IYE Options History — August 2009

In August 2009, IYE traded between $29.03 and $31.25. ATM implied volatility averaged 27.6%, placing in the 8.5% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded above realized volatility by 3.9% (HV 20d: 23.7%). 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 17 of 21 days. Put/call ratio averaged 1.64.

Notable Days

  • 2009-08-04: Highest Volume — 213 contracts
  • 2009-08-21: Largest IV drop — 9.2% change
  • 2009-08-13: Highest IV Rank — 9.5%
  • 2009-08-11: Largest Expected Move — 8.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.33$29.03$31.25$30.85$30.31
Max Pain$29.05$25.00$30.00$25.00$30.00
ATM IV27.6%26.1%28.7%27.2%27.5%
Expected Move8.0%7.5%8.9%7.8%7.9%
HV 20d23.7%21.4%25.5%25.5%22.2%
HV 60d28.8%26.3%31.8%31.8%26.5%
IV Rank8.5%7.2%9.5%8.1%8.4%
IV Percentile8.3%2.8%14.7%5.6%9.1%
Term Structure0.8%-1.3%2.5%0.7%1.1%
VWIV27.3%25.8%28.1%26.9%27.5%
Skew 25d9.2%-2.1%20.0%9.9%20.0%
Skew 10d17.9%-1.6%35.1%23.3%35.1%
Call IV 25d23.3%20.5%27.1%23.7%24.3%
Put IV 25d32.5%24.4%44.3%33.6%44.3%
Bid-Ask Spread %66.3211.75100.0659.3911.75
Gamma HHI0.850.760.950.850.78
Net GEX103.7K57.5K211.8K99.0K61.0K
Net DEX-1.4M-1.9M-840.0K-1.9M-840.0K
Net VEX-6.3K-7.0K-5.7K-6.3K-5.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.640.0021.000.020.83
Total Volume34.23802134422
Total OI1,686.1431,5241,8161,5241,593

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-08-03$30.85$25.0027.2%7.8%25.5%8.1%26.9%9.9%0.7%99.0K-1.9M-6.3K0.0259.39N/AN/A4311,194330
2009-08-04$30.78$25.0028.3%8.1%22.8%9.2%0.0%12.0%1.7%99.4K-1.9M-6.4K3.1054.38N/AN/A521611,229330
2009-08-05$30.43$25.0027.5%7.9%23.5%8.4%27.5%13.7%2.0%94.2K-1.7M-7.0K0.0056.88N/AN/A2601,266433
2009-08-06$30.18$25.0027.7%7.9%24.0%8.6%27.7%15.9%2.1%99.9K-1.6M-7.0K0.0033.52N/AN/A1001,289433
2009-08-07$30.13$30.0027.0%8.5%23.5%8.0%0.0%5.4%-0.2%105.3K-1.6M-6.9K0.4337.09N/AN/A731,299433
2009-08-10$30.24$30.0027.2%8.4%23.3%8.2%0.0%4.3%0.5%113.5K-1.6M-6.7K0.0093.08N/AN/A011,306433
2009-08-11$29.77$30.0027.4%8.9%24.2%8.4%0.0%2.3%-1.3%113.5K-1.4M-6.7K0.5393.58N/AN/A19101,306433
2009-08-12$30.11$30.0027.0%8.2%21.5%8.0%0.0%3.6%0.9%119.0K-1.6M-6.6K0.4896.69N/AN/A46221,312443
2009-08-13$30.40$30.0028.7%8.2%21.4%9.5%0.0%17.6%-0.4%130.0K-1.7M-6.8K0.0094.24N/AN/A201,352462
2009-08-14$29.96$30.0028.6%8.2%22.1%9.4%0.0%2.0%-0.2%136.2K-1.5M-6.8K0.0096.98N/AN/A001,354462
2009-08-17$29.03$30.0027.7%8.0%24.7%8.6%25.8%-2.1%1.1%104.6K-845.4K-6.0K0.1497.15N/AN/A3551,354462
2009-08-18$29.33$30.0027.6%7.9%24.7%8.5%0.0%-0.9%0.6%128.7K-977.2K-6.1K21.0096.42N/AN/A1211,349467
2009-08-19$29.79$30.0027.0%7.7%25.2%8.0%0.0%19.1%1.3%177.2K-1.1M-6.1K1.62100.06N/AN/A13211,258477
2009-08-20$30.04$30.0028.7%8.2%23.4%9.5%0.0%1.7%0.3%211.8K-1.2M-6.1K0.0093.81N/AN/A1301,250488
2009-08-21$30.87$30.0026.1%7.5%24.8%7.2%0.0%15.5%2.0%84.7K-1.8M-5.9K0.0098.43N/AN/A201,251488
2009-08-24$31.25$30.0027.3%7.8%25.2%8.3%27.3%10.6%1.5%57.5K-1.4M-5.9K1.8080.35N/AN/A25451,050478
2009-08-25$30.81$30.0027.9%8.0%25.2%8.8%27.9%7.5%0.3%57.8K-1.3M-6.0K1.0052.76N/AN/A10101,074508
2009-08-26$30.96$30.0028.1%8.0%23.5%8.9%28.1%15.0%0.1%62.0K-1.2M-5.8K0.1417.18N/AN/A69101,080518
2009-08-27$30.89$30.0026.9%7.7%23.1%7.9%26.9%5.7%2.5%60.1K-1.1M-5.8K0.0016.72N/AN/A701,061518
2009-08-28$30.85$30.0027.6%7.9%23.0%8.5%0.0%15.0%0.4%61.8K-1.1M-6.0K0.0012.18N/AN/A701,068518
2009-08-31$30.31$30.0027.5%7.9%22.2%8.4%27.5%20.0%1.1%61.0K-840.0K-5.7K0.8311.75N/AN/A12101,075518