IYE Options History — July 2009

In July 2009, IYE traded between $26.57 and $30.63. ATM implied volatility averaged 29.9%, placing in the 10.4% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded above realized volatility by 1.0% (HV 20d: 28.9%). 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 16 of 22 days. Put/call ratio averaged 0.73.

Notable Days

  • 2009-07-17: Highest Volume — 307 contracts
  • 2009-07-06: Largest IV spike — 82.3% change
  • 2009-07-15: Highest IV Rank — 22.7%
  • 2009-07-08: Largest Expected Move — 11.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.65$26.57$30.63$28.69$30.11
Max Pain$25.45$25.00$30.00$30.00$25.00
ATM IV29.9%17.8%43.9%22.1%26.0%
Expected Move8.6%5.1%11.1%6.3%7.5%
HV 20d28.9%25.1%32.3%27.6%25.1%
HV 60d33.9%31.5%35.1%34.3%31.5%
IV Rank10.4%0.0%22.7%0.0%7.1%
IV Percentile13.2%0.0%53.6%0.0%2.4%
Term Structure2.3%-4.5%12.7%6.6%2.2%
VWIV27.5%16.2%38.4%21.8%27.7%
Skew 25d7.8%-2.6%15.0%4.0%15.0%
Skew 10d13.7%-2.2%24.1%4.8%23.9%
Call IV 25d27.2%21.0%32.7%22.2%25.6%
Put IV 25d34.9%20.5%41.0%26.2%40.6%
Bid-Ask Spread %58.8416.56100.6127.26100.61
Gamma HHI0.770.500.930.900.85
Net GEX70.0K17.6K138.6K138.6K99.4K
Net DEX-744.6K-1.8M136.9K-920.1K-1.5M
Net VEX-5.0K-6.6K-3.3K-5.8K-6.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.730.005.000.000.00
Total Volume54.68253072210
Total OI1,753.0451,2492,0992,0051,519

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-07-01$28.69$30.0022.1%6.3%27.6%0.0%21.8%4.0%6.6%138.6K-920.1K-5.8K0.0027.26N/AN/A2201,497508
2009-07-02$27.58$30.0017.8%5.1%28.9%0.0%16.2%-0.5%12.7%52.4K-147.8K-4.4K0.2616.56N/AN/A39101,519508
2009-07-06$27.34$25.0032.4%8.9%28.9%12.7%0.0%6.3%12.7%51.2K-113.0K-4.0K2.5051.43N/AN/A10251,491518
2009-07-07$26.64$25.0040.0%10.9%29.6%19.2%0.0%7.9%2.1%43.3K-116.0K-4.3K0.2955.34N/AN/A721,487519
2009-07-08$26.57$25.0036.6%11.1%29.1%16.4%0.0%7.7%-2.4%25.1K136.9K-3.4K0.2951.59N/AN/A34101,485521
2009-07-09$26.90$25.0022.9%11.1%29.7%4.4%38.4%7.2%-0.7%17.6K59.1K-3.4K0.0928.13N/AN/A9481,479511
2009-07-10$26.64$25.0034.0%11.0%27.4%14.1%0.0%6.6%0.6%30.2K-3.5K-3.8K2.5045.82N/AN/A8201,540519
2009-07-13$27.05$25.0032.0%9.0%28.7%12.3%0.0%6.8%12.3%19.4K-1.8K-3.3K0.0045.69N/AN/A501,533516
2009-07-14$27.44$25.0040.3%10.4%29.2%19.5%0.0%7.9%1.7%27.5K-67.8K-3.6K0.0231.94N/AN/A12521,529516
2009-07-15$28.42$25.0043.9%8.2%32.0%22.7%0.0%5.9%3.1%87.5K-483.7K-4.3K0.0046.19N/AN/A0101,573516
2009-07-16$28.73$25.0030.4%8.7%31.9%10.9%0.0%5.3%0.5%94.4K-464.9K-4.4K2.7527.73N/AN/A4111,573526
2009-07-17$28.97$25.0028.5%8.2%32.1%9.3%0.0%5.5%0.9%137.7K-719.0K-4.1K0.0334.51N/AN/A297101,520454
2009-07-20$29.30$25.0029.0%8.3%32.3%9.7%29.1%-2.6%-0.3%54.2K-1.0M-5.7K0.0688.51N/AN/A1026960289
2009-07-21$29.61$25.0028.7%8.2%26.6%9.5%28.8%-0.5%-0.5%61.4K-1.1M-5.9K0.3188.19N/AN/A8025982289
2009-07-22$29.37$25.0025.7%7.4%26.9%6.8%0.0%8.4%2.2%74.6K-1.1M-6.0K0.0088.76N/AN/A701,062294
2009-07-23$30.17$25.0030.0%8.6%28.2%10.6%30.0%13.1%-4.5%82.0K-1.3M-6.0K0.9091.25N/AN/A29261,069294
2009-07-24$30.63$25.0028.2%8.1%27.7%9.1%28.2%13.0%-1.2%87.0K-1.5M-6.3K0.0687.93N/AN/A7241,098320
2009-07-27$30.60$25.0027.0%7.7%27.4%8.0%27.0%12.8%0.9%89.2K-1.8M-6.6K0.2890.18N/AN/A36101,169320
2009-07-28$30.16$25.0028.5%8.2%27.8%9.3%0.0%14.0%0.1%88.3K-1.5M-6.5K0.0091.06N/AN/A1001,180330
2009-07-29$29.47$25.0026.7%7.6%29.1%7.7%0.0%14.4%1.7%88.8K-1.2M-6.3K5.0088.16N/AN/A2101,186330
2009-07-30$29.91$25.0027.7%7.9%29.5%8.6%27.7%12.9%1.0%90.3K-1.5M-6.4K0.0017.62N/AN/A2101,188330
2009-07-31$30.11$25.0026.0%7.5%25.1%7.1%0.0%15.0%2.2%99.4K-1.5M-6.2K0.00100.61N/AN/A1001,189330