IYE Options History — September 2009

In September 2009, IYE traded between $29.53 and $32.89. ATM implied volatility averaged 26.0%, placing in the 7.1% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded above realized volatility by 3.7% (HV 20d: 22.3%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 1.06.

Notable Days

  • 2009-09-02: Highest Volume — 286 contracts
  • 2009-09-23: Largest IV spike — 41.3% change
  • 2009-09-23: Highest IV Rank — 13.5%
  • 2009-09-23: Largest Expected Move — 9.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.57$29.53$32.89$29.74$31.84
Max Pain$30.00$30.00$30.00$30.00$30.00
ATM IV26.0%21.4%33.4%28.1%24.9%
Expected Move7.6%6.1%9.6%8.0%7.1%
HV 20d22.3%19.4%25.6%23.2%19.4%
HV 60d25.2%22.3%27.1%26.7%22.3%
IV Rank7.1%3.1%13.5%8.9%6.2%
IV Percentile8.0%0.4%32.5%13.5%4.4%
Term Structure4.5%-9.7%14.0%1.3%9.4%
VWIV23.9%18.7%29.5%27.9%21.2%
Skew 25d8.8%-3.4%19.1%0.9%10.7%
Skew 10d21.8%0.7%62.0%1.8%62.0%
Call IV 25d20.9%15.6%29.8%26.3%17.8%
Put IV 25d29.7%26.4%37.0%27.3%28.5%
Bid-Ask Spread %37.328.05111.5815.2766.25
Gamma HHI0.780.680.890.800.78
Net GEX113.2K57.4K157.4K57.5K132.7K
Net DEX-2.2M-3.4M-524.3K-613.9K-2.2M
Net VEX-7.5K-8.8K-5.5K-5.6K-7.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.060.006.671.590.00
Total Volume70.0480286832
Total OI2,253.5711,6022,5681,6052,396

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-09-01$29.74$30.0028.1%8.0%23.2%8.9%0.0%0.9%1.3%57.5K-613.9K-5.6K1.5915.27N/AN/A32511,077528
2009-09-02$29.53$30.0027.9%8.0%23.0%8.8%27.9%0.2%0.1%57.4K-524.3K-5.5K0.1911.26N/AN/A240461,077525
2009-09-03$29.71$30.0027.2%7.8%23.0%8.1%27.2%1.1%2.1%72.1K-708.7K-6.4K0.0010.20N/AN/A26601,254563
2009-09-04$30.21$30.0025.4%8.2%23.8%6.6%28.8%11.2%2.4%107.3K-1.4M-7.5K0.8084.11N/AN/A51411,505563
2009-09-08$31.03$30.0027.8%8.5%25.6%8.7%29.5%8.2%1.5%116.1K-2.0M-7.5K0.348.05N/AN/A82281,556604
2009-09-09$31.05$30.0025.1%8.2%24.8%6.3%0.0%8.7%2.5%127.5K-2.2M-7.9K0.5029.62N/AN/A20101,634632
2009-09-10$31.61$30.0028.1%8.1%25.2%9.0%0.0%19.1%3.6%147.4K-2.6M-7.1K0.2332.03N/AN/A43101,643642
2009-09-11$31.67$30.0029.2%8.4%25.1%9.9%18.7%18.8%2.3%130.4K-2.6M-7.8K2.2028.78N/AN/A20441,683652
2009-09-14$31.82$30.0024.2%6.9%24.3%5.6%0.0%12.4%11.4%157.4K-2.8M-7.1K6.6747.06N/AN/A3201,693689
2009-09-15$32.14$30.0024.0%6.9%20.7%5.4%19.2%11.6%11.8%135.8K-2.9M-7.2K1.2445.29N/AN/A25311,696709
2009-09-16$32.89$30.0021.4%6.1%21.6%3.1%18.9%3.0%2.1%133.5K-3.4M-6.6K1.1929.64N/AN/A81961,700739
2009-09-17$32.70$30.0026.8%7.7%21.6%7.8%21.1%3.0%0.2%103.2K-3.1M-8.4K0.0025.64N/AN/A3601,754810
2009-09-18$32.66$30.0021.6%6.2%21.7%3.3%24.3%4.7%2.7%101.3K-3.1M-8.4K0.0024.17N/AN/A1201,758810
2009-09-21$32.41$30.0023.7%6.8%20.2%5.1%0.0%17.1%14.0%105.0K-2.5M-8.4K0.2134.80N/AN/A48101,642681
2009-09-22$32.67$30.0023.6%6.8%20.0%5.1%28.4%8.2%6.2%95.2K-2.7M-8.0K0.3178.91N/AN/A35111,605681
2009-09-23$32.07$30.0033.4%9.6%20.6%13.5%0.0%-3.4%-9.7%112.7K-2.3M-8.8K0.0032.03N/AN/A901,635690
2009-09-24$31.61$30.0026.5%7.6%21.3%7.6%0.0%12.2%8.1%126.2K-2.1M-8.3K5.6323.18N/AN/A8451,644690
2009-09-25$31.59$30.0027.3%7.8%21.3%8.2%0.0%9.8%5.4%133.7K-2.0M-8.4K0.0021.04N/AN/A001,652735
2009-09-28$32.11$30.0026.7%7.6%21.9%7.7%0.0%17.2%10.9%113.1K-2.3M-8.2K0.0024.86N/AN/A401,652735
2009-09-29$32.00$30.0023.4%6.7%20.8%4.9%21.7%10.2%5.9%110.8K-2.5M-7.5K0.00111.58N/AN/A1101,656735
2009-09-30$31.84$30.0024.9%7.1%19.4%6.2%21.2%10.7%9.4%132.7K-2.2M-7.8K0.0066.25N/AN/A201,661735