IYE Options History — April 2009

In April 2009, IYE traded between $25.81 and $27.69. ATM implied volatility averaged 42.8%, placing in the 17.6% IV rank vs the trailing year. The 30-day expected move averaged 12.5%. IV traded above realized volatility by 0.9% (HV 20d: 41.9%). Max pain ranged from $25.00 to $30.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.64.

Notable Days

  • 2009-04-27: Highest Volume — 99 contracts
  • 2009-04-30: Largest IV spike — 29.7% change
  • 2009-04-09: Highest IV Rank — 26.7%
  • 2009-04-09: Largest Expected Move — 15.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.79$25.81$27.69$25.81$27.27
Max Pain$27.86$25.00$30.00$25.00$25.00
ATM IV42.8%26.2%52.8%42.0%33.9%
Expected Move12.5%7.5%15.1%12.0%9.7%
HV 20d41.9%34.4%48.3%48.3%35.5%
HV 60d46.7%44.6%49.1%48.4%45.3%
IV Rank17.6%2.4%26.7%16.8%9.5%
IV Percentile51.2%1.6%70.6%52.8%24.2%
Term Structure1.4%-12.4%15.9%15.9%-9.1%
VWIV41.2%17.7%47.8%44.2%17.7%
Skew 25d12.0%-0.9%30.4%30.4%7.6%
Skew 10d19.6%11.9%51.4%39.8%12.3%
Call IV 25d35.2%29.6%48.4%31.0%31.9%
Put IV 25d47.2%39.5%61.5%61.5%39.5%
Bid-Ask Spread %67.3333.95102.7658.1289.84
Gamma HHI0.680.580.810.580.73
Net GEX39.8K30.5K51.7K36.0K48.0K
Net DEX-662.0K-928.5K-338.0K-338.0K-863.9K
Net VEX-5.2K-5.8K-4.4K-5.0K-5.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.640.008.130.000.00
Total Volume37.09509962
Total OI1,595.7141,0811,9371,7971,439

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-04-01$25.81$25.0042.0%12.0%48.3%16.8%0.0%30.4%15.9%36.0K-338.0K-5.0K0.0058.12N/AN/A601,360437
2009-04-02$26.82$25.0047.3%13.6%45.5%21.7%44.2%16.7%-1.7%47.1K-712.1K-5.6K0.2651.14N/AN/A1951,366437
2009-04-03$27.39$30.0042.2%13.3%45.8%17.0%0.0%11.7%-0.5%51.7K-850.2K-5.8K0.1458.10N/AN/A3751,384437
2009-04-06$26.87$30.0043.9%13.9%46.8%18.5%40.4%-0.9%-1.8%46.0K-698.0K-5.3K0.1453.72N/AN/A73101,406437
2009-04-07$26.10$30.0047.6%13.8%45.7%21.9%0.0%13.1%-1.1%41.0K-490.5K-5.1K0.0050.25N/AN/A3001,432447
2009-04-08$26.41$30.0040.9%13.5%45.7%15.8%47.4%19.9%-0.9%41.4K-550.6K-5.2K0.4359.34N/AN/A731,412447
2009-04-09$27.10$30.0052.8%15.1%45.4%26.7%0.0%26.7%-12.4%47.4K-849.3K-5.7K0.00102.76N/AN/A8001,414450
2009-04-13$26.88$30.0046.9%13.5%45.5%21.3%0.0%9.4%-0.7%37.6K-756.2K-5.2K0.0073.57N/AN/A1401,476450
2009-04-14$26.78$30.0047.4%13.6%45.5%21.8%0.0%11.1%-1.1%38.1K-747.3K-5.3K0.0069.71N/AN/A1301,484450
2009-04-15$26.77$30.0047.7%13.7%44.2%22.1%47.8%10.8%-1.3%34.5K-758.0K-5.2K0.0064.29N/AN/A501,487450
2009-04-16$26.94$30.0045.9%13.2%44.1%20.4%0.0%10.0%0.6%33.7K-757.9K-4.7K0.0074.18N/AN/A001,359379
2009-04-17$27.22$30.0044.3%12.7%43.5%18.9%0.0%12.8%0.4%32.8K-801.1K-4.7K0.1675.23N/AN/A62101,359379
2009-04-20$25.95$30.0046.9%13.5%44.7%21.3%46.9%10.4%11.2%30.5K-407.8K-4.4K0.3576.43N/AN/A4315895186
2009-04-21$26.50$30.0044.0%12.6%36.2%18.6%44.1%9.7%0.4%31.4K-434.5K-4.7K0.3878.69N/AN/A5320928191
2009-04-22$26.18$25.0046.6%13.3%35.8%21.0%0.0%10.4%-3.4%33.9K-503.2K-5.0K0.5076.56N/AN/A63981211
2009-04-23$26.64$25.0043.0%12.3%36.4%17.8%0.0%7.2%-2.8%34.7K-495.6K-4.9K8.1355.84N/AN/A865987211
2009-04-24$27.46$25.0034.5%9.9%37.9%10.0%17.7%9.3%13.1%39.5K-656.9K-5.6K0.0061.21N/AN/A330995276
2009-04-27$26.90$25.0039.3%11.3%37.3%14.3%0.0%8.7%3.0%37.8K-556.8K-5.4K0.0133.95N/AN/A9811,015276
2009-04-28$26.95$25.0035.9%10.3%34.4%11.3%0.0%8.9%9.3%43.2K-745.1K-5.7K0.0067.08N/AN/A001,113277
2009-04-29$27.69$25.0026.2%7.5%35.2%2.4%0.0%8.4%11.9%49.7K-928.5K-5.8K1.6583.98N/AN/A20331,113277
2009-04-30$27.27$25.0033.9%9.7%35.5%9.5%0.0%7.6%-9.1%48.0K-863.9K-5.8K0.0089.84N/AN/A201,133306