IYE Options History — March 2009

In March 2009, IYE traded between $22.71 and $27.59. ATM implied volatility averaged 45.3%, placing in the 19.9% IV rank vs the trailing year. The 30-day expected move averaged 13.4%. IV traded below realized volatility by 7.4% (HV 20d: 52.7%). Max pain ranged from $25.00 to $30.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 1.80.

Notable Days

  • 2009-03-10: Highest Volume — 225 contracts
  • 2009-03-12: Largest IV spike — 35.6% change
  • 2009-03-02: Highest IV Rank — 29.1%
  • 2009-03-02: Largest Expected Move — 15.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.04$22.71$27.59$22.76$25.34
Max Pain$25.68$25.00$30.00$25.00$25.00
ATM IV45.3%33.8%54.5%54.5%47.4%
Expected Move13.4%11.3%15.6%15.6%13.6%
HV 20d52.7%47.4%56.4%47.4%50.1%
HV 60d47.6%45.8%49.5%48.1%48.4%
IV Rank19.9%9.4%29.1%29.1%21.8%
IV Percentile61.8%34.5%72.2%72.2%64.7%
Term Structure0.3%-6.2%13.8%-5.7%-0.8%
VWIV46.6%36.8%57.8%57.8%47.3%
Skew 25d10.0%-5.1%18.5%10.9%9.7%
Skew 10d19.1%-8.1%43.8%2.6%13.5%
Call IV 25d43.5%34.7%51.2%48.8%37.0%
Put IV 25d53.5%44.5%62.8%59.7%46.7%
Bid-Ask Spread %65.7421.92104.9129.5399.39
Gamma HHI0.540.400.670.600.58
Net GEX31.2K9.7K48.9K13.4K34.8K
Net DEX-276.7K-874.9K292.5K131.8K-333.3K
Net VEX-4.6K-6.0K-3.2K-3.2K-5.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.800.0021.500.790.13
Total Volume5202257017
Total OI1,755.7271,5321,9511,5321,785

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-03-02$22.76$25.0054.5%15.6%47.4%29.1%57.8%10.9%-5.7%13.4K131.8K-3.2K0.7929.53N/AN/A39311,202330
2009-03-03$22.81$25.0043.9%12.6%47.6%18.5%38.4%12.0%-0.6%12.3K182.6K-3.2K0.1355.21N/AN/A1621,224361
2009-03-04$23.84$25.0047.7%13.7%50.5%22.1%56.2%10.5%0.9%16.9K92.2K-3.5K21.5053.78N/AN/A4861,224361
2009-03-05$22.71$25.0042.5%12.2%52.2%17.3%0.0%18.5%5.8%10.2K237.8K-3.3K0.0066.20N/AN/A001,225421
2009-03-06$22.95$30.0049.3%14.9%51.3%23.5%0.0%16.1%-6.1%9.7K292.5K-3.2K0.0070.98N/AN/A001,225421
2009-03-09$23.01$30.0041.3%14.1%50.3%16.2%48.7%18.5%-1.5%11.1K223.0K-3.4K0.9142.78N/AN/A11101,225421
2009-03-10$24.19$30.0045.4%15.1%54.7%19.9%52.9%12.1%-6.2%16.3K69.7K-3.9K0.0553.84N/AN/A215101,236431
2009-03-11$24.06$25.0033.8%14.9%53.1%9.4%55.8%11.2%-4.7%26.0K-91.7K-4.4K0.6143.64N/AN/A49301,394441
2009-03-12$24.78$25.0045.9%13.2%54.7%20.4%45.9%7.0%0.1%29.4K-145.0K-4.7K0.0043.74N/AN/A15801,436461
2009-03-13$24.64$25.0050.0%14.3%54.7%24.1%0.0%9.5%-3.0%29.0K-194.9K-4.8K0.0065.95N/AN/A3901,400461
2009-03-16$24.93$25.0040.6%11.6%55.0%15.6%0.0%4.0%4.1%34.5K-248.3K-4.6K4.0085.03N/AN/A5201,434461
2009-03-17$25.75$25.0049.0%14.1%51.6%23.3%0.0%18.2%-2.3%40.4K-366.2K-4.8K5.6375.25N/AN/A8451,434481
2009-03-18$26.02$25.0046.1%13.2%51.7%20.6%46.1%8.0%-1.8%47.9K-556.8K-5.1K1.0941.60N/AN/A23251,442471
2009-03-19$26.63$25.0047.9%13.7%52.3%22.2%46.9%11.6%-1.3%47.8K-867.9K-5.6K0.0033.13N/AN/A4501,465486
2009-03-20$25.61$25.0049.0%14.1%53.6%23.2%0.0%0.6%-4.1%45.9K-596.1K-5.2K0.0072.70N/AN/A3301,457486
2009-03-23$27.59$25.0039.3%11.3%56.4%14.3%39.9%6.5%0.3%46.1K-700.0K-4.8K0.10100.28N/AN/A4041,228411
2009-03-24$27.03$25.0047.1%13.5%55.3%21.5%36.8%13.2%4.9%45.1K-735.9K-5.6K0.0021.92N/AN/A7501,257411
2009-03-25$27.01$25.0042.3%12.1%55.1%17.1%37.0%8.3%11.2%44.4K-726.5K-5.8K0.54104.91N/AN/A26141,304411
2009-03-26$27.23$25.0041.0%11.8%55.1%15.9%0.0%11.0%13.8%48.9K-874.9K-6.0K0.6395.99N/AN/A16101,323425
2009-03-27$26.48$25.0044.4%12.7%55.5%19.1%42.4%8.2%2.5%42.5K-571.6K-5.6K0.0093.53N/AN/A2301,339435
2009-03-30$25.49$25.0047.7%13.7%50.0%22.0%0.0%-5.1%0.1%34.1K-307.8K-4.9K0.0096.78N/AN/A1501,345435
2009-03-31$25.34$25.0047.4%13.6%50.1%21.8%47.3%9.7%-0.8%34.8K-333.3K-5.0K0.1399.39N/AN/A1521,350435