IYE Options History — June 2008

In June 2008, IYE traded between $48.07 and $50.99. ATM implied volatility averaged 32.3%, placing in the 60.5% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded above realized volatility by 4.3% (HV 20d: 28.0%). Max pain ranged from $46.67 to $48.33. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.64.

Notable Days

  • 2008-06-10: Highest Volume — 2,082 contracts
  • 2008-06-06: Largest IV spike — 15.0% change
  • 2008-06-12: Highest IV Rank — 74.1%
  • 2008-06-12: Largest Expected Move — 10.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$49.78$48.07$50.99$49.57$50.50
Max Pain$46.98$46.67$48.33$48.33$46.67
ATM IV32.3%27.7%35.4%28.2%31.0%
Expected Move9.2%8.0%10.2%8.1%8.9%
HV 20d28.0%22.5%30.9%22.8%30.4%
HV 60d25.4%23.4%27.5%27.0%25.0%
IV Rank60.5%41.5%74.1%43.4%55.1%
IV Percentile80.1%52.0%94.4%56.3%72.2%
Term Structure-0.1%-1.9%1.7%0.9%1.3%
VWIV32.2%24.0%35.4%29.9%30.6%
Skew 25d4.2%3.1%5.8%5.3%4.3%
Skew 10d7.1%5.6%8.7%5.6%6.5%
Call IV 25d30.5%25.3%34.3%25.3%28.6%
Put IV 25d34.7%29.3%37.7%30.6%32.9%
Bid-Ask Spread %36.7620.0361.0861.0853.22
Gamma HHI0.220.140.310.160.26
Net GEX316.7K-87.4K738.5K27.8K451.7K
Net DEX-14.8M-21.2M-6.5M-12.6M-17.6M
Net VEX-80.5K-91.0K-66.6K-86.8K-68.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.640.091.940.180.25
Total Volume710.286962,082489480
Total OI18,135.14315,69920,02517,16916,863

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-06-02$49.57$48.3328.2%8.1%22.8%43.4%29.9%5.3%0.9%27.8K-12.6M-86.8K0.1861.08N/AN/A414756,87010,299
2008-06-03$48.66$48.3330.6%8.8%23.8%53.6%30.8%3.5%0.2%-87.4K-8.1M-88.9K0.2025.96N/AN/A5011026,74710,353
2008-06-04$48.07$48.3329.6%8.5%22.5%49.5%29.8%3.8%1.7%-67.6K-6.5M-91.0K0.4831.97N/AN/A4141987,17310,326
2008-06-05$50.25$48.3327.7%8.0%27.0%41.5%29.6%3.1%1.5%181.8K-16.2M-84.5K0.4239.58N/AN/A159667,35310,281
2008-06-06$49.57$46.6731.9%9.3%26.7%59.3%32.8%4.6%0.0%118.1K-13.0M-89.2K0.9821.15N/AN/A9459307,46110,260
2008-06-09$50.73$46.6733.4%9.4%27.7%65.7%34.4%3.8%-0.6%178.5K-18.4M-83.4K0.3823.41N/AN/A1,3535197,74310,668
2008-06-10$49.60$46.6733.5%9.4%29.1%65.7%33.7%4.3%-0.0%255.9K-14.0M-88.0K0.7923.15N/AN/A1,1649188,41510,677
2008-06-11$50.00$46.6732.5%9.5%28.9%61.6%32.4%4.6%-0.3%350.9K-16.4M-86.6K0.4636.09N/AN/A3061418,65810,869
2008-06-12$49.17$46.6735.4%10.2%29.3%74.1%34.2%4.5%-1.5%255.4K-11.9M-90.7K0.2420.03N/AN/A381938,79310,836
2008-06-13$49.57$46.6734.4%9.8%28.8%69.4%24.0%5.0%-1.2%361.8K-14.2M-87.7K0.8825.00N/AN/A75668,85310,800
2008-06-16$49.77$46.6735.3%10.1%27.3%73.6%35.4%3.5%-1.9%453.1K-15.9M-81.1K1.5632.51N/AN/A1712678,85010,761
2008-06-17$50.68$46.6732.6%9.4%27.8%62.0%32.9%3.6%-0.5%700.4K-21.1M-75.2K0.7538.47N/AN/A2972228,92510,803
2008-06-18$50.61$46.6732.7%9.4%27.5%62.4%32.6%3.9%-0.4%738.5K-21.2M-75.6K0.3334.55N/AN/A72249,11710,773
2008-06-19$49.59$46.6732.8%9.4%28.1%62.6%34.3%4.0%-0.5%502.5K-15.8M-75.3K1.0037.64N/AN/A2942949,15310,704
2008-06-20$49.18$46.6732.7%9.4%28.0%62.4%31.6%4.3%-0.3%352.0K-13.1M-74.8K0.0930.69N/AN/A558489,25510,770
2008-06-23$50.99$46.6732.0%9.2%30.3%59.4%33.1%3.8%0.2%365.1K-18.7M-66.6K0.8748.65N/AN/A5074416,9398,760
2008-06-24$50.13$46.6731.9%9.2%30.9%58.9%34.6%4.7%0.6%388.7K-15.5M-71.2K1.9445.23N/AN/A2013907,1168,928
2008-06-25$49.76$46.6734.4%9.9%30.6%69.5%34.0%5.8%-1.7%361.0K-13.8M-73.2K0.6059.83N/AN/A5673427,0869,048
2008-06-26$49.28$46.6732.2%9.2%29.9%60.2%32.9%3.8%0.4%353.8K-12.2M-77.9K0.7037.08N/AN/A3422407,3869,390
2008-06-27$49.79$46.6732.3%9.3%30.1%60.7%32.8%4.7%0.4%407.7K-14.5M-74.7K0.2746.78N/AN/A267727,3869,390
2008-06-30$50.50$46.6731.0%8.9%30.4%55.1%30.6%4.3%1.3%451.7K-17.6M-68.2K0.2553.22N/AN/A384967,3479,516