IYE Options History — January 2009

In January 2009, IYE traded between $26.21 and $30.60. ATM implied volatility averaged 48.6%, placing in the 24.4% IV rank vs the trailing year. The 30-day expected move averaged 13.5%. IV traded above realized volatility by 3.0% (HV 20d: 45.6%). Max pain ranged from $25.00 to $30.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 0.58.

Notable Days

  • 2009-01-21: Highest Volume — 342 contracts
  • 2009-01-14: Largest IV spike — 132.0% change
  • 2009-01-14: Highest IV Rank — 65.3%
  • 2009-01-14: Largest Expected Move — 17.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.36$26.21$30.60$29.71$27.79
Max Pain$27.25$25.00$30.00$30.00$30.00
ATM IV48.6%36.8%94.3%46.9%36.8%
Expected Move13.5%10.5%17.5%13.4%10.5%
HV 20d45.6%40.2%50.5%49.8%50.3%
HV 60d82.7%69.7%109.1%109.0%69.7%
IV Rank24.4%13.7%65.3%22.8%13.7%
IV Percentile71.5%55.6%98.0%74.2%55.6%
Term Structure2.6%-5.8%7.4%0.2%7.4%
VWIV46.3%40.7%50.6%49.1%40.7%
Skew 25d11.3%-13.5%39.0%-11.2%15.3%
Skew 10d19.5%-22.0%51.5%-17.6%24.7%
Call IV 25d46.3%38.7%58.4%50.4%41.1%
Put IV 25d57.6%39.1%95.9%39.1%56.3%
Bid-Ask Spread %52.5836.1869.6666.0460.61
Gamma HHI0.700.550.800.650.79
Net GEX47.6K20.5K74.3K55.1K58.2K
Net DEX-653.8K-1.2M-112.6K-667.8K-892.4K
Net VEX-5.0K-6.9K-3.6K-4.4K-6.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.580.003.730.040.14
Total Volume65.9503425616
Total OI1,8869512,4062,1841,578

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-01-02$29.71$30.0046.9%13.4%49.8%22.8%49.1%-11.2%0.2%55.1K-667.8K-4.4K0.0466.04N/AN/A5421,652532
2009-01-05$30.28$25.0050.2%13.1%41.6%25.8%45.5%-5.7%5.0%61.9K-965.6K-4.3K0.0751.15N/AN/A165121,702534
2009-01-06$30.60$25.0046.4%13.3%41.4%22.4%45.9%-5.6%3.9%70.5K-1.2M-4.7K0.0037.11N/AN/A5001,772524
2009-01-07$29.41$25.0049.7%13.3%41.6%25.3%0.0%-13.5%4.5%65.7K-1.0M-4.7K0.8656.42N/AN/A14121,803474
2009-01-08$29.75$25.0045.9%13.4%41.7%21.9%46.7%39.0%2.7%74.3K-997.8K-4.7K0.0040.93N/AN/A3801,816482
2009-01-09$28.80$25.0042.2%13.1%40.2%18.6%46.1%-5.5%4.1%66.5K-838.2K-4.7K0.4246.17N/AN/A48201,841482
2009-01-12$27.77$25.0044.9%13.2%42.2%21.0%46.5%16.8%0.3%42.6K-337.2K-3.9K3.7351.95N/AN/A11411,851492
2009-01-13$28.33$25.0040.6%12.9%42.8%17.2%49.5%14.8%1.1%56.9K-419.3K-4.2K1.5052.73N/AN/A461,862513
2009-01-14$27.10$25.0094.3%17.5%45.6%65.3%50.2%18.2%-5.8%23.9K-155.3K-3.9K1.0065.20N/AN/A21211,866513
2009-01-15$27.35$25.0056.4%16.2%44.2%31.3%0.0%17.5%2.5%21.1K-112.6K-3.6K2.0066.51N/AN/A11221,868522
2009-01-16$27.63$25.0045.1%12.9%44.4%21.2%0.0%17.8%1.5%22.8K-229.0K-3.9K0.0061.62N/AN/A001,877529
2009-01-20$26.21$25.0060.2%17.3%43.1%34.7%50.6%17.7%0.9%20.5K-199.9K-3.6K0.9552.42N/AN/A4240683268
2009-01-21$27.78$30.0043.4%12.5%48.0%19.7%47.9%17.9%-0.4%25.9K-167.9K-3.7K0.0043.02N/AN/A3420714308
2009-01-22$27.11$30.0057.9%16.6%48.4%32.7%0.0%15.5%2.5%34.6K-465.4K-5.8K0.0041.55N/AN/A2701,053308
2009-01-23$27.83$30.0043.1%12.4%48.9%19.5%46.2%15.4%2.8%37.8K-603.3K-6.1K0.0069.46N/AN/A4701,080308
2009-01-26$28.35$30.0044.2%12.7%49.2%20.4%45.1%17.0%3.8%45.3K-885.3K-6.4K0.1142.85N/AN/A107121,089308
2009-01-27$28.33$30.0042.0%12.1%48.9%18.5%42.3%15.6%5.9%51.2K-862.1K-6.5K0.0036.18N/AN/A2901,156308
2009-01-28$29.07$30.0041.4%11.9%49.3%17.9%41.5%14.2%3.6%58.6K-1.1M-6.9K0.1840.02N/AN/A56101,185308
2009-01-29$28.09$30.0040.6%11.6%50.5%17.2%40.7%14.8%4.9%58.2K-921.6K-6.7K0.0069.66N/AN/A3901,241318
2009-01-30$27.79$30.0036.8%10.5%50.3%13.7%0.0%15.3%7.4%58.2K-892.4K-6.5K0.1460.61N/AN/A1421,260318