IYE Options History — October 2010

In October 2010, IYE traded between $32.33 and $34.43. ATM implied volatility averaged 27.8%, placing in the 28.8% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 11.7% (HV 20d: 16.2%). Max pain ranged from $30.00 to $33.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.59.

Notable Days

  • 2010-10-06: Highest Volume — 61 contracts
  • 2010-10-13: Largest IV spike — 83.0% change
  • 2010-10-13: Highest IV Rank — 100.0%
  • 2010-10-04: Largest Expected Move — 6.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.71$32.33$34.43$32.73$33.99
Max Pain$32.24$30.00$33.00$30.00$33.00
ATM IV27.8%18.7%63.5%19.9%20.5%
Expected Move5.7%4.9%6.4%5.7%5.9%
HV 20d16.2%14.5%18.5%14.5%16.4%
HV 60d19.8%18.9%20.8%20.1%18.9%
IV Rank28.8%10.1%100.0%12.9%13.7%
IV Percentile49.7%18.7%100.0%23.8%29.8%
Term Structure6.7%-0.3%30.9%8.5%29.9%
VWIV21.3%13.4%45.8%18.1%19.8%
Skew 25d0.6%-33.2%14.4%8.4%0.5%
Skew 10d0.6%-15.7%15.8%10.6%-6.7%
Call IV 25d23.5%11.9%54.9%15.4%20.5%
Put IV 25d24.0%15.3%53.2%23.7%21.0%
Bid-Ask Spread %122.1371.62149.68115.55142.66
Gamma HHI0.420.250.650.470.26
Net GEX64.3K23.2K120.5K63.6K28.6K
Net DEX-814.5K-1.3M-475.6K-571.9K-717.9K
Net VEX-2.6K-3.2K-2.1K-2.4K-2.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.590.002.860.000.00
Total Volume15.429061510
Total OI844.6674461,1771,098573

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-10-01$32.73$30.0019.9%5.7%14.5%12.9%0.0%8.4%8.5%63.6K-571.9K-2.4K0.00115.55N/AN/A05886212
2010-10-04$32.33$30.0031.3%6.4%15.2%36.0%0.0%3.7%1.0%47.4K-475.6K-2.3K0.0091.19N/AN/A30886210
2010-10-05$33.07$30.0044.8%5.5%15.5%63.6%18.1%5.8%4.3%85.8K-843.7K-2.9K0.00108.13N/AN/A40889210
2010-10-06$33.30$30.0041.8%5.9%15.4%57.5%21.0%3.6%3.2%92.6K-905.0K-3.0K1.9071.62N/AN/A2140893210
2010-10-07$33.16$32.0046.2%6.1%15.7%66.4%0.0%6.4%2.5%79.6K-906.5K-3.2K0.00104.78N/AN/A230914250
2010-10-08$33.58$32.0028.8%5.1%15.8%30.9%0.0%7.9%5.2%110.7K-911.1K-3.0K0.00119.92N/AN/A00925250
2010-10-11$33.65$32.0030.7%5.4%15.7%34.8%0.0%-0.1%3.1%118.3K-878.9K-2.7K0.00124.44N/AN/A40925250
2010-10-12$33.64$32.0034.7%4.9%15.7%43.0%22.6%8.2%0.5%116.4K-898.5K-2.6K1.43149.68N/AN/A1420927250
2010-10-13$34.01$33.0063.5%6.2%15.8%100.0%0.0%1.4%1.6%117.6K-1.3M-2.9K0.00130.67N/AN/A00931237
2010-10-14$34.03$33.0021.7%6.2%15.6%16.2%13.4%-2.3%0.2%115.0K-1.3M-2.8K0.00127.54N/AN/A010931237
2010-10-15$34.09$33.0018.7%5.4%15.4%10.1%0.0%-2.8%0.9%120.5K-1.3M-2.6K0.75124.60N/AN/A43931237
2010-10-18$34.43$33.0019.1%5.5%14.9%10.9%0.0%-4.1%11.3%30.3K-681.6K-2.1K0.00129.07N/AN/A190336110
2010-10-19$33.51$33.0020.4%5.8%18.5%13.6%0.0%5.2%1.8%24.5K-574.6K-2.4K0.00120.03N/AN/A210351110
2010-10-20$33.95$33.0020.2%5.8%18.5%13.2%16.9%4.1%-0.3%31.4K-658.2K-2.4K0.00125.22N/AN/A100372110
2010-10-21$33.88$33.0020.5%5.9%17.9%13.9%16.6%2.7%0.8%31.9K-657.2K-2.5K0.00128.73N/AN/A220382110
2010-10-22$34.09$33.0019.5%5.6%16.7%11.8%17.9%-0.8%0.7%37.5K-703.6K-2.5K2.86122.99N/AN/A1440396110
2010-10-25$34.14$33.0019.9%5.7%16.5%12.6%45.8%2.1%11.3%25.3K-714.3K-2.7K0.00132.51N/AN/A30401141
2010-10-26$34.21$33.0020.0%5.7%16.4%12.8%0.0%14.4%0.3%25.1K-714.5K-2.6K2.50133.53N/AN/A410398141
2010-10-27$34.03$33.0020.8%6.0%16.6%14.4%0.0%-19.4%22.8%23.2K-679.9K-2.7K0.00130.28N/AN/A00402151
2010-10-28$34.02$33.0021.2%6.1%16.6%15.2%19.8%-33.2%30.9%24.4K-683.4K-2.6K0.00131.57N/AN/A200402151
2010-10-29$33.99$33.0020.5%5.9%16.4%13.7%0.0%0.5%29.9%28.6K-717.9K-2.7K0.00142.66N/AN/A100422151