IYE Options History — September 2010

In September 2010, IYE traded between $30.70 and $32.38. ATM implied volatility averaged 27.1%, placing in the 27.4% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded above realized volatility by 5.4% (HV 20d: 21.7%). 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 7 of 21 days. Put/call ratio averaged 0.70.

Notable Days

  • 2010-09-01: Highest Volume — 39 contracts
  • 2010-09-30: Largest IV spike — 70.0% change
  • 2010-09-30: Highest IV Rank — 53.5%
  • 2010-09-30: Largest Expected Move — 11.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.52$30.70$32.38$30.70$32.38
Max Pain$30.00$30.00$30.00$30.00$30.00
ATM IV27.1%14.9%39.8%19.5%39.8%
Expected Move8.1%5.6%11.4%5.6%11.4%
HV 20d21.7%14.3%24.9%24.0%14.3%
HV 60d22.6%20.1%25.6%25.6%20.1%
IV Rank27.4%2.6%53.5%12.1%53.5%
IV Percentile55.8%2.0%93.7%20.2%93.7%
Term Structure-7.9%-40.3%8.0%5.5%-40.3%
VWIV22.8%16.9%28.7%18.4%16.9%
Skew 25d5.0%-7.2%14.9%6.0%0.3%
Skew 10d10.7%-3.1%23.4%2.5%3.6%
Call IV 25d20.4%13.5%26.4%15.0%21.1%
Put IV 25d25.4%15.9%31.2%21.0%21.4%
Bid-Ask Spread %113.8743.82146.88104.20130.75
Gamma HHI0.400.310.470.350.47
Net GEX74.7K27.5K132.9K57.9K63.1K
Net DEX-475.3K-764.0K-227.8K-227.8K-637.6K
Net VEX-3.0K-3.5K-2.3K-3.0K-3.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.700.007.000.000.00
Total Volume7.667039395
Total OI1,198.3331,0461,3101,2491,093

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-09-01$30.70$30.0019.5%5.6%24.0%12.1%18.4%6.0%5.5%57.9K-227.8K-3.0K0.00104.20N/AN/A3901,051198
2010-09-02$30.94$30.0021.0%6.0%24.2%15.1%0.0%0.7%6.1%78.3K-393.5K-3.4K1.10146.88N/AN/A10111,080198
2010-09-03$31.27$30.0014.9%7.2%24.4%2.6%0.0%8.0%1.3%101.7K-504.0K-3.5K0.00111.08N/AN/A101,090198
2010-09-07$30.79$30.0019.5%7.8%24.8%12.0%0.0%7.5%-0.4%75.8K-320.6K-3.0K0.0043.82N/AN/A601,091198
2010-09-08$31.04$30.0018.5%7.6%24.9%10.0%0.0%8.5%-0.3%92.5K-425.4K-3.2K0.00107.89N/AN/A1001,097198
2010-09-09$31.12$30.0025.6%7.3%22.6%24.4%27.3%7.4%2.6%92.4K-508.2K-3.4K0.00107.74N/AN/A081,097198
2010-09-10$31.47$30.0022.8%6.5%22.8%18.7%0.0%14.9%8.0%98.3K-593.4K-3.3K0.0099.51N/AN/A001,097206
2010-09-13$31.67$30.0034.2%9.8%22.8%41.9%0.0%8.2%-14.4%119.4K-764.0K-3.5K0.00122.31N/AN/A501,097206
2010-09-14$31.61$30.0030.3%8.7%22.9%34.0%0.0%6.0%-9.8%132.9K-680.7K-3.3K0.00101.97N/AN/A001,102206
2010-09-15$31.55$30.0033.7%9.7%22.2%41.0%0.0%3.8%-16.5%127.2K-639.6K-3.1K0.00105.10N/AN/A021,102206
2010-09-16$31.41$30.0036.0%10.3%22.0%45.7%0.0%8.1%-16.1%97.6K-678.1K-3.4K0.00117.97N/AN/A001,102208
2010-09-17$31.32$30.0034.8%10.0%21.2%43.2%0.0%5.3%-12.7%111.4K-588.0K-3.1K0.00119.81N/AN/A001,102208
2010-09-20$31.82$30.0028.3%8.1%21.1%30.0%0.0%-1.7%-16.5%47.0K-437.6K-3.0K0.00134.13N/AN/A30848198
2010-09-21$31.80$30.0036.1%10.4%21.1%45.9%28.7%7.7%-20.4%46.5K-402.5K-2.8K7.00129.68N/AN/A321851198
2010-09-22$31.60$30.0028.0%8.0%20.3%29.3%0.0%-7.2%-17.3%39.8K-365.1K-2.8K1.67130.06N/AN/A35854209
2010-09-23$31.25$30.0036.2%10.4%20.9%46.1%0.0%0.1%-18.9%27.5K-247.8K-2.5K0.00119.47N/AN/A03857209
2010-09-24$31.93$30.0020.5%5.9%21.4%14.0%0.0%9.6%0.4%36.1K-357.4K-2.4K0.00124.90N/AN/A10857212
2010-09-27$31.83$30.0023.9%6.8%19.8%20.9%0.0%9.2%0.7%36.0K-351.2K-2.4K0.00102.22N/AN/A150858212
2010-09-28$32.06$30.0021.3%6.1%18.9%15.7%16.9%4.4%-0.3%37.3K-382.7K-2.3K0.00112.22N/AN/A50873212
2010-09-29$32.32$30.0023.4%6.7%18.7%20.0%0.0%-2.9%-7.3%49.0K-476.9K-2.4K0.00119.53N/AN/A50876212
2010-09-30$32.38$30.0039.8%11.4%14.3%53.5%0.0%0.3%-40.3%63.1K-637.6K-3.1K0.00130.75N/AN/A50881212