IYE Options History — April 2011

In April 2011, IYE traded between $43.39 and $46.01. ATM implied volatility averaged 20.4%, placing in the 15.1% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 0.9% (HV 20d: 19.5%). Max pain ranged from $42.00 to $44.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 0.80.

Notable Days

  • 2011-04-15: Highest Volume — 760 contracts
  • 2011-04-28: Largest IV spike — 103.0% change
  • 2011-04-28: Highest IV Rank — 47.8%
  • 2011-04-28: Largest Expected Move — 11.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$44.87$43.39$46.01$45.62$46.01
Max Pain$43.30$42.00$44.00$42.00$43.00
ATM IV20.4%15.8%38.5%18.4%16.5%
Expected Move5.9%4.7%11.0%5.3%4.7%
HV 20d19.5%16.2%23.1%23.1%19.2%
HV 60d19.9%19.0%20.9%19.3%19.9%
IV Rank15.1%6.8%47.8%11.5%8.1%
IV Percentile28.7%4.4%92.1%18.7%5.2%
Term Structure1.5%-3.2%4.5%1.6%4.5%
VWIV19.6%14.4%24.3%19.1%14.4%
Skew 25d2.9%-26.3%8.3%8.3%2.9%
Skew 10d8.6%-20.7%15.9%4.1%1.2%
Call IV 25d19.2%12.9%42.0%12.9%17.2%
Put IV 25d22.1%15.7%25.7%21.2%20.1%
Bid-Ask Spread %90.5575.16136.34113.1686.24
Gamma HHI0.460.310.880.420.31
Net GEX252.1K152.0K925.4K152.0K179.1K
Net DEX-2.2M-2.9M-1.2M-2.4M-2.7M
Net VEX-7.3K-8.3K-5.0K-5.0K-8.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.800.006.000.000.50
Total Volume65.5076020615
Total OI1,302.61,1191,4831,2401,217

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-04-01$45.62$42.0018.4%5.3%23.1%11.5%19.1%8.3%1.6%152.0K-2.4M-5.0K0.00113.16N/AN/A2051819421
2011-04-04$45.66$44.0019.0%5.8%23.0%12.6%0.0%4.6%0.9%180.8K-2.8M-7.3K0.1375.91N/AN/A811,023422
2011-04-05$45.83$44.0019.0%5.7%22.7%12.6%0.0%2.9%1.2%180.2K-2.9M-6.9K0.0082.34N/AN/A801,023423
2011-04-06$45.38$44.0019.3%5.5%22.9%13.2%0.0%3.5%4.2%202.7K-2.7M-7.0K0.0083.97N/AN/A051,031423
2011-04-07$45.40$44.0019.0%5.8%18.2%12.6%21.8%4.0%0.4%218.1K-2.8M-6.8K0.0078.98N/AN/A0121,031328
2011-04-08$45.57$44.0015.8%5.9%17.6%6.8%20.7%4.3%3.2%204.6K-2.9M-6.8K1.0788.29N/AN/A14151,031340
2011-04-11$44.70$44.0021.9%6.3%19.2%17.7%21.8%5.2%1.9%269.6K-2.3M-7.0K0.0677.60N/AN/A5131,039355
2011-04-12$43.39$44.0026.2%7.0%22.0%25.5%24.3%3.7%0.0%255.6K-1.2M-6.7K1.0077.37N/AN/A20201,080358
2011-04-13$43.50$43.0022.5%6.6%20.7%18.9%21.1%3.9%-0.3%308.8K-1.2M-6.7K1.0575.16N/AN/A20211,095368
2011-04-14$43.79$43.0021.6%6.2%18.2%17.3%0.0%4.5%1.5%537.7K-1.4M-6.7K0.0079.70N/AN/A001,098385
2011-04-15$44.15$43.0020.5%5.9%18.4%15.3%20.3%5.5%1.7%925.4K-2.1M-6.7K0.0093.52N/AN/A75911,098385
2011-04-18$43.48$43.0021.3%6.1%16.2%16.7%0.0%4.2%2.0%153.0K-1.4M-8.0K0.00113.40N/AN/A20981138
2011-04-19$43.95$43.0019.0%5.4%16.7%12.5%19.3%3.2%1.6%169.4K-1.5M-8.0K0.57115.63N/AN/A148981138
2011-04-20$44.91$43.0016.9%4.8%18.5%8.7%16.7%3.8%2.4%178.1K-2.1M-8.2K0.0595.07N/AN/A191994146
2011-04-21$45.17$43.0017.6%5.1%18.5%10.1%0.0%4.7%1.8%175.1K-2.2M-8.3K6.0083.11N/AN/A161,005147
2011-04-25$44.92$43.0018.0%5.1%18.5%10.7%19.1%5.3%2.4%186.7K-2.1M-8.1K1.7586.86N/AN/A12211,005153
2011-04-26$45.40$43.0018.3%5.2%18.9%11.2%15.9%5.1%1.7%177.9K-2.3M-8.1K0.1484.05N/AN/A711,017164
2011-04-27$45.34$43.0019.0%5.4%18.4%12.5%16.8%4.5%1.2%182.5K-2.3M-8.0K1.2384.35N/AN/A13161,018165
2011-04-28$45.24$43.0038.5%11.0%18.3%47.8%22.9%-26.3%-3.2%204.7K-2.3M-8.2K0.00136.34N/AN/A1001,031176
2011-04-29$46.01$43.0016.5%4.7%19.2%8.1%14.4%2.9%4.5%179.1K-2.7M-8.0K0.5086.24N/AN/A1051,041176