IYE Options History — September 2008

In September 2008, IYE traded between $36.18 and $41.71. ATM implied volatility averaged 40.8%, placing in the 69.3% IV rank vs the trailing year. The 30-day expected move averaged 11.6%. IV traded below realized volatility by 5.3% (HV 20d: 46.1%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 1.66.

Notable Days

  • 2008-09-19: Highest Volume — 173 contracts
  • 2008-09-29: Largest IV spike — 48.0% change
  • 2008-09-29: Highest IV Rank — 100.0%
  • 2008-09-29: Largest Expected Move — 16.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.34$36.18$41.71$41.08$37.56
Max Pain$40.00$40.00$40.00$40.00$40.00
ATM IV40.8%33.2%58.0%33.2%41.8%
Expected Move11.6%9.5%16.6%9.5%12.0%
HV 20d46.1%31.7%64.7%32.5%64.7%
HV 60d39.1%33.4%47.6%34.1%47.6%
IV Rank69.3%46.7%100.0%46.7%58.3%
IV Percentile94.2%77.0%100.0%77.0%96.4%
Term Structure-3.0%-10.0%3.8%1.2%-7.2%
VWIV39.6%31.9%56.5%32.2%50.2%
Skew 25d3.9%-0.4%10.8%3.0%5.3%
Skew 10d7.2%-1.4%19.9%4.4%12.6%
Call IV 25d35.1%30.5%49.3%31.0%39.5%
Put IV 25d39.1%32.6%51.4%34.0%44.8%
Bid-Ask Spread %58.6332.6882.0438.9082.02
Gamma HHI0.500.380.620.570.42
Net GEX38.8K13.9K55.6K45.7K21.8K
Net DEX-78.9K-872.1K413.7K-179.7K242.0K
Net VEX-4.6K-5.8K-3.2K-4.2K-4.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.660.0025.000.090.00
Total Volume60.1433173633
Total OI994.4767961,1557961,124

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-09-02$41.08$40.0033.2%9.5%32.5%46.7%32.2%3.0%1.2%45.7K-179.7K-4.2K0.0938.90N/AN/A585595201
2008-09-03$40.93$40.0033.9%9.7%32.4%48.7%33.9%3.4%0.5%46.7K-195.1K-4.2K0.2276.32N/AN/A6414618204
2008-09-04$40.04$40.0034.3%9.8%32.1%50.2%34.3%3.3%0.1%44.1K-92.8K-4.4K0.4074.64N/AN/A52677211
2008-09-05$39.93$40.0035.1%10.2%31.7%52.9%0.0%3.5%-2.1%42.8K-67.0K-4.3K0.5044.21N/AN/A126677213
2008-09-08$39.69$40.0036.1%10.3%31.7%56.0%33.5%3.3%-1.9%41.9K-8.6K-4.1K0.0044.38N/AN/A600687210
2008-09-09$37.09$40.0048.0%12.2%39.4%95.1%39.6%3.3%-5.4%27.0K283.7K-3.2K0.0353.64N/AN/A1404722210
2008-09-10$38.37$40.0037.3%11.2%41.8%60.1%38.9%3.3%-3.4%48.3K24.9K-3.9K0.1148.32N/AN/A182797209
2008-09-11$38.95$40.0039.4%11.3%40.2%66.9%0.0%3.5%-4.6%55.6K-77.3K-4.2K0.0045.86N/AN/A300805211
2008-09-12$40.10$40.0037.6%10.8%41.8%61.1%0.0%2.9%-2.3%50.1K-265.0K-4.7K0.0237.88N/AN/A411755211
2008-09-15$37.62$40.0040.3%11.5%47.0%69.7%40.7%3.5%-4.2%35.6K169.3K-3.6K1.9661.53N/AN/A2345780212
2008-09-16$38.71$40.0046.0%13.2%48.3%88.6%0.0%-0.4%-9.4%41.9K15.0K-4.2K0.0062.17N/AN/A0121796246
2008-09-17$37.87$40.0043.5%12.5%47.6%80.2%0.0%2.0%-4.1%30.2K157.0K-4.5K1.1560.90N/AN/A1315796306
2008-09-18$38.86$40.0041.2%11.8%47.4%72.9%41.2%3.6%-3.8%43.2K67.6K-4.8K0.0082.04N/AN/A480802321
2008-09-19$41.71$40.0044.3%12.7%53.7%82.9%41.8%2.1%-5.1%46.6K-872.1K-5.8K0.0076.08N/AN/A1730834321
2008-09-22$41.07$40.0043.6%12.5%53.6%80.8%39.3%4.4%-0.7%29.4K-330.7K-5.4K0.3257.66N/AN/A7825563288
2008-09-23$39.90$40.0042.9%12.3%54.4%78.5%43.0%8.5%3.8%34.7K-260.1K-5.7K0.5255.70N/AN/A3317711311
2008-09-24$39.81$40.0042.1%12.1%53.9%75.9%0.0%4.4%-3.5%36.5K-179.1K-5.5K0.0032.68N/AN/A110740316
2008-09-25$40.69$40.0038.7%11.1%54.3%64.5%37.3%4.4%1.1%41.5K-326.8K-5.6K0.0063.69N/AN/A90745316
2008-09-26$40.05$40.0039.2%11.2%54.5%66.2%31.9%4.7%-1.0%37.2K-175.6K-5.3K25.0053.70N/AN/A125751313
2008-09-29$36.18$40.0058.0%16.6%64.5%100.0%56.5%10.8%-10.0%13.9K413.7K-3.9K2.9378.84N/AN/A41120751328
2008-09-30$37.56$40.0041.8%12.0%64.7%58.3%50.2%5.3%-7.2%21.8K242.0K-4.4K0.0082.02N/AN/A30796328