IYE Options History — July 2010

In July 2010, IYE traded between $28.50 and $31.20. ATM implied volatility averaged 28.6%, placing in the 31.2% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 2.8% (HV 20d: 25.8%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 1.09.

Notable Days

  • 2010-07-19: Highest Volume — 53 contracts
  • 2010-07-13: Largest IV spike — 93.7% change
  • 2010-07-13: Highest IV Rank — 100.0%
  • 2010-07-06: Largest Expected Move — 9.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.25$28.50$31.20$28.58$30.94
Max Pain$30.00$30.00$30.00$30.00$30.00
ATM IV28.6%22.1%62.6%33.8%23.0%
Expected Move7.8%6.3%9.9%9.7%6.6%
HV 20d25.8%20.5%31.3%31.0%20.5%
HV 60d32.4%31.7%32.7%31.8%31.9%
IV Rank31.2%17.4%100.0%43.4%19.1%
IV Percentile57.1%29.4%100.0%84.9%35.3%
Term Structure1.3%-2.4%7.4%-2.4%2.2%
VWIV26.8%21.5%31.9%31.9%23.7%
Skew 25d6.5%-2.9%10.7%-2.0%7.1%
Skew 10d11.8%-3.3%27.7%-0.5%2.3%
Call IV 25d23.6%14.0%35.9%35.9%15.6%
Put IV 25d30.2%22.7%40.4%33.8%22.7%
Bid-Ask Spread %101.8267.84148.40109.31148.40
Gamma HHI0.560.390.840.840.51
Net GEX36.1K24.8K44.2K41.0K40.8K
Net DEX-229.0K-433.0K25.1K13.2K-327.3K
Net VEX-4.1K-4.5K-3.6K-3.9K-4.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.090.0012.670.000.00
Total Volume14.71405310
Total OI4,440.1439427,5717,4851,083

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-07-01$28.58$30.0033.8%9.7%31.0%43.4%0.0%-2.0%-2.4%41.0K13.2K-3.9K0.00109.31N/AN/A107,253232
2010-07-02$28.50$30.0032.8%9.4%29.0%41.0%0.0%-2.9%-1.0%33.7K25.1K-4.0K0.0092.33N/AN/A4807,253232
2010-07-06$28.78$30.0032.1%9.9%29.2%39.7%31.9%9.5%-1.9%30.3K-26.9K-4.1K0.2767.84N/AN/A1547,289232
2010-07-07$29.78$30.0027.9%8.9%31.3%30.6%31.0%7.3%-0.1%32.0K-97.1K-4.1K2.0080.02N/AN/A5107,304232
2010-07-08$30.13$30.0028.1%8.1%31.3%31.0%0.0%9.0%1.8%34.4K-183.7K-4.3K0.0077.94N/AN/A007,309242
2010-07-09$30.25$30.0026.1%8.0%26.0%26.8%0.0%8.1%1.7%32.9K-200.5K-4.2K0.0077.14N/AN/A607,309242
2010-07-12$30.20$30.0032.3%8.4%25.9%40.1%0.0%7.0%1.0%32.8K-209.3K-4.2K0.0072.17N/AN/A307,309242
2010-07-13$30.56$30.0062.6%7.5%26.3%100.0%26.1%7.8%3.8%36.1K-331.2K-4.5K0.0092.71N/AN/A507,312242
2010-07-14$30.50$30.0029.3%8.3%24.1%32.1%0.0%10.7%1.4%36.3K-294.2K-4.1K0.0095.11N/AN/A1607,317242
2010-07-15$30.55$30.0026.1%7.5%24.1%25.4%0.0%8.6%3.1%36.3K-279.8K-4.0K0.00101.78N/AN/A007,329242
2010-07-16$29.74$30.0027.5%7.9%25.6%28.4%0.0%5.2%2.2%40.1K-87.5K-3.8K0.00111.84N/AN/A507,329242
2010-07-19$29.99$30.0026.7%7.6%25.7%26.6%26.4%5.5%7.4%24.8K-146.6K-3.6K0.00109.78N/AN/A530753189
2010-07-20$30.56$30.0022.1%6.3%26.9%17.4%0.0%8.8%0.4%29.5K-194.6K-3.6K0.00115.16N/AN/A200791189
2010-07-21$30.14$30.0025.5%7.3%25.4%24.3%0.0%6.5%2.6%32.3K-251.6K-4.0K0.0099.14N/AN/A00811189
2010-07-22$30.76$30.0024.5%7.0%26.4%22.2%0.0%6.3%0.4%35.3K-303.5K-4.0K0.00106.34N/AN/A190811189
2010-07-23$30.86$30.0023.1%6.6%24.4%19.4%21.5%3.7%1.5%36.2K-294.7K-4.0K0.0078.31N/AN/A240830189
2010-07-26$31.20$30.0023.4%6.7%24.6%20.0%23.7%7.1%0.6%44.2K-402.9K-4.2K2.5097.28N/AN/A820854189
2010-07-27$31.07$30.0027.9%8.0%23.9%29.1%0.0%7.3%0.0%43.6K-433.0K-4.5K12.67134.67N/AN/A338862209
2010-07-28$31.03$30.0023.6%6.8%20.8%20.4%0.0%10.4%0.8%40.9K-362.3K-4.5K0.00145.42N/AN/A00865225
2010-07-29$31.03$30.0022.3%6.4%20.5%17.8%0.0%6.0%2.2%44.2K-421.0K-4.5K0.00125.60N/AN/A60865215
2010-07-30$30.94$30.0023.0%6.6%20.5%19.1%0.0%7.1%2.2%40.8K-327.3K-4.3K0.00148.40N/AN/A00868215