IYE Options History — July 2008

In July 2008, IYE traded between $42.32 and $50.87. ATM implied volatility averaged 36.1%, placing in the 70.8% IV rank vs the trailing year. The 30-day expected move averaged 10.4%. IV traded above realized volatility by 5.3% (HV 20d: 30.8%). Max pain ranged from $40.00 to $46.67. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.83.

Notable Days

  • 2008-07-08: Highest Volume — 6,975 contracts
  • 2008-07-03: Largest IV spike — 41.5% change
  • 2008-07-25: Highest IV Rank — 100.0%
  • 2008-07-25: Largest Expected Move — 14.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.64$42.32$50.87$50.87$43.26
Max Pain$45.58$40.00$46.67$46.67$45.00
ATM IV36.1%23.6%49.5%30.8%35.0%
Expected Move10.4%6.8%14.2%8.8%10.0%
HV 20d30.8%26.7%38.7%29.6%38.7%
HV 60d27.9%25.1%31.7%25.1%31.7%
IV Rank70.8%22.9%100.0%54.0%52.4%
IV Percentile89.2%12.7%100.0%68.3%86.9%
Term Structure-1.8%-15.0%5.4%1.0%-1.0%
VWIV36.1%31.0%52.6%32.9%35.6%
Skew 25d3.5%0.8%4.9%4.6%1.5%
Skew 10d5.0%2.6%7.4%7.0%3.6%
Call IV 25d33.3%27.6%36.1%28.9%36.1%
Put IV 25d36.8%32.3%39.3%33.5%37.6%
Bid-Ask Spread %43.269.98126.5855.9028.85
Gamma HHI0.240.120.470.280.47
Net GEX79.0K-300.8K485.2K458.7K-286
Net DEX2.0M-19.2M22.6M-19.2M56.2K
Net VEX-49.9K-81.4K0-68.7K-601
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.830.006.210.630.00
Total Volume764.1926,97535134
Total OI14,697.19025,75816,998120

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-07-01$50.87$46.6730.8%8.8%29.6%54.0%32.9%4.6%1.0%458.7K-19.2M-68.7K0.6355.90N/AN/A2161357,4229,576
2008-07-02$49.34$46.6723.6%6.8%31.4%22.9%32.1%4.7%5.4%485.2K-15.7M-68.6K6.2184.69N/AN/A573547,5039,627
2008-07-03$48.97$46.6733.4%9.6%27.1%65.1%31.0%3.4%1.2%377.2K-11.2M-71.5K1.8750.69N/AN/A2133997,4859,678
2008-07-07$47.74$46.6736.3%10.6%28.1%78.0%37.3%4.5%-1.9%234.2K-5.4M-70.0K0.609.98N/AN/A3031837,65610,032
2008-07-08$47.01$46.6734.1%10.5%26.9%68.0%36.9%4.3%-2.2%161.8K-2.2M-68.0K0.9912.23N/AN/A3,5013,4747,7919,984
2008-07-09$46.04$46.6733.7%9.9%26.7%65.4%33.9%2.5%-1.0%-57.7K11.0M-75.3K0.9017.99N/AN/A32128810,75813,110
2008-07-10$47.27$46.6734.3%9.8%28.5%68.1%32.2%3.7%-0.8%111.3K1.1M-81.4K0.1612.97N/AN/A1322110,72813,227
2008-07-11$47.11$46.6736.7%10.5%28.1%78.9%36.5%3.8%-1.8%86.3K3.1M-78.9K1.3512.02N/AN/A31542610,77013,209
2008-07-14$47.36$46.6737.3%10.7%27.9%81.5%35.7%4.7%-2.2%116.7K1.4M-74.1K0.2140.13N/AN/A1443010,83913,347
2008-07-15$45.37$46.6738.2%11.0%31.3%85.7%34.6%4.9%-2.2%-121.6K14.4M-60.6K0.0741.65N/AN/A9907210,76113,377
2008-07-16$44.45$46.6737.5%10.7%30.5%82.2%35.7%2.4%-2.1%-300.8K22.5M-56.0K0.3247.66N/AN/A1,00231811,69413,320
2008-07-17$43.81$46.6737.1%10.6%30.6%80.4%36.4%0.8%-0.8%-256.2K22.6M-54.5K0.5342.03N/AN/A41121912,35713,401
2008-07-18$44.28$46.6736.1%10.3%30.8%76.1%36.4%2.9%-1.5%-64.6K20.1M-53.2K0.0037.62N/AN/A834312,15313,227
2008-07-21$45.59$46.6737.3%10.7%33.2%81.5%34.9%4.4%-1.9%162.2K-2.5M-58.9K0.0127.48N/AN/A39635,0313,147
2008-07-22$44.57$46.6736.0%10.3%30.2%75.8%35.3%2.7%-2.0%162.8K-722.0K-55.5K0.7440.93N/AN/A4083005,2773,147
2008-07-23$42.78$46.6737.7%10.8%32.4%83.3%35.2%1.5%-2.3%113.4K2.0M-50.4K1.2949.27N/AN/A1862405,5053,237
2008-07-25$42.91$0.0049.5%14.2%32.6%100.0%52.6%0.0%-15.0%0000.00126.58N/AN/A04000
2008-07-28$42.76$40.0038.0%10.9%32.7%62.2%37.8%0.0%-2.0%-4.3K85.0K-1860.0051.63N/AN/A20040
2008-07-29$42.32$40.0040.9%11.7%32.0%71.8%40.8%0.0%-3.1%-4.1K88.1K-1820.2452.86N/AN/A174240
2008-07-30$44.64$40.0035.1%10.1%38.1%52.8%35.1%0.0%-1.1%-1.8K30.5K-3160.5465.40N/AN/A37201944
2008-07-31$43.26$45.0035.0%10.0%38.7%52.4%35.6%0.0%-1.0%-28656.2K-6010.0028.85N/AN/A3405664