IYE Options History — November 2010

In November 2010, IYE traded between $34.12 and $36.74. ATM implied volatility averaged 22.1%, placing in the 16.9% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 4.9% (HV 20d: 17.2%). Max pain ranged from $33.00 to $34.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 6.80.

Notable Days

  • 2010-11-02: Highest Volume — 192 contracts
  • 2010-11-09: Largest IV spike — 88.8% change
  • 2010-11-09: Highest IV Rank — 50.2%
  • 2010-11-30: Largest Expected Move — 8.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.79$34.12$36.74$34.12$35.94
Max Pain$33.76$33.00$34.00$33.00$34.00
ATM IV22.1%14.8%38.6%21.3%28.9%
Expected Move6.0%4.3%8.3%6.1%8.3%
HV 20d17.2%13.9%20.2%15.5%20.2%
HV 60d18.1%16.8%18.8%18.7%16.8%
IV Rank16.9%2.5%50.2%15.4%30.6%
IV Percentile37.9%2.0%91.3%35.3%69.4%
Term Structure1.5%-4.7%9.3%2.8%-4.7%
VWIV20.2%15.7%23.1%21.1%17.7%
Skew 25d1.4%-55.3%14.3%-0.4%13.1%
Skew 10d1.2%-61.1%11.9%0.1%4.4%
Call IV 25d22.3%10.2%79.8%23.6%17.7%
Put IV 25d23.7%18.4%30.8%23.2%30.8%
Bid-Ask Spread %112.3076.12143.66135.49135.61
Gamma HHI0.310.250.390.280.29
Net GEX51.0K-10.7K95.9K32.5K87.4K
Net DEX-1.2M-1.7M-712.5K-748.6K-1.4M
Net VEX-2.9K-3.4K-2.4K-2.6K-3.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.800.0092.000.000.00
Total Volume39.66701922520
Total OI832.6675731,076573781

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-11-01$34.12$33.0021.3%6.1%15.5%15.4%21.1%-0.4%2.8%32.5K-748.6K-2.6K0.00135.49N/AN/A250422151
2010-11-02$34.51$33.0019.8%5.7%14.0%12.4%21.7%1.6%-1.2%39.3K-880.3K-2.6K18.20123.41N/AN/A10182447151
2010-11-03$34.59$34.0019.1%5.5%13.9%11.0%18.2%5.9%1.3%-10.7K-712.5K-3.1K0.00143.66N/AN/A400457333
2010-11-04$35.61$34.0014.8%4.3%16.7%2.5%20.9%-1.3%5.1%7.8K-1.2M-2.7K92.00136.21N/AN/A2184497333
2010-11-05$35.75$33.0015.0%5.4%16.4%2.7%0.0%3.9%-0.8%52.3K-1.3M-2.4K0.00103.49N/AN/A50499320
2010-11-08$35.93$33.0020.5%5.2%16.4%13.8%0.0%2.4%1.4%38.0K-1.3M-2.4K0.0076.12N/AN/A130504320
2010-11-09$35.92$33.0038.6%5.6%16.4%50.2%20.4%0.2%9.3%24.9K-1.3M-2.7K2.0097.71N/AN/A48513320
2010-11-10$36.39$34.0028.2%5.7%16.5%29.2%19.2%0.3%2.3%24.4K-1.3M-2.6K5.5089.88N/AN/A211515328
2010-11-11$36.74$34.0020.4%5.9%16.6%13.6%18.9%0.9%0.3%28.4K-1.4M-2.4K0.6087.43N/AN/A106517339
2010-11-12$36.20$34.0022.6%6.5%17.9%18.0%0.0%3.8%2.3%27.8K-1.3M-2.7K0.0096.55N/AN/A00524345
2010-11-15$36.07$34.0021.6%6.2%17.8%16.1%20.5%4.2%0.8%15.0K-1.2M-2.9K0.0083.77N/AN/A1820524345
2010-11-16$35.35$34.0023.3%6.7%16.4%19.3%23.1%5.7%-0.7%54.8K-1.3M-3.4K0.88100.17N/AN/A1715706345
2010-11-17$35.49$34.0023.3%6.7%16.0%19.5%22.8%6.0%0.4%51.8K-1.3M-3.4K0.00104.13N/AN/A90707360
2010-11-18$36.24$34.0019.2%5.5%17.2%11.3%0.0%3.2%1.9%70.0K-1.5M-3.2K0.00105.78N/AN/A00716360
2010-11-19$36.48$34.0019.8%5.7%17.2%12.4%15.7%3.1%7.0%93.2K-1.7M-3.0K0.00103.29N/AN/A90716360
2010-11-22$36.36$34.0020.2%5.8%17.4%13.2%20.2%6.1%1.1%90.0K-1.4M-2.8K0.00122.72N/AN/A10063183
2010-11-23$35.68$34.0021.4%6.1%19.1%15.6%0.0%2.9%-0.0%79.8K-1.2M-2.9K10.00112.97N/AN/A33063983
2010-11-24$36.25$34.0022.5%6.4%19.4%17.8%22.5%14.3%-1.0%83.3K-1.3M-3.1K0.00133.95N/AN/A220636113
2010-11-26$35.87$34.0021.4%6.1%20.0%15.6%19.9%-55.3%2.2%85.5K-1.2M-3.1K0.00137.24N/AN/A100655113
2010-11-29$36.09$34.0021.3%6.1%20.0%15.4%21.0%8.7%2.0%95.9K-1.3M-2.9K0.00128.71N/AN/A40665113
2010-11-30$35.94$34.0028.9%8.3%20.2%30.6%17.7%13.1%-4.7%87.4K-1.4M-3.1K0.00135.61N/AN/A200668113