IYE Options History — March 2011

In March 2011, IYE traded between $42.05 and $45.54. ATM implied volatility averaged 22.5%, placing in the 18.8% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 0.4% (HV 20d: 22.1%). Max pain ranged from $40.00 to $43.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 14 of 23 days. Put/call ratio averaged 1.14.

Notable Days

  • 2011-03-08: Highest Volume — 62 contracts
  • 2011-03-24: Largest IV spike — 40.4% change
  • 2011-03-16: Highest IV Rank — 27.7%
  • 2011-03-16: Largest Expected Move — 7.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$44.09$42.05$45.54$44.21$45.44
Max Pain$41.78$40.00$43.00$43.00$42.00
ATM IV22.5%16.4%27.4%22.9%19.7%
Expected Move6.4%4.7%7.8%6.6%5.6%
HV 20d22.1%17.3%26.3%18.2%23.2%
HV 60d17.4%14.5%19.4%14.5%19.3%
IV Rank18.8%7.9%27.7%19.5%13.8%
IV Percentile43.7%5.2%67.9%50.8%25.8%
Term Structure1.5%-4.0%26.0%2.7%1.5%
VWIV24.2%14.7%39.8%22.1%20.4%
Skew 25d4.0%-1.6%9.2%3.9%1.0%
Skew 10d8.1%-4.3%19.8%8.2%-3.2%
Call IV 25d20.2%9.9%26.9%19.6%18.5%
Put IV 25d24.2%16.3%31.3%23.6%19.6%
Bid-Ask Spread %92.8574.37122.0086.8289.29
Gamma HHI0.400.340.470.340.45
Net GEX103.2K49.1K171.8K74.4K156.6K
Net DEX-1.7M-2.4M-781.4K-1.8M-2.3M
Net VEX-6.0K-6.9K-4.9K-6.9K-4.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.140.0010.001.330.00
Total Volume28.1746621424
Total OI1,271.5221,1521,3501,2371,224

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-03-01$44.21$43.0022.9%6.6%18.2%19.5%0.0%3.9%2.7%74.4K-1.8M-6.9K1.3386.82N/AN/A68850387
2011-03-02$44.42$43.0022.9%6.6%17.3%19.6%22.1%2.3%0.3%79.6K-1.9M-6.4K1.2098.56N/AN/A1012852390
2011-03-03$45.03$43.0019.7%5.7%17.8%13.9%0.0%-1.3%3.4%92.2K-2.2M-6.2K0.0096.77N/AN/A60857400
2011-03-04$44.76$40.0021.4%6.4%18.1%16.9%0.0%6.5%-0.3%84.3K-2.1M-6.4K0.0878.72N/AN/A131859400
2011-03-07$44.49$40.0025.7%6.8%18.2%24.8%0.0%5.9%-1.9%89.1K-2.0M-6.4K0.6278.12N/AN/A138872401
2011-03-08$44.17$40.0025.3%7.2%18.4%23.9%25.1%4.5%-4.0%84.8K-1.8M-6.6K0.1977.96N/AN/A5210879409
2011-03-09$43.87$40.0024.9%6.8%18.5%23.2%25.8%2.4%-0.1%95.5K-1.8M-6.7K0.0080.99N/AN/A440927409
2011-03-10$42.33$42.0026.1%7.5%22.3%25.3%23.6%1.8%0.2%62.5K-980.2K-6.3K3.2974.37N/AN/A1446901409
2011-03-11$43.03$42.0023.8%6.8%22.8%21.2%25.8%6.8%0.6%72.9K-1.2M-6.5K0.3180.35N/AN/A134911439
2011-03-14$43.22$42.0024.8%7.1%22.9%23.1%39.8%5.2%-0.5%72.0K-1.2M-6.2K0.0097.13N/AN/A160901439
2011-03-15$42.87$42.0024.0%6.9%21.8%21.7%24.6%5.6%0.6%67.4K-1.1M-6.2K2.0085.48N/AN/A1020908439
2011-03-16$42.05$42.0027.4%7.8%22.5%27.7%31.8%4.4%-1.1%49.1K-781.4K-6.1K0.08100.11N/AN/A121898439
2011-03-17$43.28$42.0025.6%7.3%24.6%24.4%28.0%9.2%-1.6%74.3K-1.3M-6.1K0.1378.94N/AN/A314896439
2011-03-18$43.19$42.0025.2%7.2%24.2%23.8%35.2%3.9%-2.5%72.0K-1.4M-6.0K10.0091.30N/AN/A110905440
2011-03-21$44.43$42.0020.0%5.7%26.3%14.4%21.0%1.5%2.0%122.7K-2.0M-5.6K1.25103.04N/AN/A2430856362
2011-03-22$44.31$42.0021.6%6.2%26.2%17.2%0.0%2.9%0.3%130.8K-2.0M-5.8K2.00103.49N/AN/A48878372
2011-03-23$44.35$42.0016.4%4.7%25.2%7.9%18.1%-1.6%6.2%147.2K-2.0M-5.5K0.29121.09N/AN/A175882380
2011-03-24$44.49$42.0023.1%6.6%24.7%19.9%15.6%6.5%-1.4%126.3K-2.2M-5.8K0.00122.00N/AN/A90899385
2011-03-25$44.76$42.0017.6%5.1%24.2%10.1%20.3%8.1%26.0%171.8K-1.8M-5.0K1.33119.33N/AN/A1520767385
2011-03-28$44.69$42.0020.9%6.0%24.1%16.0%14.7%3.1%1.2%146.5K-1.8M-5.3K0.2891.11N/AN/A329782405
2011-03-29$45.22$42.0019.3%5.5%23.6%13.0%19.7%7.2%0.7%150.4K-2.1M-5.1K1.4390.36N/AN/A1420794408
2011-03-30$45.54$42.0018.8%5.4%23.6%12.2%24.8%2.6%1.9%152.0K-2.4M-4.9K0.4190.27N/AN/A3715804406
2011-03-31$45.44$42.0019.7%5.6%23.2%13.8%20.4%1.0%1.5%156.6K-2.3M-4.9K0.0089.29N/AN/A240803421