IYE Options History — March 2010

In March 2010, IYE traded between $32.38 and $34.00. ATM implied volatility averaged 23.7%, placing in the 25.8% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 8.0% (HV 20d: 15.7%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 18 of 23 days. Put/call ratio averaged 0.23.

Notable Days

  • 2010-03-26: Highest Volume — 55 contracts
  • 2010-03-23: Largest IV spike — 79.2% change
  • 2010-03-10: Highest IV Rank — 60.7%
  • 2010-03-25: Largest Expected Move — 10.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.23$32.38$34.00$32.71$33.23
Max Pain$31.09$30.00$35.00$30.00$35.00
ATM IV23.7%14.4%37.4%16.8%36.3%
Expected Move6.6%4.1%10.7%4.8%10.4%
HV 20d15.7%12.2%24.5%24.5%15.1%
HV 60d19.4%19.1%20.2%19.5%19.2%
IV Rank25.8%2.0%60.7%7.9%57.8%
IV Percentile34.1%0.4%88.5%4.4%87.7%
Term Structure-0.3%-39.8%11.1%5.1%-3.3%
VWIV24.1%16.2%30.8%30.7%30.8%
Skew 25d2.2%-14.1%16.3%12.0%-0.1%
Skew 10d2.3%-8.8%12.5%12.5%-1.2%
Call IV 25d20.7%10.8%30.5%16.6%27.1%
Put IV 25d22.9%15.2%34.6%28.6%27.0%
Bid-Ask Spread %58.6611.88103.1330.99103.13
Gamma HHI0.880.700.960.910.86
Net GEX91.5K47.4K139.9K75.9K92.1K
Net DEX-722.5K-1.1M-50.1K-759.8K-213.8K
Net VEX-4.1K-5.5K-3.3K-4.6K-3.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.230.002.860.050.22
Total Volume15.87055400
Total OI1,357.5651,1171,4931,3831,232

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-03-01$32.71$30.0016.8%4.8%24.5%7.9%30.7%12.0%5.1%75.9K-759.8K-4.6K0.0530.99N/AN/A3821,039344
2010-03-02$32.94$30.0015.4%4.4%22.4%4.4%0.0%2.1%6.9%78.5K-776.5K-4.5K0.0011.88N/AN/A301,041346
2010-03-03$33.01$30.0016.8%4.8%21.7%8.2%0.0%1.3%7.2%84.4K-792.7K-4.3K0.0021.70N/AN/A2101,044346
2010-03-04$32.91$30.0020.7%5.9%21.5%18.1%0.0%3.6%5.7%79.7K-884.4K-4.8K0.0031.14N/AN/A2001,065346
2010-03-05$33.50$30.0031.9%7.6%16.3%46.6%27.7%9.0%3.5%84.9K-1.1M-5.5K0.0097.81N/AN/A011,085346
2010-03-08$33.45$30.0015.9%5.5%16.3%5.9%19.8%5.0%3.0%104.6K-929.9K-4.4K0.0026.31N/AN/A701,085346
2010-03-09$33.47$30.0021.6%5.8%15.8%20.4%0.0%6.1%1.6%106.5K-975.5K-4.4K0.0022.53N/AN/A001,087346
2010-03-10$33.71$30.0037.4%7.0%14.8%60.7%0.0%11.2%1.4%112.4K-1.1M-4.6K0.0081.23N/AN/A001,087346
2010-03-11$33.72$30.0019.9%5.7%14.7%16.0%0.0%7.0%2.6%115.0K-1.0M-4.3K0.0017.14N/AN/A701,087346
2010-03-12$33.72$30.0016.3%4.7%13.9%6.9%16.2%-4.1%2.9%118.9K-1.1M-4.3K0.0037.70N/AN/A0101,087346
2010-03-15$33.39$30.0017.3%5.0%14.4%9.5%0.0%3.9%3.1%103.3K-920.2K-3.9K2.8666.74N/AN/A14401,087356
2010-03-16$33.70$30.0017.6%5.1%12.5%10.2%0.0%-2.0%3.4%116.6K-947.4K-4.1K0.0073.97N/AN/A001,097396
2010-03-17$34.00$30.0017.7%5.1%12.8%10.5%0.0%-1.6%3.2%139.9K-1.1M-4.3K0.0058.58N/AN/A301,097396
2010-03-18$33.56$30.0016.4%4.7%13.7%7.2%0.0%-1.8%4.1%117.3K-899.2K-4.0K0.0037.52N/AN/A201,097396
2010-03-19$33.17$30.0014.4%4.1%14.4%2.0%0.0%14.8%11.1%79.7K-770.6K-4.1K0.0053.07N/AN/A401,096396
2010-03-22$33.08$30.0017.8%5.1%13.6%10.7%19.4%-0.4%2.1%76.8K-552.1K-3.3K0.00100.34N/AN/A170937284
2010-03-23$33.22$30.0031.9%9.1%12.2%46.7%30.8%16.3%1.7%82.9K-655.2K-3.7K0.3172.54N/AN/A3511930284
2010-03-24$32.99$30.0022.3%6.4%12.5%22.2%0.0%-6.3%1.3%75.0K-550.6K-3.5K0.0084.98N/AN/A30963295
2010-03-25$32.38$35.0037.2%10.7%14.3%60.3%0.0%-14.1%-39.8%47.4K-72.2K-3.4K0.0088.99N/AN/A520822295
2010-03-26$32.40$35.0033.9%9.7%14.2%51.7%0.0%-6.9%-26.9%50.9K-50.1K-3.3K0.2282.63N/AN/A4510874285
2010-03-29$32.99$35.0033.4%9.6%15.2%50.5%0.0%-1.8%-0.5%77.8K-155.9K-3.7K0.0046.32N/AN/A020917295
2010-03-30$33.08$35.0037.0%10.6%15.0%59.7%0.0%-3.0%-7.0%83.8K-237.4K-3.9K0.00102.02N/AN/A00917315
2010-03-31$33.23$35.0036.3%10.4%15.1%57.8%0.0%-0.1%-3.3%92.1K-213.8K-3.9K0.00103.13N/AN/A00917315