IYE Options History — May 2010

In May 2010, IYE traded between $29.95 and $35.01. ATM implied volatility averaged 40.1%, placing in the 59.3% IV rank vs the trailing year. The 30-day expected move averaged 11.0%. IV traded above realized volatility by 11.2% (HV 20d: 28.8%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 0.47.

Notable Days

  • 2010-05-05: Highest Volume — 617 contracts
  • 2010-05-05: Largest IV spike — 57.1% change
  • 2010-05-06: Highest IV Rank — 100.0%
  • 2010-05-06: Largest Expected Move — 17.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.99$29.95$35.01$35.01$30.59
Max Pain$34.25$30.00$35.00$35.00$30.00
ATM IV40.1%25.6%60.3%25.6%32.1%
Expected Move11.0%7.4%17.3%7.4%9.2%
HV 20d28.8%19.6%34.8%19.6%34.8%
HV 60d21.5%17.2%25.3%17.2%25.3%
IV Rank59.3%35.6%100.0%38.0%39.6%
IV Percentile87.8%46.4%100.0%46.4%79.0%
Term Structure-5.6%-25.9%9.4%-0.9%-1.2%
VWIV39.4%26.5%59.0%38.0%34.0%
Skew 25d12.3%-1.8%37.3%22.7%7.1%
Skew 10d15.3%-1.5%35.9%35.9%10.0%
Call IV 25d27.3%17.4%49.2%22.9%25.0%
Put IV 25d39.7%23.5%61.5%45.6%32.1%
Bid-Ask Spread %110.1547.54138.3047.5464.12
Gamma HHI0.960.910.970.970.92
Net GEX524.7K307.8K810.9K810.9K368.2K
Net DEX-5.7M-10.8M-2.3M-10.8M-2.6M
Net VEX-32.2K-42.2K-19.8K-42.2K-21.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.470.005.500.001.67
Total Volume71.8506173016
Total OI7,185.356,6307,4586,6307,458

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-05-03$35.01$35.0025.6%7.4%19.6%38.0%0.0%22.7%-0.9%810.9K-10.8M-42.2K0.0047.54N/AN/A3006,404226
2010-05-04$34.07$35.0025.8%7.4%22.0%38.5%0.0%-1.8%-0.6%751.6K-8.6M-40.3K0.0067.15N/AN/A306,423226
2010-05-05$33.57$35.0040.5%11.6%22.3%85.1%0.0%24.1%-5.9%688.7K-7.5M-38.6K0.02122.77N/AN/A607106,423226
2010-05-06$32.35$35.0060.3%17.3%25.5%100.0%0.0%2.1%-23.9%515.5K-7.2M-38.4K0.00132.72N/AN/A206,995236
2010-05-07$31.82$35.0046.8%11.6%25.5%71.1%38.0%19.6%-7.9%469.1K-6.1M-35.3K0.39124.22N/AN/A77306,995236
2010-05-10$33.08$35.0051.1%10.1%29.7%80.4%0.0%9.6%0.4%661.0K-7.1M-38.5K0.00118.14N/AN/A1407,043256
2010-05-11$32.93$35.0041.8%9.7%29.7%60.3%0.0%9.7%-0.6%642.8K-7.1M-38.7K0.00117.30N/AN/A5507,043256
2010-05-12$33.36$35.0032.9%8.1%29.8%41.3%0.0%6.9%0.3%732.5K-7.6M-38.4K0.00126.47N/AN/A007,043256
2010-05-13$33.06$35.0032.5%9.3%29.9%40.5%26.5%10.1%0.3%679.7K-7.6M-38.8K0.00100.74N/AN/A4007,006256
2010-05-14$32.41$35.0041.7%12.0%30.1%60.3%0.0%6.5%-9.7%578.0K-5.6M-33.1K0.00129.84N/AN/A007,003256
2010-05-17$32.15$35.0043.4%12.4%30.1%63.7%0.0%17.5%-14.1%501.4K-5.7M-33.4K0.00128.43N/AN/A4007,003256
2010-05-18$31.89$35.0051.1%14.7%28.7%80.4%0.0%37.3%-19.6%504.0K-5.4M-32.3K0.09138.30N/AN/A3337,033256
2010-05-19$31.58$35.0031.3%9.0%28.7%37.9%0.0%18.4%9.4%461.7K-5.2M-30.2K0.00124.40N/AN/A507,043256
2010-05-20$30.21$35.0043.8%12.6%31.7%64.8%0.0%8.4%-7.9%357.9K-4.3M-28.5K0.04114.85N/AN/A5427,043256
2010-05-21$30.71$35.0042.0%12.0%31.0%60.9%0.0%14.7%-2.4%357.1K-3.7M-25.6K0.03114.51N/AN/A3217,070256
2010-05-24$29.96$35.0039.8%11.4%31.6%56.2%39.4%7.8%-1.9%354.8K-3.6M-24.5K0.67113.45N/AN/A30206,935248
2010-05-25$30.03$35.0054.5%15.6%30.9%87.6%59.0%7.9%-25.9%307.8K-2.3M-19.8K0.06127.95N/AN/A4936,952258
2010-05-26$29.95$30.0034.1%9.8%30.1%43.8%34.0%6.3%-0.4%339.4K-2.7M-21.8K5.50104.12N/AN/A201106,985261
2010-05-27$31.17$30.0030.2%8.7%34.5%35.6%0.0%12.0%1.2%410.9K-3.1M-23.4K0.0586.00N/AN/A14476,992338
2010-05-28$30.59$30.0032.1%9.2%34.8%39.6%0.0%7.1%-1.2%368.2K-2.6M-21.6K1.6764.12N/AN/A6107,114344