IYE Options History — December 2008 In December 2008, IYE traded between $25.70 and $29.32. ATM implied volatility averaged 62.8%, placing in the 38.3% IV rank vs the trailing year. The 30-day expected move averaged 18.4%. IV traded below realized volatility by 19.8% (HV 20d: 82.5%). Max pain ranged from $25.00 to $35.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 0.61.
Notable Days 2008-12-23 : Highest Volume — 147 contracts2008-12-05 : Largest IV drop — 25.8% change2008-12-02 : Highest IV Rank — 56.2%2008-12-02 : Largest Expected Move — 23.8%Monthly Statistics Metric Avg Min Max Open Close Price $27.54 $25.70 $29.32 $26.84 $28.33 Max Pain $30.00 $25.00 $35.00 $25.00 $30.00 ATM IV 62.8% 42.1% 83.2% 71.8% 42.1% Expected Move 18.4% 12.1% 23.8% 20.6% 12.1% HV 20d 82.5% 47.1% 101.6% 101.4% 47.1% HV 60d 111.7% 109.4% 113.2% 112.9% 109.4% IV Rank 38.3% 18.5% 56.2% 46.2% 18.5% IV Percentile 82.5% 71.4% 94.0% 89.7% 71.4% Term Structure -1.1% -22.8% 21.1% 21.1% -1.4% VWIV 61.7% 47.9% 72.6% 67.7% 47.9% Skew 25d 13.6% 1.2% 25.2% 19.5% 2.7% Skew 10d 27.1% -6.0% 55.6% 50.7% 13.4% Call IV 25d 56.8% 46.7% 72.2% 59.8% 50.0% Put IV 25d 70.4% 52.1% 86.4% 79.3% 52.7% Bid-Ask Spread % 65.28 32.55 94.34 94.34 80.00 Gamma HHI 0.42 0.27 0.62 0.27 0.61 Net GEX 27.4K 8.6K 63.6K 15.5K 37.4K Net DEX 79.9K -361.7K 481.1K 90.0K -219.7K Net VEX -3.9K -4.9K -3.0K -4.3K -4.3K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.61 0.00 6.25 0.00 0.00 Total Volume 62.864 0 147 27 71 Total OI 1,999.273 1,739 2,245 1,739 2,139
Daily Data (22 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2008-12-01 $26.84 $25.00 71.8% 20.6% 101.4% 46.2% 67.7% 19.5% 21.1% 15.5K 90.0K -4.3K 0.00 94.34 N/A N/A 27 0 1,222 517 2008-12-02 $27.48 $25.00 83.2% 23.8% 101.6% 56.2% 62.4% 25.2% -7.1% 15.3K 188.6K -4.0K 0.00 47.02 N/A N/A 29 0 1,222 517 2008-12-03 $27.58 $25.00 65.4% 18.8% 98.4% 40.7% 61.9% 23.0% 8.8% 17.4K 171.4K -4.0K 0.00 76.89 N/A N/A 9 0 1,251 517 2008-12-04 $25.70 $25.00 80.9% 23.2% 100.0% 54.2% 67.8% 16.7% 7.3% 11.5K 351.8K -3.5K 0.37 55.19 N/A N/A 41 15 1,257 517 2008-12-05 $26.20 $35.00 60.0% 21.5% 98.7% 35.9% 0.0% 9.2% -7.0% 8.6K 457.5K -3.1K 0.00 62.40 N/A N/A 0 64 1,278 527 2008-12-08 $27.53 $35.00 62.1% 19.0% 99.3% 37.8% 64.4% 20.2% -0.8% 18.8K 230.7K -3.6K 0.39 72.26 N/A N/A 51 20 1,278 589 2008-12-09 $27.56 $35.00 53.8% 18.4% 99.2% 30.4% 62.8% 21.7% -4.1% 22.5K 194.3K -3.9K 0.15 80.98 N/A N/A 65 10 1,318 609 2008-12-10 $28.89 $35.00 63.9% 19.5% 100.0% 39.3% 68.6% 17.9% -7.7% 31.9K -90.2K -4.5K 0.00 68.16 N/A N/A 136 0 1,370 619 2008-12-11 $28.72 $30.00 65.1% 18.7% 96.2% 40.4% 65.7% 15.8% -5.1% 44.9K -317.5K -4.9K 0.12 77.46 N/A N/A 86 10 1,475 619 2008-12-12 $28.46 $30.00 61.1% 17.5% 88.9% 36.9% 61.3% 16.2% -3.2% 40.7K -92.6K -4.5K 0.75 76.92 N/A N/A 20 15 1,545 623 2008-12-15 $28.45 $30.00 62.3% 17.9% 87.7% 37.9% 0.0% 11.7% -3.8% 45.0K -123.3K -4.4K 0.00 37.90 N/A N/A 0 0 1,545 638 2008-12-16 $29.32 $30.00 62.4% 17.9% 88.0% 38.0% 62.7% 15.7% -5.4% 63.6K -361.7K -4.7K 0.00 40.29 N/A N/A 31 0 1,545 638 2008-12-17 $29.11 $30.00 65.8% 18.9% 87.5% 41.0% 63.4% 1.2% -8.0% 58.4K -257.1K -4.4K 6.25 81.98 N/A N/A 4 25 1,574 638 2008-12-18 $27.40 $30.00 77.9% 22.3% 88.6% 51.6% 72.6% 23.8% -22.8% 27.2K 145.4K -4.0K 1.07 77.24 N/A N/A 41 44 1,573 663 2008-12-19 $27.11 $30.00 71.1% 20.4% 74.7% 45.7% 65.1% 19.1% -11.2% 19.4K 211.3K -3.8K 2.00 76.68 N/A N/A 1 2 1,591 654 2008-12-22 $26.62 $30.00 60.7% 17.4% 66.4% 36.5% 59.2% 11.3% 10.3% 10.6K 481.1K -3.0K 0.01 35.60 N/A N/A 120 1 1,308 503 2008-12-23 $26.31 $30.00 57.2% 16.4% 63.2% 33.5% 55.5% 1.4% 3.9% 16.8K 325.9K -3.2K 0.60 32.55 N/A N/A 92 55 1,424 504 2008-12-24 $26.31 $30.00 58.0% 16.6% 62.8% 34.1% 0.0% 2.6% 3.8% 17.1K 303.0K -3.3K 0.00 70.37 N/A N/A 10 0 1,491 525 2008-12-26 $26.81 $30.00 59.0% 16.9% 58.9% 35.0% 64.9% 10.8% 4.9% 21.4K 123.0K -3.5K 0.11 73.27 N/A N/A 89 10 1,501 489 2008-12-29 $27.34 $30.00 53.9% 15.5% 59.4% 30.6% 48.9% 9.2% 4.7% 25.9K 47.4K -3.5K 0.29 44.98 N/A N/A 78 23 1,536 499 2008-12-30 $27.91 $30.00 43.0% 12.3% 47.5% 21.0% 49.2% 3.7% -2.0% 33.2K -101.8K -4.0K 0.13 73.61 N/A N/A 78 10 1,614 522 2008-12-31 $28.33 $30.00 42.1% 12.1% 47.1% 18.5% 47.9% 2.7% -1.4% 37.4K -219.7K -4.3K 0.00 80.00 N/A N/A 71 0 1,607 532
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