IYE Options History — April 2010

In April 2010, IYE traded between $33.79 and $35.86. ATM implied volatility averaged 22.7%, placing in the 25.0% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 5.3% (HV 20d: 17.4%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.24.

Notable Days

  • 2010-04-07: Highest Volume — 6,301 contracts
  • 2010-04-07: Largest IV spike — 96.1% change
  • 2010-04-05: Highest IV Rank — 71.4%
  • 2010-04-01: Largest Expected Move — 9.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.73$33.79$35.86$33.79$34.66
Max Pain$34.76$30.00$35.00$35.00$35.00
ATM IV22.7%13.9%41.6%33.9%24.6%
Expected Move5.2%3.1%9.7%9.7%7.1%
HV 20d17.4%16.0%20.4%16.1%20.2%
HV 60d19.4%18.9%20.0%19.4%19.1%
IV Rank25.0%1.0%71.4%51.7%34.8%
IV Percentile30.1%0.4%94.4%80.6%42.1%
Term Structure3.0%-6.2%11.5%-1.3%-0.2%
VWIV18.6%16.5%21.9%18.0%21.9%
Skew 25d8.7%-0.6%36.5%36.5%2.2%
Skew 10d14.1%-0.5%57.4%57.4%3.7%
Call IV 25d18.1%11.5%36.0%36.0%23.0%
Put IV 25d26.8%13.3%72.5%72.5%25.2%
Bid-Ask Spread %87.5943.46121.94103.2875.48
Gamma HHI0.970.910.990.910.97
Net GEX727.5K121.8K1.1M121.8K751.2K
Net DEX-8.4M-13.6M-333.6K-333.6K-10.4M
Net VEX-34.7K-46.3K-4.0K-4.0K-43.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.240.001.500.000.00
Total Volume348.61906,3018449
Total OI5,395.6191,2327,0761,2326,629

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-04-01$33.79$35.0033.9%9.7%16.1%51.7%18.0%36.5%-1.3%121.8K-333.6K-4.0K0.00103.28N/AN/A840917315
2010-04-05$34.38$30.0041.6%4.8%16.0%71.4%16.8%17.8%1.7%188.3K-534.5K-4.2K0.0962.30N/AN/A222938315
2010-04-06$34.41$35.0020.1%5.1%16.0%16.7%17.7%0.0%0.1%190.6K-658.8K-4.4K0.1056.65N/AN/A202950317
2010-04-07$34.02$35.0039.5%3.1%16.7%66.1%0.0%2.2%10.4%153.0K-429.4K-4.1K0.01111.93N/AN/A6,26833950317
2010-04-08$34.24$35.0041.4%3.1%16.6%70.9%0.0%1.6%11.5%169.6K-461.4K-4.0K0.00102.72N/AN/A40950317
2010-04-09$34.58$35.0017.5%4.9%16.9%9.9%0.0%-0.1%3.9%921.6K-9.8M-44.9K0.0143.46N/AN/A26426,480350
2010-04-12$34.66$35.0018.5%4.7%16.9%12.5%0.0%0.4%5.5%996.2K-10.4M-46.3K0.0045.13N/AN/A606,720352
2010-04-13$34.48$35.0019.7%5.4%16.6%17.9%0.0%-0.6%2.6%961.9K-9.7M-45.2K0.0048.33N/AN/A006,719352
2010-04-14$34.88$35.0020.8%5.1%16.8%21.1%0.0%15.1%4.0%1.1M-10.9M-45.7K0.00115.53N/AN/A006,719352
2010-04-15$34.91$35.0017.3%5.0%16.5%11.0%0.0%14.0%4.9%1.1M-11.2M-45.5K0.00107.25N/AN/A056,719352
2010-04-16$34.34$35.0017.5%5.0%17.0%11.6%0.0%-0.1%3.0%900.5K-9.7M-44.5K0.00114.40N/AN/A10006,719357
2010-04-19$34.39$35.0013.9%4.0%16.3%1.0%0.0%20.0%6.7%812.1K-8.9M-42.8K0.61121.94N/AN/A33206,213157
2010-04-20$35.13$35.0016.5%4.7%17.6%8.7%16.5%15.4%3.0%877.2K-10.9M-44.3K0.18116.45N/AN/A1736,236177
2010-04-21$34.98$35.0017.5%5.0%17.8%11.7%17.5%15.1%2.1%888.2K-10.7M-44.2K1.50113.68N/AN/A236,251180
2010-04-22$35.06$35.0017.4%5.0%17.4%11.4%0.0%15.8%2.7%869.9K-10.8M-43.9K0.0081.96N/AN/A506,253183
2010-04-23$35.86$35.0014.1%4.0%16.7%1.6%0.0%3.8%6.3%893.1K-13.6M-43.1K0.6173.14N/AN/A41256,253183
2010-04-26$35.69$35.0018.4%5.3%17.0%15.1%0.0%2.5%-6.2%850.9K-13.1M-43.5K0.0051.00N/AN/A0106,288198
2010-04-27$34.67$35.0021.7%6.2%20.1%25.6%21.7%1.0%-0.1%860.3K-10.7M-43.1K0.09115.01N/AN/A114106,288198
2010-04-28$35.09$35.0021.9%6.3%20.4%26.2%21.9%16.0%0.8%817.7K-11.1M-43.0K0.63114.14N/AN/A101646,330188
2010-04-29$35.04$35.0022.6%6.5%20.4%28.6%0.0%4.0%1.0%803.7K-11.3M-43.7K0.2065.70N/AN/A1026,398228
2010-04-30$34.66$35.0024.6%7.1%20.2%34.8%0.0%2.2%-0.2%751.2K-10.4M-43.1K0.0075.48N/AN/A4906,403226