IYE Options History — November 2009

In November 2009, IYE traded between $32.66 and $34.45. ATM implied volatility averaged 24.4%, placing in the 8.8% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded below realized volatility by 2.7% (HV 20d: 27.2%). Max pain ranged from $25.00 to $35.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 1.38.

Notable Days

  • 2009-11-02: Highest Volume — 93 contracts
  • 2009-11-04: Largest IV drop — 23.6% change
  • 2009-11-16: Highest IV Rank — 13.5%
  • 2009-11-11: Largest Expected Move — 8.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.65$32.66$34.45$32.66$33.34
Max Pain$27.00$25.00$35.00$35.00$25.00
ATM IV24.4%16.7%28.1%22.1%16.7%
Expected Move7.1%4.8%8.3%6.3%4.8%
HV 20d27.2%21.5%28.9%28.2%21.5%
HV 60d24.1%23.6%24.8%24.7%24.1%
IV Rank8.8%0.0%13.5%5.7%0.0%
IV Percentile11.3%0.0%31.7%2.4%0.0%
Term Structure2.0%-4.5%11.9%9.0%11.9%
VWIV26.4%20.3%41.6%22.0%23.2%
Skew 25d10.6%-4.4%70.5%1.3%3.9%
Skew 10d13.8%-4.1%89.7%1.6%3.0%
Call IV 25d24.3%15.4%30.2%21.5%15.4%
Put IV 25d34.9%19.4%95.3%22.8%19.4%
Bid-Ask Spread %73.9139.23130.8263.2956.53
Gamma HHI0.660.560.760.760.67
Net GEX37.9K24.3K52.0K24.3K36.4K
Net DEX-370.7K-631.2K-81.2K-81.2K-173.2K
Net VEX-6.4K-6.9K-5.6K-6.6K-5.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.380.0018.000.370.00
Total Volume18.75093938
Total OI1,520.951,4041,5791,5061,505

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-11-02$32.66$35.0022.1%6.3%28.2%5.7%22.0%1.3%9.0%24.3K-81.2K-6.6K0.3763.29N/AN/A6825858648
2009-11-03$33.09$35.0026.9%7.7%27.5%11.9%0.0%7.7%7.6%30.8K-162.2K-6.4K0.0065.80N/AN/A05869643
2009-11-04$33.03$35.0020.5%5.9%27.4%3.6%0.0%-2.0%-3.9%34.4K-153.3K-6.3K0.00130.82N/AN/A170869647
2009-11-05$33.59$35.0024.4%7.0%26.8%8.7%0.0%26.5%0.6%37.6K-344.2K-6.8K0.0046.86N/AN/A10886647
2009-11-06$33.45$25.0026.2%7.0%26.9%11.1%0.0%-3.9%4.3%38.4K-327.4K-6.5K0.0070.19N/AN/A20887647
2009-11-09$34.08$25.0025.4%8.2%27.5%10.0%0.0%8.7%0.2%40.3K-536.0K-6.9K0.0039.23N/AN/A10885647
2009-11-10$34.09$25.0026.6%8.1%27.5%11.5%23.4%8.8%0.2%39.9K-564.5K-6.9K0.0039.24N/AN/A09886647
2009-11-11$34.11$25.0022.3%8.3%26.9%5.9%28.8%7.5%-1.0%41.7K-580.8K-6.9K18.0044.02N/AN/A118886655
2009-11-12$33.37$25.0025.8%7.4%26.9%10.5%0.0%5.4%1.6%34.4K-303.1K-6.7K0.0092.22N/AN/A00887672
2009-11-13$33.60$25.0026.8%7.7%27.0%11.8%27.1%5.3%1.9%40.4K-302.2K-6.2K0.00102.08N/AN/A300887672
2009-11-16$34.45$25.0028.1%8.1%28.2%13.5%0.0%-0.0%0.7%48.5K-631.2K-6.7K0.0054.61N/AN/A00897672
2009-11-17$34.37$25.0027.2%7.8%28.1%12.3%0.0%-0.5%1.6%52.0K-572.5K-6.6K0.0092.97N/AN/A00897672
2009-11-18$34.22$25.0026.1%7.5%28.1%10.9%26.2%-2.0%2.2%48.3K-523.7K-6.6K0.0095.22N/AN/A100897672
2009-11-19$33.49$25.0026.4%7.6%28.9%11.3%41.6%-4.4%1.2%38.1K-241.1K-6.2K0.2595.25N/AN/A205907672
2009-11-20$33.17$25.0025.6%7.3%28.1%10.2%0.0%4.0%2.0%31.3K-243.4K-6.1K0.0054.28N/AN/A20917624
2009-11-23$33.65$25.0024.4%7.0%28.1%8.7%20.3%36.7%-4.5%34.1K-482.0K-6.0K0.00121.30N/AN/A30837567
2009-11-24$33.79$25.0025.1%7.2%28.0%9.6%24.5%70.5%1.7%29.5K-436.9K-6.2K0.2689.55N/AN/A3910840567
2009-11-25$34.15$25.0020.7%5.9%25.8%3.9%23.2%18.5%1.6%41.2K-578.9K-5.7K1.7258.76N/AN/A2950869567
2009-11-27$33.35$25.0021.1%6.1%26.0%4.4%0.0%19.9%1.6%36.6K-176.0K-5.6K0.0566.04N/AN/A211898617
2009-11-30$33.34$25.0016.7%4.8%21.5%0.0%0.0%3.9%11.9%36.4K-173.2K-5.6K0.0056.53N/AN/A80887618