IYE Options History — June 2010

In June 2010, IYE traded between $28.65 and $32.18. ATM implied volatility averaged 31.6%, placing in the 38.5% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded below realized volatility by 7.7% (HV 20d: 39.2%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 0.21.

Notable Days

  • 2010-06-18: Highest Volume — 418 contracts
  • 2010-06-21: Largest IV spike — 52.8% change
  • 2010-06-07: Highest IV Rank — 51.4%
  • 2010-06-21: Largest Expected Move — 10.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.56$28.65$32.18$29.19$28.65
Max Pain$30.68$30.00$35.00$30.00$30.00
ATM IV31.6%24.2%37.6%30.4%30.2%
Expected Move9.0%6.9%10.6%8.7%8.7%
HV 20d39.2%31.6%42.5%37.1%31.6%
HV 60d30.4%26.6%31.8%26.6%31.8%
IV Rank38.5%22.8%51.4%36.1%35.6%
IV Percentile74.9%39.7%92.1%75.8%74.6%
Term Structure-1.8%-21.2%9.8%-1.1%-1.4%
VWIV25.9%14.2%38.1%38.1%29.1%
Skew 25d8.1%-6.9%60.3%-0.5%4.4%
Skew 10d14.7%-9.7%95.7%4.4%9.1%
Call IV 25d26.9%15.3%35.7%30.8%31.4%
Put IV 25d34.9%20.2%88.9%30.3%35.7%
Bid-Ask Spread %88.3717.25137.1372.69101.66
Gamma HHI0.890.760.980.890.85
Net GEX342.0K38.6K646.6K260.7K49.9K
Net DEX-2.1M-5.1M-12.6K-1.6M-67.2K
Net VEX-13.9K-21.2K-4.2K-15.5K-4.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.210.001.250.000.19
Total Volume47.09104181010
Total OI7,599.1367,4497,8317,4627,485

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-06-01$29.19$30.0030.4%8.7%37.1%36.1%0.0%-0.5%-1.1%260.7K-1.6M-15.5K0.0072.69N/AN/A1007,108354
2010-06-02$30.41$30.0034.8%10.0%40.4%45.3%0.0%60.3%2.6%298.6K-1.8M-16.8K0.00121.78N/AN/A007,106354
2010-06-03$30.79$30.0033.3%9.6%40.7%42.3%0.0%32.2%-2.8%336.4K-2.0M-17.2K0.0077.60N/AN/A307,106354
2010-06-04$29.78$35.0037.0%9.7%40.3%50.1%0.0%7.0%-2.6%292.3K-1.9M-17.7K0.0098.54N/AN/A207,109354
2010-06-07$29.53$35.0037.6%9.9%40.1%51.4%0.0%-3.7%-2.5%257.4K-1.4M-14.0K0.00106.18N/AN/A1407,109354
2010-06-08$29.98$35.0036.6%9.7%37.6%49.2%38.1%4.7%-2.1%242.0K-1.3M-13.8K0.06108.01N/AN/A346207,095354
2010-06-09$29.62$30.0031.2%9.4%37.7%37.8%0.0%-6.0%-1.4%341.1K-2.0M-15.3K0.00104.68N/AN/A007,421354
2010-06-10$31.07$30.0031.4%9.0%41.7%38.1%28.9%4.1%1.3%423.0K-2.9M-17.1K0.2972.36N/AN/A42127,421354
2010-06-11$31.19$30.0030.7%8.8%41.7%36.5%27.6%3.0%1.1%446.9K-3.0M-17.7K0.0060.95N/AN/A1307,457366
2010-06-14$31.08$30.0033.5%9.6%41.3%42.6%0.0%3.9%-1.5%495.3K-3.6M-19.5K0.0060.71N/AN/A007,460366
2010-06-15$31.95$30.0025.8%7.4%42.5%26.1%28.8%0.8%7.7%470.7K-3.2M-15.6K0.0092.81N/AN/A057,460366
2010-06-16$31.91$30.0024.9%7.1%42.4%24.1%14.2%13.0%9.4%544.4K-3.5M-16.8K0.83102.07N/AN/A12107,460361
2010-06-17$31.95$30.0035.1%10.1%42.3%46.1%0.0%3.5%-17.3%619.1K-5.1M-21.2K0.00137.13N/AN/A007,460371
2010-06-18$32.18$30.0024.2%6.9%38.8%22.8%14.2%12.0%9.8%570.3K-3.8M-16.8K0.0047.05N/AN/A41807,460371
2010-06-21$32.06$30.0037.0%10.6%38.5%50.2%0.0%12.9%-17.8%646.6K-3.6M-17.9K0.2770.05N/AN/A2267,202262
2010-06-22$31.15$30.0033.5%9.6%39.0%42.6%0.0%-6.9%-21.2%433.5K-2.3M-14.3K0.00119.62N/AN/A007,224262
2010-06-23$30.91$30.0029.6%8.5%39.1%34.2%0.0%11.8%-1.4%298.0K-1.1M-9.9K0.0093.24N/AN/A1707,224262
2010-06-24$30.06$30.0030.7%8.8%40.5%36.6%0.0%3.0%0.4%183.3K-612.5K-8.0K1.2589.38N/AN/A12157,240262
2010-06-25$30.17$30.0029.1%8.4%37.7%33.3%29.1%14.5%1.4%145.0K-475.8K-6.8K0.0082.45N/AN/A1607,252237
2010-06-28$29.73$30.0031.4%9.0%37.5%38.1%0.0%3.4%-0.4%130.0K-417.4K-6.2K0.0017.25N/AN/A007,265237
2010-06-29$28.86$30.0026.8%7.7%35.1%28.4%0.0%0.7%1.2%38.6K-12.6K-4.2K0.19107.83N/AN/A2657,265237
2010-06-30$28.65$30.0030.2%8.7%31.6%35.6%0.0%4.4%-1.4%49.9K-67.2K-4.5K0.00101.66N/AN/A0107,253232