7%47.7%32.0%4.0%2.1%-26.4K-11.5M-87.7K1.4928.72N/AN/A5197716,17410,014
2008-05-29$49.11$48.3331.2%8.9%25.0%56.2%29.6%4.3%0.9%-86.0K-8.2M-91.2K0.4124.18N/AN/A4801986,40510,188
2008-05-30$49.35$48.3328.0%8.0%23.1%42.4%27.6%4.1%1.1%-57.5K-9.8M-91.6K0.2329.07N/AN/A348816,66010,344