IYE Options History — August 2008

In August 2008, IYE traded between $40.75 and $44.05. ATM implied volatility averaged 32.6%, placing in the 44.4% IV rank vs the trailing year. The 30-day expected move averaged 9.5%. IV traded below realized volatility by 6.4% (HV 20d: 39.0%). Max pain ranged from $40.00 to $45.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.51.

Notable Days

  • 2008-08-25: Highest Volume — 134 contracts
  • 2008-08-05: Largest IV drop — 18.8% change
  • 2008-08-04: Highest IV Rank — 69.1%
  • 2008-08-04: Largest Expected Move — 11.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.31$40.75$44.05$43.18$43.14
Max Pain$42.62$40.00$45.00$45.00$40.00
ATM IV32.6%27.4%40.1%35.2%28.3%
Expected Move9.5%7.9%11.0%10.1%8.1%
HV 20d39.0%32.8%42.2%37.9%33.0%
HV 60d33.2%31.2%34.2%31.2%34.1%
IV Rank44.4%27.5%69.1%53.2%30.5%
IV Percentile69.9%34.1%98.8%87.7%41.7%
Term Structure0.1%-2.6%3.4%-1.3%3.4%
VWIV31.9%27.2%38.3%35.1%28.4%
Skew 25d3.1%2.2%4.6%3.0%2.8%
Skew 10d7.0%4.0%23.3%5.5%5.1%
Call IV 25d32.0%29.3%42.5%32.2%31.0%
Put IV 25d35.2%33.4%47.1%35.1%33.8%
Bid-Ask Spread %40.9717.4457.6427.0226.20
Gamma HHI0.600.420.830.490.72
Net GEX24.5K-1.5K58.9K3.1K58.9K
Net DEX-251.5K-845.6K154.2K22.3K-686.5K
Net VEX-2.8K-5.1K-675-675-5.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.510.003.333.303.33
Total Volume49.76201344326
Total OI487.667144785144785

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-08-01$43.18$45.0035.2%10.1%37.9%53.2%35.1%0.0%-1.3%3.1K22.3K-6753.3027.02N/AN/A10338064
2008-08-04$41.01$45.0040.1%11.0%41.1%69.1%38.3%0.0%-2.6%-1.5K154.2K-8980.0045.66N/AN/A8709097
2008-08-05$41.32$45.0032.5%10.7%41.0%44.4%35.7%0.0%-1.4%4.0K101.3K-9850.1653.69N/AN/A44716197
2008-08-06$42.25$45.0034.9%10.6%42.2%52.2%35.7%0.0%-0.6%12.6K-28.1K-1.5K0.0233.20N/AN/A581201103
2008-08-07$41.62$45.0033.0%10.2%41.9%45.8%0.0%0.0%-2.4%13.7K-58.7K-1.6K0.0044.40N/AN/A200234104
2008-08-08$41.31$45.0033.7%10.4%40.3%48.1%0.0%0.0%-1.9%13.8K-50.1K-1.6K0.0046.76N/AN/A330254104
2008-08-11$41.22$45.0037.6%10.2%40.3%60.9%33.3%0.0%-1.0%14.8K-92.1K-1.8K0.0046.75N/AN/A330283104
2008-08-12$41.08$45.0035.3%10.3%40.0%53.6%32.8%0.0%-2.1%17.7K-149.2K-2.0K1.0049.06N/AN/A2020314104
2008-08-13$42.43$45.0032.7%10.1%40.0%44.9%35.2%0.0%-1.5%16.4K-254.7K-2.3K1.2746.16N/AN/A5165334124
2008-08-14$41.96$45.0035.5%10.2%39.6%54.1%0.0%0.0%-1.1%13.1K-84.1K-2.7K0.0048.62N/AN/A00363189
2008-08-15$41.24$45.0034.9%10.0%39.8%52.2%35.1%0.0%-1.3%14.1K8.4K-2.6K0.0017.44N/AN/A600357189
2008-08-18$40.75$40.0035.6%10.2%39.5%54.6%0.0%3.0%-0.4%18.6K-44.5K-2.7K0.6345.40N/AN/A1610295150
2008-08-19$41.82$40.0032.0%9.2%39.2%42.5%30.8%3.2%2.1%21.2K-169.4K-3.1K0.2620.69N/AN/A3810311160
2008-08-20$42.99$40.0028.6%8.2%40.1%31.3%29.3%4.6%2.5%26.1K-346.1K-3.4K0.2847.50N/AN/A8022349170
2008-08-21$44.03$40.0027.9%8.0%38.3%29.1%27.9%3.5%2.2%35.6K-553.5K-4.0K0.0053.09N/AN/A220413190
2008-08-22$43.27$40.0027.4%7.9%38.9%27.5%27.2%4.1%2.4%35.4K-385.7K-3.8K0.0018.63N/AN/A370408190
2008-08-25$42.77$40.0029.2%8.4%39.1%33.3%28.8%3.0%0.5%37.1K-335.4K-3.9K0.0023.25N/AN/A1340434190
2008-08-26$43.46$40.0029.4%8.4%39.3%34.1%29.5%2.6%1.7%48.5K-688.1K-4.9K0.0053.79N/AN/A310536190
2008-08-27$44.05$40.0029.9%8.6%34.5%35.7%29.9%2.2%1.7%52.7K-845.6K-5.1K0.0055.36N/AN/A560556190
2008-08-28$43.64$40.0029.8%8.6%32.8%35.5%29.9%2.5%2.5%58.1K-795.9K-5.1K0.0557.64N/AN/A201584190
2008-08-29$43.14$40.0028.3%8.1%33.0%30.5%28.4%2.8%3.4%58.9K-686.5K-5.1K3.3326.20N/AN/A620594191