IYE Options History — June 2009

In June 2009, IYE traded between $28.04 and $31.98. ATM implied volatility averaged 32.2%, placing in the 7.9% IV rank vs the trailing year. The 30-day expected move averaged 9.4%. IV traded below realized volatility by 1.8% (HV 20d: 34.0%). 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 14 of 22 days. Put/call ratio averaged 1.84.

Notable Days

  • 2009-06-01: Highest Volume — 136 contracts
  • 2009-06-11: Largest IV spike — 34.0% change
  • 2009-06-17: Highest IV Rank — 12.8%
  • 2009-06-17: Largest Expected Move — 10.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.10$28.04$31.98$31.73$28.64
Max Pain$29.32$25.00$30.00$25.00$30.00
ATM IV32.2%25.1%37.6%26.7%28.0%
Expected Move9.4%7.2%10.8%7.7%8.0%
HV 20d34.0%30.3%39.6%38.4%30.3%
HV 60d37.5%34.6%40.4%39.3%34.6%
IV Rank7.9%1.4%12.8%2.9%4.1%
IV Percentile17.8%0.8%36.9%1.2%4.4%
Term Structure1.5%-2.2%8.8%8.8%-1.6%
VWIV34.1%26.8%39.8%37.4%26.8%
Skew 25d3.5%-8.1%38.1%10.1%-5.9%
Skew 10d6.1%-12.7%49.8%25.5%-4.5%
Call IV 25d30.9%21.1%39.5%28.8%30.8%
Put IV 25d34.4%23.8%65.0%38.9%25.0%
Bid-Ask Spread %44.5321.3877.2166.5227.31
Gamma HHI0.750.620.860.750.85
Net GEX103.6K66.0K153.5K116.4K94.8K
Net DEX-1.8M-3.1M-578.3K-2.9M-750.8K
Net VEX-6.8K-7.8K-5.7K-6.4K-5.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.840.0015.170.620.00
Total Volume39.04501361365
Total OI1,976.1821,8252,0981,8672,010

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-06-01$31.73$25.0026.7%7.7%38.4%2.9%0.0%10.1%8.8%116.4K-2.9M-6.4K0.6266.52N/AN/A84521,515352
2009-06-02$31.65$25.0030.9%8.9%37.0%6.7%0.0%0.8%3.9%104.4K-2.8M-7.4K0.0958.45N/AN/A4541,511379
2009-06-03$30.44$25.0037.3%10.7%39.6%12.5%37.4%5.0%-0.1%102.3K-2.2M-7.8K3.7435.30N/AN/A19711,545383
2009-06-04$31.11$30.0035.2%10.1%38.2%10.6%0.0%0.3%-0.7%103.5K-2.4M-7.7K0.0027.58N/AN/A201,541446
2009-06-05$30.89$30.0035.4%10.0%38.0%10.8%0.0%0.5%0.2%100.5K-2.4M-7.8K0.0047.06N/AN/A1001,543446
2009-06-08$30.84$30.0037.4%10.0%35.3%12.7%34.9%6.4%0.5%106.8K-2.3M-7.5K0.0042.65N/AN/A401,543446
2009-06-09$31.12$30.0027.8%9.8%33.7%3.8%34.0%0.5%1.3%110.5K-2.5M-7.5K0.0072.57N/AN/A011,547446
2009-06-10$31.25$30.0026.3%10.3%33.6%2.5%35.7%11.9%-0.1%110.4K-2.6M-7.4K0.0056.26N/AN/A2801,547446
2009-06-11$31.98$30.0035.2%10.1%31.7%10.6%35.6%4.6%0.3%98.6K-3.1M-7.3K9.0051.40N/AN/A191,574446
2009-06-12$31.70$30.0035.0%10.0%32.1%10.4%0.0%11.6%0.7%100.3K-2.9M-7.1K0.0047.19N/AN/A401,570454
2009-06-15$31.00$30.0035.8%10.3%32.1%11.2%0.0%-2.5%-0.1%130.5K-2.5M-7.1K0.0077.21N/AN/A001,571454
2009-06-16$30.31$30.0036.4%10.4%31.4%11.7%34.3%-6.0%-2.2%108.6K-2.1M-7.1K0.0048.39N/AN/A041,571454
2009-06-17$29.80$30.0037.6%10.8%32.1%12.8%37.6%-8.1%-1.4%131.6K-1.7M-6.8K15.1745.26N/AN/A6911,571457
2009-06-18$29.74$30.0035.5%10.2%32.1%10.9%35.3%1.5%1.3%153.5K-1.5M-7.0K0.0466.55N/AN/A11351,575523
2009-06-19$29.47$30.0032.4%9.3%30.8%8.1%32.4%-0.8%4.1%120.1K-1.3M-6.8K0.1440.12N/AN/A2131,568528
2009-06-22$28.04$30.0034.5%9.9%35.7%9.9%39.8%5.9%-0.3%66.0K-713.3K-5.9K0.0027.37N/AN/A0791,416409
2009-06-23$28.15$30.0033.1%9.5%34.9%8.7%0.0%6.5%2.5%67.7K-584.0K-5.7K2.2022.15N/AN/A10221,416465
2009-06-24$28.14$30.0025.1%7.2%34.8%1.4%32.0%4.1%3.4%71.7K-578.3K-5.7K0.6721.38N/AN/A21141,425481
2009-06-25$28.77$30.0026.9%7.7%33.7%3.1%26.9%-3.0%7.0%93.0K-712.0K-5.7K1.3522.59N/AN/A37501,436495
2009-06-26$28.49$30.0029.6%8.5%32.8%5.5%0.0%-4.1%1.0%85.8K-657.2K-5.9K0.0038.53N/AN/A301,473511
2009-06-29$28.86$30.0026.2%7.5%30.3%2.4%26.8%38.1%3.5%102.0K-703.3K-5.8K0.1437.73N/AN/A3651,476511
2009-06-30$28.64$30.0028.0%8.0%30.3%4.1%0.0%-5.9%-1.6%94.8K-750.8K-5.8K0.0027.31N/AN/A501,502508