IYE Options History — December 2009

In December 2009, IYE traded between $32.29 and $33.83. ATM implied volatility averaged 20.3%, placing in the 5.1% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 2.2% (HV 20d: 18.1%). Max pain ranged from $25.00 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 0.25.

Notable Days

  • 2009-12-16: Highest Volume — 130 contracts
  • 2009-12-17: Largest IV spike — 90.4% change
  • 2009-12-17: Highest IV Rank — 23.4%
  • 2009-12-17: Largest Expected Move — 10.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.14$32.29$33.83$33.83$33.24
Max Pain$33.64$25.00$35.00$25.00$35.00
ATM IV20.3%13.6%34.8%18.9%13.6%
Expected Move6.0%3.9%10.0%5.4%3.9%
HV 20d18.1%12.0%22.4%21.9%12.2%
HV 60d23.0%21.0%24.1%24.1%21.0%
IV Rank5.1%0.0%23.4%2.8%0.0%
IV Percentile6.5%0.0%58.3%0.8%0.0%
Term Structure2.6%-8.4%9.9%3.2%8.4%
VWIV21.2%14.0%31.2%23.9%18.2%
Skew 25d5.2%-5.2%49.9%1.4%1.0%
Skew 10d6.4%-4.4%61.8%-1.3%4.8%
Call IV 25d21.2%15.8%26.7%21.8%16.3%
Put IV 25d26.3%16.3%68.6%23.2%17.3%
Bid-Ask Spread %57.1814.87105.9695.6414.87
Gamma HHI0.620.470.720.720.66
Net GEX29.9K18.3K42.5K41.3K24.2K
Net DEX247.3K-355.0K1.0M-355.0K1.0M
Net VEX-5.0K-5.9K-4.3K-5.8K-4.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.250.003.330.000.08
Total Volume23.0910130270
Total OI1,562.7271,5131,6771,5131,570

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-12-01$33.83$25.0018.9%5.4%21.9%2.8%0.0%1.4%3.2%41.3K-355.0K-5.8K0.0095.64N/AN/A270895618
2009-12-02$33.65$25.0023.9%6.8%21.6%9.2%0.0%20.5%9.2%42.5K-322.7K-5.9K0.20105.96N/AN/A102922618
2009-12-03$33.10$25.0022.0%6.3%22.4%6.9%0.0%6.6%9.9%38.3K-212.4K-5.7K0.0080.82N/AN/A100915618
2009-12-04$32.91$35.0019.3%6.2%21.6%3.4%23.9%5.4%4.2%38.3K-200.3K-5.6K0.0080.09N/AN/A50925618
2009-12-07$32.85$35.0021.5%5.7%21.6%6.2%0.0%5.7%4.3%35.8K-76.8K-5.3K0.0023.50N/AN/A100920618
2009-12-08$32.29$35.0027.2%8.5%21.0%13.6%0.0%3.0%3.3%33.1K137.3K-4.9K0.0023.25N/AN/A100910618
2009-12-09$32.30$35.0020.6%8.3%21.0%5.0%25.5%3.4%3.7%31.9K206.3K-4.6K0.0040.63N/AN/A170920618
2009-12-10$32.63$35.0022.5%6.4%21.5%7.4%21.3%6.7%-8.4%34.8K86.7K-5.0K0.0027.35N/AN/A400932618
2009-12-11$32.63$35.0020.1%5.8%20.2%4.4%0.0%5.6%4.3%33.4K74.5K-4.9K0.0343.58N/AN/A401912618
2009-12-14$32.83$35.0018.9%5.4%20.2%2.9%0.0%5.3%4.2%35.0K-4.4K-4.9K0.0028.08N/AN/A20931618
2009-12-15$32.97$35.0022.5%6.4%17.8%7.5%0.0%4.7%2.7%38.2K54.6K-4.4K0.0026.22N/AN/A020929618
2009-12-16$33.15$35.0018.3%5.2%18.0%2.1%15.2%-5.2%3.8%39.5K-19.0K-4.6K0.0074.71N/AN/A0130929628
2009-12-17$32.89$35.0034.8%10.0%18.1%23.4%0.0%7.8%-0.3%23.2K240.7K-5.1K0.0083.50N/AN/A00929748
2009-12-18$32.98$35.0018.4%5.3%16.6%2.2%0.0%-4.2%4.3%19.5K427.1K-4.6K3.3346.83N/AN/A620929748
2009-12-21$33.32$35.0017.3%5.0%16.7%0.8%20.2%-4.0%3.7%18.3K436.3K-4.8K0.0045.69N/AN/A170855762
2009-12-22$33.44$35.0017.0%4.9%15.9%0.4%14.0%-2.4%2.3%20.2K382.5K-4.8K0.5371.42N/AN/A4725865762
2009-12-23$33.53$35.0016.2%4.6%15.9%0.0%0.0%49.9%-6.8%20.7K839.6K-4.8K0.0092.39N/AN/A190757780
2009-12-24$33.66$35.0018.3%5.3%15.4%2.7%0.0%0.5%1.4%21.0K710.4K-5.2K0.0065.99N/AN/A00776766
2009-12-28$33.78$35.0015.3%4.4%12.9%0.0%31.2%0.3%2.6%20.7K718.7K-5.1K0.0618.04N/AN/A171776766
2009-12-29$33.57$35.0021.7%6.2%13.1%8.1%0.0%-2.0%-4.9%22.5K436.9K-5.5K0.0087.47N/AN/A50793767
2009-12-30$33.54$35.0017.6%5.0%12.0%2.9%18.2%3.7%2.1%25.3K872.1K-4.7K0.0881.86N/AN/A252798767
2009-12-31$33.24$35.0013.6%3.9%12.2%0.0%0.0%1.0%8.4%24.2K1.0M-4.3K0.0014.87N/AN/A00803767