IYE Options History — October 2009

In October 2009, IYE traded between $30.71 and $35.11. ATM implied volatility averaged 26.3%, placing in the 9.4% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded above realized volatility by 3.0% (HV 20d: 23.3%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 4.06.

Notable Days

  • 2009-10-16: Highest Volume — 374 contracts
  • 2009-10-13: Largest IV spike — 52.9% change
  • 2009-10-27: Highest IV Rank — 22.9%
  • 2009-10-27: Largest Expected Move — 10.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.38$30.71$35.11$30.93$32.42
Max Pain$32.05$30.00$35.00$30.00$35.00
ATM IV26.3%19.4%35.3%26.6%29.9%
Expected Move7.6%5.6%10.1%7.6%8.6%
HV 20d23.3%20.9%29.0%22.3%29.0%
HV 60d22.9%21.7%24.7%23.2%24.7%
IV Rank9.4%2.2%22.9%7.6%15.9%
IV Percentile14.1%0.4%46.0%8.7%33.3%
Term Structure1.2%-15.6%10.5%6.3%-4.1%
VWIV26.5%22.8%31.4%27.8%27.3%
Skew 25d6.5%-30.0%39.8%7.0%-11.8%
Skew 10d13.2%-39.9%95.0%11.5%-4.6%
Call IV 25d25.1%18.7%51.9%21.1%32.1%
Put IV 25d31.6%19.8%65.5%28.1%20.3%
Bid-Ask Spread %52.0719.17127.2428.6962.87
Gamma HHI0.690.420.860.840.81
Net GEX53.0K16.2K165.7K157.0K21.7K
Net DEX-1.8M-3.8M-129.4K-1.8M-129.4K
Net VEX-6.9K-8.0K-6.2K-7.8K-6.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.060.0066.0066.000.00
Total Volume51.1360374670
Total OI1,995.9551,3192,5252,3941,506

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-10-01$30.93$30.0026.6%7.6%22.3%7.6%27.8%7.0%6.3%157.0K-1.8M-7.8K66.0028.69N/AN/A1661,659735
2009-10-02$30.71$30.0031.4%9.0%22.5%11.8%31.4%39.8%0.1%165.7K-1.3M-8.0K1.3319.92N/AN/A15201,659785
2009-10-05$31.37$30.0027.2%8.9%23.0%8.1%0.0%13.5%0.6%142.4K-1.8M-7.3K0.6758.41N/AN/A641,654775
2009-10-06$32.09$30.0022.8%9.0%22.4%4.4%0.0%4.5%1.3%69.3K-2.7M-6.6K0.2721.40N/AN/A2261,654775
2009-10-07$32.30$30.0022.6%8.3%22.5%4.2%30.1%2.5%3.8%44.9K-2.8M-6.3K0.5622.70N/AN/A18101,666769
2009-10-08$33.06$30.0027.6%7.6%23.1%8.5%0.0%7.4%2.3%35.2K-3.1M-6.4K0.0026.94N/AN/A2201,678779
2009-10-09$33.07$30.0023.4%7.0%23.1%4.9%25.0%4.2%0.7%21.0K-3.1M-6.5K0.3919.17N/AN/A1871,685779
2009-10-12$33.33$30.0022.2%7.3%23.2%3.8%0.0%6.0%1.1%16.2K-3.2M-6.5K0.0024.06N/AN/A001,686780
2009-10-13$33.47$30.0033.9%6.8%23.0%16.2%0.0%3.6%1.1%24.3K-3.3M-6.2K0.0028.69N/AN/A6401,687780
2009-10-14$34.00$30.0027.2%6.8%22.2%9.5%23.7%4.7%2.6%33.0K-3.4M-6.6K1.0930.87N/AN/A35381,696780
2009-10-15$34.72$30.0026.3%7.5%23.1%8.6%26.4%17.3%-0.7%78.3K-3.8M-6.4K0.2942.84N/AN/A70201,706765
2009-10-16$34.67$30.0033.6%9.6%23.1%20.7%0.0%-30.0%-15.6%88.3K-3.7M-6.8K0.04107.58N/AN/A358161,740785
2009-10-19$35.11$30.0022.8%6.5%22.9%6.5%22.8%19.5%5.0%31.7K-683.5K-6.9K0.2988.86N/AN/A6920724595
2009-10-20$34.82$35.0024.2%6.9%23.3%8.5%24.2%19.3%0.5%32.2K-633.6K-7.2K1.3522.72N/AN/A2635768603
2009-10-21$34.72$35.0024.3%7.0%22.0%8.5%0.0%1.3%1.2%28.4K-772.0K-7.4K0.0094.21N/AN/A450792638
2009-10-22$35.00$35.0024.7%7.1%20.9%9.0%0.0%19.1%0.6%32.2K-739.0K-6.9K0.0089.26N/AN/A410818638
2009-10-23$34.24$35.0019.4%5.6%22.9%2.2%0.0%1.1%7.1%32.5K-738.8K-7.3K0.0087.92N/AN/A00816638
2009-10-26$33.72$35.0027.7%8.0%23.4%13.0%27.3%-3.1%-2.3%26.7K-557.8K-7.2K0.8134.11N/AN/A2621816638
2009-10-27$34.00$35.0035.3%10.1%23.4%22.9%0.0%0.1%10.5%24.6K-518.2K-7.6K0.00127.24N/AN/A20842648
2009-10-28$32.97$35.0022.6%6.5%26.2%6.3%0.0%-5.8%1.5%25.0K-274.2K-7.2K0.0056.06N/AN/A00841648
2009-10-29$33.74$35.0022.0%6.3%24.6%5.5%0.0%22.7%2.7%36.0K-290.9K-6.6K0.0051.07N/AN/A240837648
2009-10-30$32.42$35.0029.9%8.6%29.0%15.9%0.0%-11.8%-4.1%21.7K-129.4K-6.9K0.0062.87N/AN/A00858648