IYE Options History — August 2010

In August 2010, IYE traded between $29.32 and $32.33. ATM implied volatility averaged 23.4%, placing in the 20.0% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 2.2% (HV 20d: 21.2%). Max pain ranged from $30.00 to $31.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 0.22.

Notable Days

  • 2010-08-23: Highest Volume — 184 contracts
  • 2010-08-24: Largest IV spike — 55.2% change
  • 2010-08-19: Highest IV Rank — 29.8%
  • 2010-08-19: Largest Expected Move — 8.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.84$29.32$32.33$32.01$29.60
Max Pain$30.73$30.00$31.00$30.00$30.00
ATM IV23.4%16.8%28.2%20.4%25.6%
Expected Move6.9%4.8%8.1%5.8%7.3%
HV 20d21.2%19.6%23.8%22.9%19.6%
HV 60d29.0%24.6%31.8%31.8%24.6%
IV Rank20.0%6.4%29.8%13.9%24.5%
IV Percentile41.0%7.5%72.2%22.2%53.2%
Term Structure3.3%-1.2%11.6%0.4%3.5%
VWIV19.6%12.4%26.1%21.2%17.3%
Skew 25d6.9%0.8%13.1%8.5%4.0%
Skew 10d9.9%-3.1%18.1%4.7%7.7%
Call IV 25d19.3%12.4%24.6%14.1%18.5%
Put IV 25d26.3%17.0%31.7%22.6%22.5%
Bid-Ask Spread %112.4157.72161.50115.06139.15
Gamma HHI0.360.210.560.560.28
Net GEX47.3K23.9K65.7K55.8K34.8K
Net DEX-346.7K-715.8K-24.8K-624.8K-56.4K
Net VEX-3.7K-4.7K-2.8K-4.6K-2.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.220.002.220.080.00
Total Volume16.6360184260
Total OI1,148.5451,0471,2491,0831,249

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-08-02$32.01$30.0020.4%5.8%22.9%13.9%21.2%8.5%0.4%55.8K-624.8K-4.6K0.08115.06N/AN/A242868215
2010-08-03$32.06$30.0022.3%6.4%22.9%17.6%0.0%10.9%-1.2%60.7K-638.0K-4.7K0.00123.64N/AN/A00888213
2010-08-04$32.32$30.0019.4%5.6%20.3%11.8%0.0%3.7%3.0%64.9K-713.2K-4.6K0.00109.33N/AN/A200888213
2010-08-05$32.33$30.0020.9%6.0%20.1%14.9%0.0%5.7%1.9%64.7K-715.8K-4.7K0.00116.90N/AN/A00890213
2010-08-06$31.96$31.0020.1%6.7%20.8%13.2%0.0%8.3%2.8%60.6K-602.3K-4.5K0.0057.72N/AN/A00890213
2010-08-09$32.15$31.0019.8%6.6%20.8%12.5%21.1%8.1%3.4%65.7K-670.5K-4.5K0.00109.79N/AN/A100890213
2010-08-10$31.88$31.0020.1%6.9%20.9%13.2%0.0%7.6%3.7%63.9K-633.1K-4.5K0.00112.46N/AN/A160900213
2010-08-11$30.96$31.0024.4%7.4%23.7%22.0%26.1%7.4%3.2%49.3K-379.4K-4.2K2.2280.70N/AN/A920916213
2010-08-12$30.77$31.0026.0%7.5%23.8%25.3%0.0%8.5%3.1%49.7K-371.4K-4.0K0.0089.89N/AN/A20924203
2010-08-13$30.68$31.0026.6%7.6%21.6%26.5%0.0%6.8%1.6%49.0K-359.4K-3.9K0.00118.45N/AN/A00926203
2010-08-16$30.72$31.0026.7%7.6%21.4%26.6%0.0%7.6%2.4%44.7K-289.8K-3.6K0.00116.39N/AN/A100926203
2010-08-17$31.21$31.0025.4%7.3%21.1%24.0%0.0%6.4%2.8%57.6K-451.8K-4.0K0.0082.52N/AN/A40936203
2010-08-18$30.91$31.0025.6%7.4%20.8%24.5%0.0%7.6%2.4%50.1K-365.0K-3.7K0.0094.67N/AN/A00939203
2010-08-19$30.43$31.0028.2%8.1%20.3%29.8%0.0%2.3%0.7%40.2K-255.4K-3.5K0.00134.94N/AN/A30939203
2010-08-20$30.05$31.0027.4%7.8%20.7%28.0%0.0%5.9%1.8%37.2K-120.2K-3.1K0.29111.57N/AN/A3410942203
2010-08-23$30.10$31.0016.8%4.8%20.2%6.4%12.4%2.8%11.6%23.9K-86.2K-3.0K0.00161.50N/AN/A1840854193
2010-08-24$29.64$31.0026.0%7.5%20.8%25.3%0.0%13.1%3.4%37.3K-93.1K-3.1K0.00138.56N/AN/A001,038193
2010-08-25$29.59$31.0025.8%7.4%20.8%25.0%0.0%11.1%3.7%30.4K-24.8K-2.8K0.00105.07N/AN/A051,038193
2010-08-26$29.32$31.0027.2%7.8%20.9%27.8%0.0%12.1%1.7%35.9K-71.5K-3.0K0.00128.53N/AN/A001,038198
2010-08-27$30.12$31.0017.6%5.1%23.4%8.2%17.3%3.4%11.0%26.0K-25.0K-2.8K0.00124.04N/AN/A1301,038198
2010-08-30$29.72$30.0023.0%6.6%19.7%19.2%0.0%0.8%5.2%38.1K-81.3K-2.9K0.00102.11N/AN/A001,051198
2010-08-31$29.60$30.0025.6%7.3%19.6%24.5%0.0%4.0%3.5%34.8K-56.4K-2.9K0.00139.15N/AN/A001,051198