IYE Options History — May 2009

In May 2009, IYE traded between $28.17 and $30.66. ATM implied volatility averaged 31.4%, placing in the 7.1% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded below realized volatility by 6.9% (HV 20d: 38.2%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 1.41.

Notable Days

  • 2009-05-19: Highest Volume — 129 contracts
  • 2009-05-06: Largest IV spike — 25.5% change
  • 2009-05-11: Highest IV Rank — 13.8%
  • 2009-05-01: Largest Expected Move — 10.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.38$28.17$30.66$28.17$30.66
Max Pain$25.00$25.00$25.00$25.00$25.00
ATM IV31.4%24.4%38.7%35.0%28.7%
Expected Move9.3%8.2%10.0%10.0%8.2%
HV 20d38.2%34.8%42.1%34.8%38.2%
HV 60d44.6%40.4%46.8%45.7%40.4%
IV Rank7.1%0.8%13.8%10.4%4.7%
IV Percentile14.0%0.8%40.5%27.4%4.0%
Term Structure1.3%-1.3%3.4%3.4%3.2%
VWIV32.2%28.3%39.4%28.3%28.7%
Skew 25d8.0%-4.2%17.2%11.8%-1.8%
Skew 10d13.2%-6.3%26.3%24.7%-3.6%
Call IV 25d29.1%22.3%34.3%27.5%29.5%
Put IV 25d37.1%27.7%41.0%39.2%27.7%
Bid-Ask Spread %66.2621.76105.8363.3359.50
Gamma HHI0.760.690.810.730.77
Net GEX84.0K53.1K113.2K53.1K113.2K
Net DEX-1.8M-2.3M-1.0M-1.0M-2.3M
Net VEX-6.7K-7.2K-5.9K-5.9K-6.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.410.0016.000.040.00
Total Volume42.0521299719
Total OI1,715.251,4411,8521,4411,852

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-05-01$28.17$25.0035.0%10.0%34.8%10.4%28.3%11.8%3.4%53.1K-1.0M-5.9K0.0463.33N/AN/A9341,135306
2009-05-04$29.14$25.0029.7%9.2%35.9%5.6%0.0%12.0%1.6%68.7K-1.5M-6.2K0.0062.88N/AN/A1801,225306
2009-05-05$28.73$25.0024.4%9.1%35.6%0.8%0.0%12.3%1.4%66.0K-1.4M-6.4K5.4576.40N/AN/A11601,243306
2009-05-06$29.81$25.0030.6%9.9%35.3%6.4%34.4%6.9%-1.3%76.6K-1.8M-6.7K0.0062.01N/AN/A9001,254266
2009-05-07$29.41$25.0032.6%9.9%36.0%8.2%34.6%17.2%-0.1%83.4K-1.9M-7.0K0.8967.32N/AN/A47421,340266
2009-05-08$30.61$25.0030.9%9.6%37.4%6.7%33.6%7.3%1.1%84.0K-2.3M-7.2K0.3370.01N/AN/A30101,384308
2009-05-11$29.75$25.0038.7%10.0%39.0%13.8%34.7%6.3%0.6%84.0K-2.0M-7.2K0.1377.69N/AN/A77101,400318
2009-05-12$29.97$25.0030.9%9.9%38.9%6.7%0.0%5.8%1.9%95.9K-2.0M-7.2K0.0063.14N/AN/A201,474328
2009-05-13$29.00$25.0032.0%10.0%41.2%7.7%0.0%7.4%0.5%80.2K-1.7M-7.1K0.0083.14N/AN/A1201,475328
2009-05-14$29.09$25.0034.3%9.8%41.2%9.8%0.0%7.1%1.2%84.0K-1.6M-6.8K0.0061.97N/AN/A901,482328
2009-05-15$28.45$25.0032.9%9.4%42.1%8.5%39.4%12.8%2.4%67.9K-1.4M-6.7K0.5048.03N/AN/A421,489328
2009-05-18$29.44$25.0033.0%9.5%39.2%8.6%0.0%13.3%-0.2%80.0K-1.7M-6.3K0.0054.23N/AN/A0201,374255
2009-05-19$29.54$25.0030.4%8.7%38.8%6.2%30.4%12.4%2.4%80.4K-1.8M-6.7K0.6821.76N/AN/A77521,374275
2009-05-20$29.59$25.0030.4%8.7%38.3%6.2%30.0%12.6%0.7%93.0K-2.0M-7.1K1.1629.37N/AN/A19221,446315
2009-05-21$28.83$25.0031.1%8.9%39.7%6.8%31.1%9.9%1.0%82.3K-1.5M-6.8K0.2942.02N/AN/A35101,456337
2009-05-22$28.85$25.0029.3%8.4%38.4%5.2%29.4%4.6%2.5%88.5K-1.6M-6.9K1.1192.68N/AN/A9101,481342
2009-05-26$29.42$25.0030.3%8.7%37.9%6.2%0.0%-4.2%2.9%97.5K-1.7M-6.2K16.00105.83N/AN/A2321,490333
2009-05-27$29.14$25.0030.2%8.7%38.2%6.0%0.0%3.6%1.7%96.1K-1.8M-6.9K0.0098.19N/AN/A401,488353
2009-05-28$30.08$25.0032.3%9.2%38.6%7.9%32.3%2.8%0.1%104.9K-2.0M-6.8K0.1385.75N/AN/A811,492353
2009-05-29$30.66$25.0028.7%8.2%38.2%4.7%28.7%-1.8%3.2%113.2K-2.3M-6.9K0.0059.50N/AN/A1901,500352