IYE Options History — December 2010

In December 2010, IYE traded between $36.96 and $38.98. ATM implied volatility averaged 23.6%, placing in the 19.9% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 7.1% (HV 20d: 16.6%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 0.22.

Notable Days

  • 2010-12-07: Highest Volume — 216 contracts
  • 2010-12-10: Largest IV spike — 242.0% change
  • 2010-12-10: Highest IV Rank — 100.0%
  • 2010-12-09: Largest Expected Move — 7.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.09$36.96$38.98$36.96$38.96
Max Pain$32.14$30.00$35.00$34.00$35.00
ATM IV23.6%12.1%67.3%22.2%16.1%
Expected Move6.5%3.5%7.9%6.4%4.6%
HV 20d16.6%7.2%22.2%21.9%7.2%
HV 60d16.7%15.5%17.3%17.2%15.5%
IV Rank19.9%0.0%100.0%17.3%7.2%
IV Percentile40.4%0.0%100.0%43.3%6.0%
Term Structure4.5%-3.6%19.8%19.8%2.8%
VWIV35.2%17.4%42.8%39.0%17.4%
Skew 25d6.2%-0.9%19.3%15.6%-0.7%
Skew 10d5.8%-3.9%38.6%7.8%-0.1%
Call IV 25d17.4%7.7%24.8%14.7%17.4%
Put IV 25d23.6%15.1%44.2%30.3%16.7%
Bid-Ask Spread %127.7899.61142.14142.1499.61
Gamma HHI0.370.230.480.310.42
Net GEX62.5K19.7K117.9K89.7K23.7K
Net DEX-1.4M-2.2M-389.1K-1.7M-452.8K
Net VEX-1.8K-2.8K-1.2K-2.8K-1.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.220.002.400.000.00
Total Volume21.45502162082
Total OI608.636282796796328

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-12-01$36.96$34.0022.2%6.4%21.9%17.3%39.0%15.6%19.8%89.7K-1.7M-2.8K0.00142.14N/AN/A200683113
2010-12-02$37.47$34.0019.9%5.7%22.2%12.7%0.0%-0.9%14.8%117.9K-1.8M-2.6K0.00135.20N/AN/A00683113
2010-12-03$37.66$34.0019.1%5.5%20.1%11.1%0.0%0.4%-0.9%109.3K-2.0M-2.3K0.00137.71N/AN/A240683113
2010-12-06$37.79$30.0020.6%7.0%20.1%14.0%0.0%5.9%-0.3%103.3K-1.9M-1.8K0.00119.19N/AN/A02659113
2010-12-07$37.68$30.0021.4%7.5%20.2%15.7%0.0%3.4%2.6%100.0K-1.9M-2.1K0.03126.93N/AN/A2106659115
2010-12-08$37.54$30.0021.9%7.5%20.3%16.7%0.0%3.7%-1.1%102.0K-1.8M-2.4K0.00112.47N/AN/A00661121
2010-12-09$37.63$30.0019.7%7.9%19.9%12.2%0.0%1.8%-3.6%105.2K-1.9M-2.3K0.00130.50N/AN/A00661121
2010-12-10$37.80$30.0067.3%7.4%19.7%100.0%0.0%4.4%-0.2%62.8K-1.8M-2.0K0.00128.33N/AN/A00661121
2010-12-13$38.09$30.0024.3%7.5%18.9%19.9%41.8%6.0%1.1%79.0K-2.1M-1.5K0.04129.06N/AN/A261661121
2010-12-14$37.96$30.0029.1%7.1%18.9%28.8%0.0%9.3%3.2%84.2K-2.0M-1.7K0.00130.78N/AN/A100657122
2010-12-15$37.70$30.0026.2%7.5%17.3%23.5%0.0%5.9%4.4%97.2K-2.0M-1.8K0.00128.49N/AN/A50657122
2010-12-16$37.94$30.0026.9%7.7%17.3%24.7%0.0%4.1%0.6%46.5K-2.2M-1.2K0.00131.79N/AN/A010657122
2010-12-17$37.94$30.0023.0%6.6%16.0%17.4%0.0%13.1%7.8%54.8K-2.1M-1.5K0.00135.58N/AN/A00657132
2010-12-20$38.20$30.0021.3%6.1%16.0%14.4%0.0%10.2%12.6%31.5K-1.2M-1.5K0.18137.61N/AN/A112414100
2010-12-21$38.52$30.0012.1%3.5%16.0%0.0%42.8%7.3%10.3%28.1K-1.3M-1.3K0.00132.50N/AN/A130425102
2010-12-22$38.53$35.0013.4%3.9%13.9%2.5%0.0%19.3%4.5%19.7K-389.1K-1.2K0.00121.41N/AN/A140180102
2010-12-23$38.60$35.0024.1%6.9%13.1%21.8%0.0%4.4%4.4%22.6K-412.9K-1.3K0.00131.68N/AN/A180194102
2010-12-27$38.45$35.0024.2%6.9%12.4%22.0%0.0%12.0%10.2%22.2K-429.4K-1.6K0.00134.57N/AN/A00212102
2010-12-28$38.62$35.0025.5%7.3%12.4%24.3%0.0%4.5%3.3%24.9K-439.3K-1.4K0.00132.18N/AN/A00212102
2010-12-29$38.93$35.0025.4%7.3%12.2%24.2%0.0%7.2%2.5%27.9K-471.7K-1.3K0.00125.92N/AN/A01212102
2010-12-30$38.98$35.0016.4%4.7%8.2%7.8%0.0%0.0%0.4%23.2K-467.6K-1.6K2.40107.58N/AN/A512212101
2010-12-31$38.96$35.0016.1%4.6%7.2%7.2%17.4%-0.7%2.8%23.7K-452.8K-1.7K0.0099.61N/AN/A820217111