IYE Options History — October 2008

In October 2008, IYE traded between $24.41 and $36.93. ATM implied volatility averaged 87.3%, placing in the 73.6% IV rank vs the trailing year. The 30-day expected move averaged 22.4%. IV traded below realized volatility by 33.1% (HV 20d: 120.4%). Max pain ranged from $25.00 to $40.00. Net GEX was positive for 20 of 23 trading days. Term structure was in contango for 2 of 23 days. Put/call ratio averaged 1.02.

Notable Days

  • 2008-10-10: Highest Volume — 1,093 contracts
  • 2008-10-06: Largest IV spike — 42.5% change
  • 2008-10-02: Highest IV Rank — 100.0%
  • 2008-10-10: Largest Expected Move — 29.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.50$24.41$36.93$36.93$30.45
Max Pain$29.57$25.00$40.00$40.00$25.00
ATM IV87.3%52.1%133.1%52.1%72.8%
Expected Move22.4%14.9%29.6%14.9%20.9%
HV 20d120.4%64.8%156.9%64.8%156.9%
HV 60d78.1%47.5%98.8%47.5%98.8%
IV Rank73.6%47.1%100.0%84.9%47.1%
IV Percentile97.6%92.5%100.0%99.6%92.5%
Term Structure-9.9%-23.8%9.1%-6.0%-2.9%
VWIV75.2%49.3%97.6%49.3%71.0%
Skew 25d12.5%-0.9%24.4%3.0%17.1%
Skew 10d24.2%-27.2%52.1%9.9%46.5%
Call IV 25d69.5%42.9%88.0%42.9%64.8%
Put IV 25d82.0%45.9%103.6%45.9%81.9%
Bid-Ask Spread %74.5841.51108.5668.5356.23
Gamma HHI0.340.250.690.390.34
Net GEX12.7K-1.8K81.0K18.4K13.7K
Net DEX376.7K-740.8K1.5M277.7K-327.9K
Net VEX-4.5K-5.7K-3.4K-4.3K-5.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.020.005.910.500.01
Total Volume169.21741,09360205
Total OI1,906.5651,1263,3571,1261,846

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-10-01$36.93$40.0052.1%14.9%64.8%84.9%49.3%3.0%-6.0%18.4K277.7K-4.3K0.5068.53N/AN/A4020798328
2008-10-02$34.55$40.0060.0%17.2%68.2%100.0%61.7%2.0%-12.6%10.2K575.9K-3.4K0.9466.26N/AN/A9791812348
2008-10-03$34.41$40.0060.8%17.4%68.2%100.0%0.0%-0.9%-10.9%-126731.6K-3.8K5.5083.88N/AN/A1055794439
2008-10-06$33.08$40.0086.7%17.3%69.1%100.0%64.2%6.4%-9.9%-1.8K867.7K-3.7K0.5357.25N/AN/A242128804494
2008-10-07$30.97$30.0093.8%19.8%68.9%100.0%0.0%15.2%-13.7%-87692.9K-3.8K1.3077.33N/AN/A27351,021611
2008-10-08$31.22$30.0093.9%21.2%67.4%100.0%56.1%1.3%-16.9%3.7K380.2K-4.3K0.4580.83N/AN/A66301,048567
2008-10-09$30.11$30.00106.0%22.1%67.3%100.0%81.8%3.5%-10.8%4.7K661.9K-3.8K0.6886.20N/AN/A37251,112597
2008-10-10$24.41$30.00133.1%29.6%95.2%100.0%97.6%15.6%-18.4%4.0K625.1K-3.9K0.16108.56N/AN/A9391541,114609
2008-10-13$30.36$30.00113.4%26.4%127.1%82.7%89.6%7.8%-16.4%62.5K-680.9K-5.7K2.0294.75N/AN/A601211,949747
2008-10-14$30.25$30.00112.7%22.2%126.3%82.1%74.5%6.7%-14.1%81.0K-740.8K-5.7K1.8766.21N/AN/A1643072,001822
2008-10-15$25.29$30.00117.1%26.2%139.5%85.9%84.4%17.5%-23.8%15.8K1.5M-3.8K1.1677.45N/AN/A1271472,0751,007
2008-10-16$27.53$30.0083.8%24.0%143.6%56.8%78.9%14.0%-12.5%4.5K1.5M-4.3K0.5388.52N/AN/A145772,1821,037
2008-10-17$27.36$25.0094.2%27.0%139.9%65.9%84.1%15.4%-23.0%6.2K1.2M-5.2K0.3352.63N/AN/A312,2671,090
2008-10-20$30.39$25.0073.3%21.0%146.9%47.5%68.9%18.7%-5.7%6.1K-127.9K-5.0K0.8278.03N/AN/A5142897625
2008-10-21$29.18$25.0073.8%21.2%147.1%48.0%71.2%13.5%9.1%5.8K16.4K-4.9K0.2274.86N/AN/A8920948661
2008-10-22$26.21$30.0085.1%24.4%150.6%57.9%77.7%17.1%-9.0%4.7K503.3K-4.3K0.1584.29N/AN/A467984671
2008-10-23$27.50$25.0085.4%24.5%151.8%58.2%75.9%24.4%-7.7%6.8K289.5K-4.5K0.1744.72N/AN/A1221,020661
2008-10-24$26.66$25.0090.3%25.9%151.9%62.4%89.0%17.3%-9.3%7.1K332.0K-4.5K5.9141.51N/AN/A11651,032663
2008-10-27$25.00$25.0087.8%25.2%149.8%60.3%78.2%13.5%-7.0%5.7K505.3K-4.3K0.0081.63N/AN/A5401,045714
2008-10-28$28.04$25.0079.2%22.7%156.0%52.8%81.1%21.9%-5.6%8.9K181.9K-5.0K0.0080.34N/AN/A1601,068710
2008-10-29$28.54$25.0076.7%22.0%156.4%50.5%73.6%19.3%0.7%10.0K-10.6K-5.2K0.2483.94N/AN/A83201,072710
2008-10-30$30.12$25.0076.3%21.9%156.8%50.2%70.3%16.0%-0.9%14.2K-248.5K-5.5K0.0081.44N/AN/A2101,141710
2008-10-31$30.45$25.0072.8%20.9%156.9%47.1%71.0%17.1%-2.9%13.7K-327.9K-5.4K0.0156.23N/AN/A20231,136710